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上海大学学报(社会科学版)

• 经济学 • 上一篇    

济与社会预警管理、产业经济与安全管理。    金融风险预警： 评价指标、预警机制与实证研究

  

  1. 上海大学经济学院
  • 收稿日期:2008-02-07 出版日期:2009-09-15 发布日期:2009-09-15
  • 作者简介:陈秋玲（1969），女，江西吉水人。上海大学经济学院副教授，博士，主要研究方向：经济与社会预警管理、产业经济与安全管理。
  • 基金资助:

    上海市教育委员会2006年度重点科研基金项目（06ZS06）；国家哲学社会科学基金项目（07CSH004）

EarlyWarning of Financial Risk：
Indicator，Mechanism and Empirical Research 

  • Received:2008-02-07 Online:2009-09-15 Published:2009-09-15

摘要：

世界各国经验表明，金融风险预警势在必行且切实可行。文章在梳理金融风险预警相关研究成果基础上，首先提出一套具有强警戒功能的金融风险评价指标体系，在各项指标预警界限基础上将金融风险预警分等定级，分别为I级(安全)、II级(基本安全)、III级(警惕)、Ⅳ级(危险)；然后建立基于BP人工神经网络模型的金融风险预警模型，并对1993—2007年我国金融风险情况在MATLAB软件中进行模型的训练、检验和预测，得出我国2008年预警结果：国家综合金融风险：Ⅳ级，危险状态；财政贸易风险：III级，警惕状态，有风险；宏观经济风险：III级，警惕状态，有风险；银行风险：Ⅳ级，危险状态；其他风险（主要指股市风险）：III级，警惕状态，有风险。因子分析结果表明：（1）从静态看，我国国债规模2008年仍在适度区间内，暂时没有大的风险。但从动态趋势看，我国正面临巨大的债务压力和与日俱增的潜在风险，国债规模处于国民经济应债能力宽松而财政债务(含隐性债务及或有债务)负担沉重的矛盾之中，应未雨绸缪，努力预防财政风险。（2）2008年上半年宏观经济风险下降到较为合适的范围，实际情况完全符合预测值。2008年下半年，全球金融危机的影响引发宏观经济风险上升。从总体看，2008年国民经济保持一定增长，但速度低于前几年，2009年我国宏观经济风险更大，不容乐观。（3）国有企业的过度负债、亏损经营和庞大的不良资产，以及近几年银行通过大量增加向房地产、钢铁、水泥、汽车等行业贷款和个人消费贷款而引起的投资过热、信贷增长率过高，必须警惕不良资产的再生。（4）股市泡沫风险等其他风险是近两年我国证券市场过度膨胀引起的过热反应，2008年股市的实际运行结果表明预测结果是可信的，预计2009年股市泡沫风险与2008年持平。

关键词: 金融风险预警；预警指标体系；预警界限；预警信号

Abstract:

The worldvalued experience shows that the earlywarning of finance risk is not only imperative but also practical. This essay, on a basis of the summary of the relevant researches on the earlywarning of finance risk, proposes an index system of financial risk that is characteristic of strong warning function. According to this index system, the earlywarning of finance risk can be graded into four ranks, that is, rank I (safe), rank II (subordinate safe), rank III (guard) and rank Ⅳ (danger). And then, by virtue of the BP manpower neural networks, the author establishes an early warning model of financial risk, carrying out the model training, model checkout and early warning of financial risk from 2003 to 2007 in China. The results are: the national comprehensive financial risk is rank Ⅳ (danger); the financial trade risk is rank III (guard); the macro economy risk is rank III (guard); and other risk (stocks risk chiefly) is rank III (guard). And the factor analysis shows: (1) From the static viewpoint, the national debt in our country is in a proper scale, having no big risk temporarily. But, from the dynamic viewpoint, our country is facing with such a big debt pressure that it can produce a dailyincreased potential risk, thus displaying a contradictory situation, that is, the relaxed environment of paying for debt being against the heavy debt burden (including hidden debt and possible debt). Therefore, we should keep something for a rainy day, trying our best to prevent financial risk. (2) In the first half of 2008, the macroeconomic risk drops to a more proper scope, the actual situation being accord with the predictive ratio, while in the second half of 2008, the impact of the global financial risk causes the macroeconomic risk rising. But, on the whole, in 2008, the national economy keeps a certain growth although the speed is lower than the past few years. And, in 2009, the macroeconomic risk is even bigger, not optimistic about it. (3) For stateowned enterprises, there are overweening debt, deficit running and great nonperforming assets. And banks, by a large increase in profession loan to such industries as real estate, steel, cement and automobile, as well as in personal loan, produce high demand for investment and high credit rating. Therefore, it is necessary to guard new nonperforming assets. (4) The risk of stock market bubble and other risks give a reflection on the excessive dilation of our securities market in the past two years. The practical running of stock market witnesses the creditability of predictive outcome. It is estimated that the risk of stock market bubble in 2009 remains the same as that in 2008.

Key words: Key words：  earlywarning of finance risk; earlywarning index system; earlywarning limitation; earlywarning signal