本文以哈萨克斯坦数据为样本,选取外部金融市场、股票市场、银行业及宏观经济基本面4个子系统中具有代表性的同步变量,基于CRITIC赋权法运用二级指标通过三次合成得到金融压力指数并将其作为因变量,以哈萨克斯坦宏观经济及货币信贷政策变量、国际经济关系与贸易伙伴国指标、滞后因变量作为自变量,采用逐步回归法构建系统性金融风险最优预测模型及哈萨克斯坦系统性金融风险预警指标体系,并对其风险状况进行测试。结果显示,合成的总体金融压力指数呈阶段性变化特征,2018年7月—2019年7月的压力测试结果显示,其总体压力呈波幅增大的下降态势;通过对压力时期进行识别,测试期内哈萨克斯坦基本处于压力适度时期,并开始降至压力相对安全期。总体来看,测试结果较佳地吻合了哈萨克斯坦经济金融发展实际。
Taking the data in Kazakhstan as the sample, this paper selects representative synchronous variables in four subsystems such as external financial market, stock market, banking and macroeconomic fundamentals. Based on the CRITIC empowerment, the financial stress index is obtained as dependent variable by using the three-level indices through three-time Synthesis. Taking the variables of macro-economic and monetary credit policy, the indices of international economic relations and trading partner countries, and the lagged dependent variable as independent variables, the optimal prediction equation of systemic financial risk is constructed by using the stepwise regression method and the practical risk early-warning index system in Kazakhstan has been established, and by using it the risk status in Kazakhstan has been predicted. The results show that the synthetic total stress index has the characteristics of periodic change. The stress prediction results from July 2018 to July 2019 show that the total stress is decreasing with increasing amplitude. By identifying the stress periods, Kazakhstan is basically in a moderate stress period and began to decline to a relative safety one in the forecast period. On the whole, the forecast results are in good agreement with the economic and financial development reality in Kazakhstan.
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