中國人民大學經濟學院

數量經濟學Seminar

題目：Financial Stress Testing Based on the GFF Viewpoint: A Case Study in China
報告人：張南 教授
時間：  2016年3月28日（周一）14:00－15:00
地點：  明商 0105
      
Abstract: This paper aims to propose new statistical monitoring system for measuring financial stress. Firstly, the paper inspect the influence of Global-Flow-of-Funds (GFF) and the continual growth of macro economy on the stability of financial systems, and build a statistical monitoring system for testing financial stress. Secondly, this paper dynamically link real economics with financial economics, and combine domestic flow of funds with international capital flows, to construct the statistics observation system of GFF. Thirdly, we created a Chinese finance stress index that corresponds well with the current status of Chinese external flow of funds. Fourthly, we expanded the empirical analysis based on Vector Error Correction Model and have submitted the future works, after obtaining some conclusion.
Key Words: Global-Flow-of-Funds, Finance Stress Index, Financial Risk, Vector Error Correction Model
 

報告人簡介：現任日本廣島修道大學教授，主要研究方向為金融統計學，主要社會兼職：國際貨幣基金組織統計司技術援助專家；北京大學金融證券研究中心特約研究員，中國人民銀行調查統計司特約研究員，北京師范大學國民核算研究院兼職教授。

中國人民大學經濟學院 數量經濟學教研室 2016年3月21日