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| 基于分位数回归的金融市场稳定性度量 | |
| 引用本文： | 史金凤 杨威 刘维奇. 基于分位数回归的金融市场稳定性度量[J]. 系统工程理论与实践, 2014, 34(Z1): 92-99. DOI: 10.12011/1000-6788(2014)s1-92 |
| 作者姓名： | 史金凤 杨威 刘维奇 |
| 作者单位： | 1. 山西大学 经济与管理学院, 太原 030006;2. 山西大学 数学科学学院, 太原 030006;3. 中国科学院 数学与系统科学研究院, 北京 100190 |
| 基金项目： | 山西省软科学研究项目(2013041024-02);山西大学校科研基金(011551901006) |
| 摘 要： | 基于系统风险视角，通过分位数回归技术，提出了金融市场稳定性度量的新方法，在论述金融市场稳定性度量原理的基础上，设计出可行的 计算步骤，并据此实证分析了我国金融市场的动态特征. 实证结果显示，本文提出的金融市场稳定指数在数值上和趋势上都与金融市场的现实情况相符，能够有效检测出市场不稳定的时间区间，且具有稳健性，是监测金融市场运行状态的有效定量指标，可为金融监管提供技术支持. |
| 关 键 词： | 金融稳定 稳定指数 分位数回归 |
| 收稿时间： | 2013-12-22 |
The measure of financial market stability based on quantile regression |
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| SHI Jin-feng,YANG Wei,LIU Wei-qi. The measure of financial market stability based on quantile regression[J]. Systems Engineering —Theory & Practice, 2014, 34(Z1): 92-99. DOI: 10.12011/1000-6788(2014)s1-92 | |
| Authors: | SHI Jin-feng YANG Wei LIU Wei-qi |
| Affiliation: | 1. School of Economics and Management, Shanxi University, Taiyuan 030006, China;2. School of Mathematical Science, Shanxi University, Taiyuan 030006, China;3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China |
| Abstract: | A new measure of financial market stability is built based on the perspective of systematic risk using quantile regression. After discussing the principle of financial stability measurement, the feasible calculation steps are designed and used to empirical analysis for the dynamic characteristics of financial market in China. The proposed empirical results show that the financial market stability index is consistent with the reality of the China's financial markets, which can effectively detect the unstable period, and the index is robust. It is an effective quantitative indicator to monitor the financial markets, which can provide support for financial regulation. |
| Keywords: | financial stability stability index quantile regression |
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