The Research On Construction Of Financial Stress Index And Its Application

The financial storm sweeping through global market in 2008 brought the problem of systematic risk in financial market to the surface. The central bank in each country and relater researchers in academic field are aware that traditional currency policy realizing economic growth and stable currency target through controlling inflation cannot satisfy requirement for stable financial system. Financial stability as an important guarantee for economic sustainable development, continually expand the depth and breadth of Chinese economy into the world economy by the horizontal and vertical. The global economic structure is changing because of the opening of Chinese economy, and the improvement of opening degree means that Chinese economic growth will become more vulnerable to global economic fluctuations. Although there has not been financial crisis breaking out, the unstable fluctuation of finance is inevitable and Chinese economy is in key period of transition. As a result, under the environment of economic globalization, the research on stable quantization of Chinese finance and its influence on currency policy is with important theoretical and realistic significance.First, the thesis makes systemization about related theories to financial stability and financial stress indexes, and makes theoretical analysis on relevance between financial stability and currency policies, as well as introduces concept, feature, construction and identification methods of financial stress index, forming certain understanding in theoretical aspect of financial stress index. The thesis analyzes the relation between stable financial quantization and financial stress, analyzes the feasibility of financial stress index as indicator of financial stable quantization.Secondly, the thesis takes advantage of variance weighted average, vector auto-regression and state space model to construct respectively four groups of financial stress indexes and selects the index with better effects to analyze two macroeconomic indicators related to currency policy-the relation between inflation and output growth. It is found from results that the financial stress index constructed by the research can reflect stability of Chinese financial market, of which the financial stress index constructed based on impulse response of output increase rate is with the best effects and the pressure period identified during the period of sample conforms basically to practical situation. The effectiveness of financial stress index indicates that it can guide formulation of currency policy and there is necessity to include financial stability into target reference of currency policy.Then, explaining the relationship between financial stability and currency policy, thus acquiring clear theoretical perception about whether there is necessity to give consideration and maintain stable financial target as to currency policies. The thesis include financial stress index as quantization indicator of financial stability within Taylor rule to examinethe relevance between financial stability and Chinese currency policies. The examination results indicate that it is effective to add financial stress index into Taylor rule and the interest rate is in obvious negative correlation with financial stress index coefficient. The monetary bureau should take financial market stability into consideration when setting interest rate.Finally, to sum up the full text to get the conclusion that the reasonable construction of the financial stress index and as the quantitative index of financial stability cooperates to implementation of monetary policy, which will help to maintain a stable growth rate. The thesis proposes related policy suggestions from three perspectives of measuring of financial stability, all-directional supervision as well as coordinative mechanism to currency policy implementation with the purpose to prevent systematic financial risk better and promote financial stability and stable and healthy development of macro economy.