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.
Zuo Zhenglong
. A Study of Early Warning of Systemic Financial Risk in Kazakhstan–An Analysis Based on Financial Pressure Index[J]. Finance & Economics of Xinjiang, 2021
, 0(4)
: 70
-80
.
DOI: 10.16716/j.cnki.65-1030/f.2021.04.007
[1] Frankel J A,Rose A K.Currency Crashes in Emerging Markets:An Empirical Treatment[J].Journal of International Economics,1996(3):351-366.
[2] Kaminsky G,Lizondo S,Reinhart C M.Leading Indicators of Currency Crises[Z].IMF Working Paper,1998.
[3] Sachs J,Tornell A,Velasco A.Financial Crises in Emerging Markets:The Lessons from 1995[Z].NBER Working Paper, 1996.
[4] Abiad A.Early Warning Systems for Currency Crises:A Markov-switching Approach with Application to Southeast Asia[Z].IMF Working Paper,2003.
[5] Jeannette Müller.Interbank Credit Lines as a Channel of Contagion[J].Journal of Financial Services Research,2006(1):37-60.
[6] Illing M,Ying L.An Index of Financial Stress for Canada[Z].Bank of Canada Working Paper,2003.
[7] 国际货币基金组织(IMF).世界经济展望(中译本)[M].北京:中国金融出版社,2008.
[8] Craig S Hakkio,William R Keeton.Financial Stress:What Is It,How Can It Be Measured,and Why Does It Matter?[J].Journal of Financial Stability,2006(3):243-265.
[9] Kliesen K L,Smith D C.Measuring Financial Market Stress[EB/OL].Federal Reserve Bank of St.Louis National Economic Trends,http://research.stlouisfed.org/publications/net/20100101/ cover.pdf,2010-01-01.
[10] Oet M,Eiben R,Bianco T.The Financial Stress Index:Identification of System Risk Conditions[Z].Federal Reserve Bank of Cleveland Working Paper,2011.
[11] 许涤龙,陈双莲.基于金融压力指数的系统性金融风险测度研究[J].经济学动态,2015(4):69-77.
[12] 刘瑞兴. 金融压力对中国实体经济冲击研究[J].数量经济技术经济研究,2015(6):147-151.
[13] 魏金明. 系统性金融风险的测度及影响因素研究[J].商业研究,2016(2):73-80.
[14] 梁斯,郭红玉.宏观经济压力对系统性金融风险的冲击研究[J].南京社会科学,2017(6):46-54.
[15] 唐旭,张伟.论建立中国金融危机预警系统[J].经济学动态,2002(6):7-12.
[16] 唐升,周新苗.中国系统性金融风险与安全预警实证研究[J].宏观经济研究,2018(3):48-61.
[17] 戴步斌,何文举.中国金融压力指数构建与经济预警的实证研究[J].财经理论与实践,2018(1):27-32.
[18] 左正龙. 冲击条件下系统性金融风险传染的理论分析[J].中国物价,2020(11):59-62.
[19] 左正龙. 哈萨克斯坦系统性金融风险分析及防范对策[J].新经济,2020(9):26-29.
[20] 左正龙. 基于金融压力指数的哈萨克斯坦系统性金融风险测度研究[J].金融发展评论,2020(8):25-40.
