中国金融稳定性指数的测算与分析.doc

中国金融稳定性指数的测算与分析中国金融稳定性指数的测算与分析一、金融稳定性指标基础数据收集19932010年金融稳定性评估框架中反映金融稳定性指标的基础数据年份国内生产总值（亿元）财政收支差额（亿元）中国GDP平减指数（1978=100）美国GDP平减指数（1978=100）货币供给量M2（亿元）金融机构信贷总量（亿元）短期债务（亿美元）外债总额（亿美元）负债率（%）经常账户顺差（亿美元）外汇储备总量（亿美元）人民币汇率199335333.9293.35115.2 102.4 34879.832943.142.67412.9913.9-119.0 211.995.762199448197.9574.52120.6 102.0 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 104498.586524.1173.41460.4315.2293.2 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 2121.658.2772002120332.73149.51100.6 101.5 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 8188.328.1942006216314.41662.53103.6 103.5 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 19460.36.9492009340902.87781.699.597.4610224.52399684.822592.64286.58.732971.4 23991.526.831201039798310100106.0102.8725851.79479195.553756.955489.389.343054.0 28473.386.6227二、基础数据的处理与金融稳定性指标的计算1993-2010年金融稳定性评估框架中反映金融稳定性的指标年度实际GDP增长率(%)相对通货膨胀率财政收支差额/GDP(%)M2/GDP信贷增长率(%)短期债务/外汇储备(%)短期债务/外债总额(%)负债率(%)经常账户差额/GDP(%)实际汇率变动率(%)199314.00 12.80.83 0.99 66.20 20.13 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 15.22.88 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 1.59 192.02 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 8.735.95 2.37201010.10 3.22.54 1.82 795.11 13.19 68.44 9.345.08 -7.58三、用主成分分析法测算宏观经济与金融环境稳定性指数。将Excel文件中的金融稳定性指标数据导入Eviews中，利用公式x=(y-mean(y)/stdev(y)， 将数据转化为标准值，数据如下利用Eviews中的principal components命令，计算主成分的方差、特征值与各主成分的线性组合系数。然后导出四个主成分的得分序列，如下四、合成反应金融稳定性的总和因子TPAC：TPAC=(0.422*PAC1+0.227*PAC2+0.124*PAC3+0.111*PAC4)/0.8841将得出的综合因子得分加100得到金融稳定性指数。具体数据如下，年份中国金融稳定综合因子中国金融稳定性指数1993-0.07843344199.921566561994-0.22942843999.770571561995-0.42604109799.57395891996-0.59950104499.400498961997-0.65496573699.345034261998-0.79346160199.20653841999-0.86966171599.130338292000-0.73474225999.2652577420010.066865454100.066865520020.097283801100.097283820030.297257515100.297257520040.174030852100.174030920050.361903041100.36190320060.46959847100.469598520070.488812035100.48881220080.380209445100.380209420090.995914083100.995914120101.054360637101.0543606五、实验结果分析基于主成分分析法对1993-2010年中国金融稳定性指数测算实验结果主要说明：金融稳定指数相对客观地反应了宏观经济与金融运行中的稳定性状况。整体上看来，1993-2010我国的金融系统稳定性有明显提升。具体而言，1994-1995年金融指数变化大，实际情况也是金融不稳定，当时出现了“金融三