| 中国金融风险预警的MS-VAR模型与区制状态研究 |
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| 引用本文： | 陈守东,马辉,穆春舟.中国金融风险预警的MS-VAR模型与区制状态研究[J].吉林大学社会科学学报,2009(1). |
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| 作者姓名： | 陈守东 马辉 穆春舟 |
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| 作者单位： | 吉林大学数量经济研究中心; |
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| 基金项目： | 国家社会科学基金项目(06BJY010);;吉林大学“985工程”项目(2004);;吉林大学经济分析与预测创新基地、教育部人文社会科学重点研究基地重大项目(05JJD790005,07JJD790131) |
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| 摘 要： | 应用MS-VAR模型,我们构建了货币危机、银行危机和资产泡沫危机三个金融风险预警模型,以描述我国近年来金融风险变化的区制特点。MSI(3)-VAR(1)模型较好的将货币危机、银行危机和资产泡沫危机划分为"低度风险"、"中度风险"和"高度风险"状态,风险的划分以及预警信号的发出时机较符合我国现实情况。
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| 关 键 词： | 金融风险预警 货币危机 银行危机 资产泡沫危机 MS-VAR模型 |
MS-VAR Early-Warning Model and Regime in China's Financial Risk Early Warning |
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| CHEN Shou-dong,MA Hui,MU Chun-zhou.MS-VAR Early-Warning Model and Regime in China's Financial Risk Early Warning[J].Jilin University Journal Social Sciences Edition,2009(1). |
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| Authors: | CHEN Shou-dong MA Hui MU Chun-zhou |
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| Abstract: | Taking advantage of the MS-VAR model of the early warning system which consists of currency crisis early-warning model,banking crisis early-warning model and asset bubble early-warning model,this paper investigates and monitors China's financial risks comprehensively.The MSI(3)-VAR(1)model can classify currency crisis,banking crisis and asset bubble crisis as "low risk","medium risk" and "high risk" status.This division of risk and the timing of issuing early warning signals are well in line with China's re... |
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| Keywords: | financial risk early-warning currency crisis banking crisis asset bubble crisis MS-VAR model |
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