摘要
本文以哈萨克斯坦2004年1月~2019年6月的数据为样本基于CRITIC赋权法采用三级指标三次合成的方式构建金融压力指数,从宏观经济基本面、银行业、股票市场及外部金融市场四个子系统综合测度系统性金融风险。实证结果表明,哈国系统性金融风险在各子系统间不易传染,股票市场表现为弱有效市场;金融总体压力指数呈阶段性变化,2004年~2007年,经济良性发展,压力指数小幅波动下行,由关注时期进入适度时期;2007年~2009年,压力指数高涨急落,由适度期升至关注期后又回落;2009年~2015年,压力指数在关注与适度时期之间中幅振动;其后的第四阶段,压力指数在负值以下的适度区间小幅波动。总的来看,此方法的测量结果较佳地拟合了哈国经济金融发展现状。
In this paper financial stress index(FSI)is constructed by the way of three-stage composing with three-level indices based on the CRITIC empowerment method using the data in Kazakhstan from January 2004 to June 2019 as a sample,which comprehensively measures systemic financial risk from four subsystems such as macro-economic fundamentals,banking,stock market and external financial market.The empirical results show that the systematic financial risk in Kazakhstan is not easy to spread among the subsystems and the stock market is a weak effective one,and that the overall FSI showed a stage-change character from 2004 to 2007 and fluctuated slightly downward from a concerned period to a moderate one with the economic developed healthily,and that FSI rose sharply and fell sharply from a moderate period to a concerned one and then returned to the moderate period again from 2007 to 2009,and that FSI fluctuated in intermediate amplitude between concerned and moderate period from 2009 to 2015,and that FSI fluctuated slightly in a moderate range below negative value in the last stage.Generally speaking,the results of measuring with this method fit the present situation of economic and financial development in Kazakhstan well.
作者
左正龙
Zuo Zhenglong(Xinjiang University of Finance and Economics,School of Finance;Hengyang Technician College)
出处
《金融发展评论》
2020年第8期25-40,共16页
Financial Development Review
基金
新疆财经大学2018年博士生基金项目“‘一带一路’国家资本市场系统性风险研究”(项目编号:XJUFE2018B005)的资助
作者简介
左正龙,金融学博士研究生,新疆财经大学金融学院,衡阳技师学院,Email:zuo1387570@163.com。
