区域金融风险监测与分析--以天津市的测算为例
首发时间:2019-08-30
摘要:本文合成一个包含区域经济景气、政府调控能力、金融运行效率和金融稳健经营4个维度的区域金融风险指数,并构建马尔科夫区制转移模型对指数进行实证分析。基于天津市2005年3季度至2017年4季度数据,我们发现马尔科夫区制转移模型具有识别区域金融风险的能力。我们还发现区域金融风险状态具有持续性,在不同状态下其波动性呈现非对称性,且持续性和波动性在高风险状态下都要强于低风险状态下的取值。
关键词: 区域金融风险 马尔科夫区制转移模型 风险特征
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Monitoring and Analysis of Regional Financial Risk: An example from Tianjin
Abstract:This paper builds a regional financial risk index and constructs Markov regime-switching model for empirical analysis of the index. The index measures the risks of regional economic, government governance, financial operating efficiency and soundness. Based on a manual dataset in Tianjin over 2005Q3-2017Q4, we find the Markov regime-switching model can identify regional financial risks. We also find the regional financial risk state is persistent, and its volatility is asymmetric under different regimes, and the persistence and volatility are stronger in the high-risk state than in the low-risk state.
Keywords: Regional financial risk Markov regime-switching model Risk characteristics
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