中文摘要：

本文首先从金融不稳定的视角解释系统性金融风险的产生,并将风险的生成演变划分为早期生成、演化积累以及扩散爆发三个阶段;实证分析部分中建立了具有马尔科夫区制转移过程的动态潜在因子模型,并采用贝叶斯吉布斯抽样的方法对状态空间模型进行了估计;估计结果表明我国金融系统具有明显的'金融不稳定'和'金融稳定'两个区制,'金融不稳定'区制持续时间较短且很容易转移到'金融稳定'区制;通过建立马尔科夫自回归模型研究了我国金融不稳定性对宏观经济的影响;使用吉布斯抽样方法对金融不稳定因子预测结果表明,2013年末金融系统稳定性增强,2014年上半年我国金融不稳定性小幅波动但仍然位于金融稳定区制。

英文摘要：

in this paper, we first explain the generating of systemic financial risk from the perspective of financial instability and divide the evolution of risk into three stages, i.e., early generating stage, evolving stage, and spreading stage;in empirical analysis, we estimate the proposed dynamic factor model with regime switching using Gibbs-Sampling approach;results show that our ifnancial system can signiifcantly be classiifed into“instable regime”and“stable regime”, and it is more likely that the ifnancial system will transfer into a stable regime when it is in an instable regime;we analyze the asymmetric effect of financial instability on Chinese economy using a specific Markov-Switching Auto-regression model;finally, the financial instability of our financial system is predicted with the Gibbs-Sampling approach, and it is showed that the system is more stable at the end of 2013, and though the system will lfuctuate in the ifrst half of 2014, it will still be in the stable regime.