Research on the Measurement,Risk Identification and Transmission Effects of the Stress Index in China's Commercial Paper Market
This paper adopts a commercial paper market perspective,draws from relevant methods for measuring systemic financial risks and establishes an evaluation framework consisting of 11 fundamental indicators covering credit risk,liquidity risk,market risk and compliance risk.Utilizing time-varying correlation coefficients method from portfolio theory,this paper synthesizes a commercial paper market stress index,and identifies high and low-risk status of the stress index using the MS-AR Markov regime-switching model.Additionally,it investigates the dynamic transmission effects of commercial paper market stress on the macro-economy using the TVP-VAR model.Empirical results reveal that the commercial paper market generally operates in a state of moderate to low stress.Additionally,periods of high stress align with recent risk events in the commercial paper market,and it can swiftly reflect the shocks from these events.Regarding risk transmission,during periods of high stress,the stress of the commercial paper market will have a fast negative impact on the macro-economy within 2 to 6 months,while during the low stress period,the transmission path of the commercial paper market to the macro economy is always a negative effect.The research indicates that this index effectively measures and identifies commercial paper market stress,providing tools and data references for monitoring overall and localized risks in the commercial paper market and evaluating policy effectiveness.It also offers a methodological reference for measuring and identifying risks in other financial sub-markets.
Commercial Paper MarketStress IndexRisk IdentificationTransmission Effect
万方数据
维普
