我国金融金融危机预警体系的计量分析：基于参数法和非参数法的比较研究
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摘要
随着金融自由化和经济全球化的不断深化,金融危机在世界各地频频出现,金融危机造成了非常高昂的经济成本和社会成本。因此,构建金融危机早期预警系统对政府部门和国际金融组织尤为迫切。
本文从宏观经济、金融体系、实体经济、全球经济四个方面选取了15个预警指标,构建了我国金融危机预警指标体系。使用我国、韩国、泰国、马来西亚、印度尼西亚和菲律宾亚洲六国的宏观数据进行实证分析。结果表明,在非参数KLR模型中,广义货币对外汇储备比率、国内信贷对国内名义GDP比率、外汇储备增长率、工业产出增长率、国内实际利率、实际汇率、进口增长率、股票价格变动、以及准货币的变动对金融危机预警发挥显著作用。即在危机发生之前,国际收支指标(资本与金融账户和经常账户)、国内实体与公共部门指标、金融部门指标发生明显的变化,而全球指标变化并不明显。在进行对数单位模型实证分析时,实际汇率、国内实际利率、外汇储备增长率、美国利率、经常账户差额对国内生产总值比率以及国内通货膨胀率指标是统计性显著的。这说明国际收支(经常账户与资本与金融账户)指标、金融部门指标以及全球经济指标在金融危机早期预警中发挥重要作用。因此,一国金融危机的爆发实际上是一国经济内部失衡和外部失衡以及错误货币政策的结果。
为进一步对我国经济系统所面临的风险程度进行评估,压力测试结果表明,国际收支中外汇储备变动和国内广义货币对外汇储备比率变动以及美国经济增长率和美国利率对我国金融危机的发生产生重要影响。这实际上反映了我国经济严重的对外依赖综合症和极度宽松的货币政策带来的危害。
With the development of the financial liberation and economic globalization, there are many financial crises that have occurred around the world. These crises have caused huge hazard to the economy and the society. It is urgent for the governments and international institutions to develop early warning systems(EWS) to monitor a plenty of indictors behavior.
In this paper the two kinds popular EWS models have been conducted empirical test with China.Korea, Thailand, Malaysia, Indonesia and the Philippine countries'data. The test results suggest that, among the indicators in the nonparametric KLR model,the indicators of broad money to foreign exchange reserve's ratio, domestic credits to nominal GDP's ratio, growth rate of industrial output, real domestic interest rate, effective rate of foreign exchange, growth rate of import, growth rate of stock price and growth rate of qusia money are effective in warning financial crisis. It also just suggests that the indicators of balance of payment (capital and financial account,current account), the indicators from real economy and public sector, the indicators from financial sector have changed distinctly. But the indicators from global economy did not change markedly before financial crisis.
When the empirical test conducted with Logit model,the result shows that effective exchange rate, real domestic interest rate, growth rate of foreign reserve, American interest rate, the rate of current account balance to GDP and domestic inflation rate appear statistical significance. This means the indicators from balance of payment, indicators from financial sector and indicators from global economy are effective in warning crisis. So an financial crises'outbreak is the result of internal unbalance and external unbalance in a country and the false money policy.
The results of the stress test suggest that the indicators of broad money to foreign exchange reserve's ratio, growth rate of foreign exchange reserve, the growth rate of American GDP and American financial market interest rate show very import in warning financial crises in China.
本文从宏观经济、金融体系、实体经济、全球经济四个方面选取了15个预警指标,构建了我国金融危机预警指标体系。使用我国、韩国、泰国、马来西亚、印度尼西亚和菲律宾亚洲六国的宏观数据进行实证分析。结果表明,在非参数KLR模型中,广义货币对外汇储备比率、国内信贷对国内名义GDP比率、外汇储备增长率、工业产出增长率、国内实际利率、实际汇率、进口增长率、股票价格变动、以及准货币的变动对金融危机预警发挥显著作用。即在危机发生之前,国际收支指标(资本与金融账户和经常账户)、国内实体与公共部门指标、金融部门指标发生明显的变化,而全球指标变化并不明显。在进行对数单位模型实证分析时,实际汇率、国内实际利率、外汇储备增长率、美国利率、经常账户差额对国内生产总值比率以及国内通货膨胀率指标是统计性显著的。这说明国际收支(经常账户与资本与金融账户)指标、金融部门指标以及全球经济指标在金融危机早期预警中发挥重要作用。因此,一国金融危机的爆发实际上是一国经济内部失衡和外部失衡以及错误货币政策的结果。
为进一步对我国经济系统所面临的风险程度进行评估,压力测试结果表明,国际收支中外汇储备变动和国内广义货币对外汇储备比率变动以及美国经济增长率和美国利率对我国金融危机的发生产生重要影响。这实际上反映了我国经济严重的对外依赖综合症和极度宽松的货币政策带来的危害。
With the development of the financial liberation and economic globalization, there are many financial crises that have occurred around the world. These crises have caused huge hazard to the economy and the society. It is urgent for the governments and international institutions to develop early warning systems(EWS) to monitor a plenty of indictors behavior.
In this paper the two kinds popular EWS models have been conducted empirical test with China.Korea, Thailand, Malaysia, Indonesia and the Philippine countries'data. The test results suggest that, among the indicators in the nonparametric KLR model,the indicators of broad money to foreign exchange reserve's ratio, domestic credits to nominal GDP's ratio, growth rate of industrial output, real domestic interest rate, effective rate of foreign exchange, growth rate of import, growth rate of stock price and growth rate of qusia money are effective in warning financial crisis. It also just suggests that the indicators of balance of payment (capital and financial account,current account), the indicators from real economy and public sector, the indicators from financial sector have changed distinctly. But the indicators from global economy did not change markedly before financial crisis.
When the empirical test conducted with Logit model,the result shows that effective exchange rate, real domestic interest rate, growth rate of foreign reserve, American interest rate, the rate of current account balance to GDP and domestic inflation rate appear statistical significance. This means the indicators from balance of payment, indicators from financial sector and indicators from global economy are effective in warning crisis. So an financial crises'outbreak is the result of internal unbalance and external unbalance in a country and the false money policy.
The results of the stress test suggest that the indicators of broad money to foreign exchange reserve's ratio, growth rate of foreign exchange reserve, the growth rate of American GDP and American financial market interest rate show very import in warning financial crises in China.
引文
②史建平 高宇.KLR金融危机预警模型研究——对现阶段新兴市场国家金融危机的实证检验[J].数量经济技术经济研究,2009(3)
③Edison H. Do Indicators of Financial Crisis Work? an Evaluation of an Early Warning System[J].International Journal of Finance and Economics.8:11-53 (2003)
(?)吴军.当代金融预警方法述评[J].世界经济文汇,2006(6)
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Saqib, O.F.,2002, "Interpreting Currency Crises-A Review of Theory, Evidence and Issues", DIW Berlin-German Institute for Economic Research Discussion Paper, No.303.
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