中國金融穩(wěn)定性指數(shù)的測算與分析

1、中國金融穩(wěn)定性指數(shù)的測算與分析一、金融穩(wěn)定性指標(biāo)基礎(chǔ)數(shù)據(jù)收集19932010年金融穩(wěn)定性評(píng)估框架中反映金融穩(wěn)定性指標(biāo)的基礎(chǔ)數(shù)據(jù)年份國內(nèi)生產(chǎn)總值（億元）財(cái)政收支差額（億元）中國GDP平減指數(shù)（1978=100）美國GDP平減指數(shù)（1978=100）貨幣供給量M2（億元）金融機(jī)構(gòu)信貸總量（億元）短期債務(wù)（億美元）外債總額（億美元）負(fù)債率（%）經(jīng)常賬戶順差（億美元）外匯儲(chǔ)備總量（億美元）人民幣匯率199335333.9293.35115.2 102.4 34879.832943.142.67412.9913.9-119.0 211.995.762199448197.9574.52120.6 102.

2、0 46923.53997673.07400.0317.176.6 516.28.619199560793.7581.52113.7 102.6 60750.550544.1119.161065.915.216.2 735.978.351199671176.6529.56106.4 101.2 76094.961156.6141.081162.7514.272.4 1050.298.314199778973582.42101.5 101.9 90995.374914.1181.41309.614.5297.2 1398.98.29199884402.3922.2399.1 100.5 1044

3、98.586524.1173.41460.4315.2293.2 1449.598.279199989677.11743.5998.7 101.5 119897.993734.3151.81518.315.3156.7 1546.758.278200099214.62491.27102.0 103.4 134610.499371.07130.81457.313.5205.2 1655.748.2792001109655.22516.54102.1 102.9 158301.9112314.7505.81701.114.7174.1 2121.658.2772002120332.73149.51

4、100.6 101.5 185007131293.95581713.613.6354.2 2864.078.2772003135822.82934.7102.6 100.8 221222.8158996.2770.441936.3413.7458.7 4032.518.2772004159878.32090.42106.9 103.4 254107178197.81043.092285.9613.9686.6 6099.328.2772005184937.42280.99103.8 103.7 298755.7194690.41561.432810.4512.61608.2 8188.328.

5、1942006216314.41662.53103.6 103.5 345603.59225347.21836.283229.8812.32532.7 10663.47.9732007265810.3-1540.43107.4 102.6 403442.2261690.92200.843736.1811.53718.3 15282.497.6082008314045.41262.31107.2 105.1 475166.6303394.62107.853746.618.74261.1 19460.36.9492009340902.87781.699.597.4610224.52399684.8

6、22592.64286.58.732971.4 23991.526.831201039798310100106.0102.8725851.79479195.553756.955489.389.343054.0 28473.386.6227二、基礎(chǔ)數(shù)據(jù)的處理與金融穩(wěn)定性指標(biāo)的計(jì)算1993-2010年金融穩(wěn)定性評(píng)估框架中反映金融穩(wěn)定性的指標(biāo)年度實(shí)際GDP增長率(%)相對(duì)通貨膨脹率財(cái)政收支差額/GDP(%)M2/GDP信貸增長率(%)短期債務(wù)/外匯儲(chǔ)備(%)短期債務(wù)/外債總額(%)負(fù)債率(%)經(jīng)常賬戶差額/GDP(%)實(shí)際匯率變動(dòng)率(%)199314.00 12.80.83 0.99 66.20 2

7、0.13 10.33 13.9-1.94 -5.41199413.09 18.61.19 0.97 70.33 14.16 18.27 17.11.37 38.03199510.93 11.10.96 1.00 105.68 16.19 11.18 15.20.22 -16.18199610.01 5.20.74 1.07 106.13 13.43 12.13 14.20.85 -5.4519979.28 -0.40.74 1.15 137.58 12.97 13.85 14.53.12 -0.8519987.83 -1.41.09 1.24 116.10 11.96 11.87 15.22.

8、88 2.8819997.63 -2.81.94 1.34 72.10 9.81 10.00 15.31.45 -1.0220008.42 -1.42.51 1.36 56.37 7.90 8.98 13.51.71 6.8320018.30 -0.82.29 1.44 129.44 23.84 29.73 14.71.31 2.1320029.09 -0.92.62 1.54 189.79 19.48 32.56 13.62.44 2.38200310.02 1.82.16 1.63 277.02 19.11 39.79 13.72.80 1.25200410.08 3.51.31 1.59

9、 192.02 17.10 45.63 13.93.55 -1.4200511.31 0.11.23 1.62 164.93 19.07 55.56 12.67.13 3.33200612.67 0.10.77 1.60 306.57 17.22 56.85 12.39.34 0.54200714.17 4.8-0.58 1.52 363.44 14.40 58.91 11.510.64 -4.1820089.63 2.10.40 1.51 417.04 10.83 56.26 8.79.43 -8.6120098.71 2.12.28 1.79 962.90 10.81 60.48 8.73

10、5.95 2.37201010.10 3.22.54 1.82 795.11 13.19 68.44 9.345.08 -7.58三、用主成分分析法測算宏觀經(jīng)濟(jì)與金融環(huán)境穩(wěn)定性指數(shù)。將Excel文件中的金融穩(wěn)定性指標(biāo)數(shù)據(jù)導(dǎo)入Eviews中，利用公式x=(y-mean(y)/stdev(y)， 將數(shù)據(jù)轉(zhuǎn)化為標(biāo)準(zhǔn)值，數(shù)據(jù)如下利用Eviews中的principal components命令，計(jì)算主成分的方差、特征值與各主成分的線性組合系數(shù)。然后導(dǎo)出四個(gè)主成分的得分序列，如下四、合成反應(yīng)金融穩(wěn)定性的總和因子TPAC：TPAC=(0.422*PAC1+0.227*PAC2+0.124*PAC3+0.11

11、1*PAC4)/0.8841將得出的綜合因子得分加100得到金融穩(wěn)定性指數(shù)。具體數(shù)據(jù)如下，年份中國金融穩(wěn)定綜合因子中國金融穩(wěn)定性指數(shù)1993-0.07843344199.921566561994-0.22942843999.770571561995-0.42604109799.57395891996-0.59950104499.400498961997-0.65496573699.345034261998-0.79346160199.20653841999-0.86966171599.130338292000-0.73474225999.2652577420010.066865454100.0

12、66865520020.097283801100.097283820030.297257515100.297257520040.174030852100.174030920050.361903041100.36190320060.46959847100.469598520070.488812035100.48881220080.380209445100.380209420090.995914083100.995914120101.054360637101.0543606五、實(shí)驗(yàn)結(jié)果分析基于主成分分析法對(duì)1993-2010年中國金融穩(wěn)定性指數(shù)測算實(shí)驗(yàn)結(jié)果主要說明：金融穩(wěn)定指數(shù)相對(duì)客觀地反應(yīng)了宏觀經(jīng)濟(jì)與金融運(yùn)行中的穩(wěn)定性狀況。整體上看來，1993-2010我國的金融系統(tǒng)穩(wěn)定性有明顯提升。具體而言，1994-1995年金融指數(shù)變化大，實(shí)際情況也是金融不穩(wěn)定，當(dāng)時(shí)出現(xiàn)了“金融三