中文摘要：

通过金融压力指数度量金融风险,分析金融压力与宏观经济的动态效应,对防范和化解金融风险具有重要意义。笔者首先选取反映银行、股票、债券和外汇等四个金融市场变化的7个关键性指标来综合构建中国金融压力指数,测度2002年1月—2016年6月期间的中国金融压力状况,认为我国目前处在金融风险高发阶段,并可能将长期面临较高的金融压力。其次,根据压力指数的区制转换特征,运用非线性的MS-VAR模型分析金融压力和宏观经济之间的动态效应,发现金融压力和宏观经济之间相互作用的三区制特征明显,存在一定的“棘轮效应”,并且在“低压力”和“高压力”两种状态下金融压力与宏观经济的效应关系比在“中压力”状态下更为显著。最后,笔者对主要结论进行了总结,并提出改进金融监管能力、加强金融风险调控、着力深化金融“供给侧改革”等政策建议。

英文摘要：

It is of great significance to prevent and defuse financial risks by measuring the macro financial risk with financial stress index, and analyzing the financial stress and the dynamic effect of macroeconomy. The author selects 7 key indicators to reflect the actual changes in the financial markets to build China＇s financial stress index, and measures China＇s financial stress status during the period of January 2002--June 2016. We further conclude that China is in the phase of high financial risk, and is likely to face higher long-term financial pressure. Second, according to the area system transformation characteristics, we use nonlinear MSVAR model to analyze the dynamic effects between financial stress and macroeconomy, and find that the interaction of financial stress and macroeconomic in three regimes are significant, and there is a ＂ratchet effect＂. It is more significant in two states of ＂low stress＂ and ＂high stress＂ than in the condition of ＂middle stress＂ in financial pressure and macroeconomy. Finally, this paper summarizes and puts forward policy recommendations as to improve financial regulation ability, strengthen financial risk control, and deepen the financial reform of the ＂supply side＂.