中国金融压力指数构建与经济预警的实证研究
Empirical Study on the Construction of Financial Pressure Index and Economic Early Warning in China

选取中国股票市场、外汇市场、保险市场、银行部门以及国际金融市场中的九个重要因素指标，构建具有时效性的中国金融压力指数（FSI）；同时，基于Granger线性因果检验结果，构建我国经济发展形势指数（SPMI）带有解释变量的自回归模型，分析FSI与SPMI的关系及影响效应。结果表明:金融压力对经济发展有负面影响，FSI每增加1个单位，SPMI长期将下降0.6305个单位。构建的金融压力指数能够较好地反映我国金融机构在不同时期所承受的压力，并揭示我国所面临金融压力的大小和预测我国经济发展形势。
The paper selects 9 important factors from China Stock Markets, Foreign Exchange Market, Insurance Market, Banking Sector and International Financial Market to construct time-efficient China's Financial Stress Index (FSI). Furthermore, based on the linear Granger causality test results, the paper constructs autoregressive model of China's economic development situation index (SPMI) with explanatory variables to analyze the relationship and influential effects between China's FSI and SPMI. The research shows that financial stress has a negative impact on economic development, and concludes that SPMI will decline by 0.6305 unit when FSI increases by 1 unit for a long time. The FSI constructed in this paper can reflect the degrees of Financial Stress that China confronts in different periods, which plays a role in revealing the financial stress which China is undertaking and forecasting the development of economy in China.