中国资本市场系统稳定性评估与监测研究

项目名称： 中国资本市场系统稳定性评估与监测研究

项目编号： No.71273190

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 管理科学

项目作者： 闻岳春

作者单位： 同济大学

项目金额： 56万元

中文摘要： 本项目针对中国资本市场实际运行中出现的问题，提炼出"中国资本市场系统稳定性评估与监测"科学问题并加以理论研究。具体来说，项目基于已有的研究成果，重新界定资本市场系统稳定性的定义和内涵，分析其影响因素和作用机理；借鉴IMF关于金融稳定性评价体系的方法，构建资本市场系统稳定性评估体系；依据"不稳定即风险"的理解，应用主成分分析，构建吸收比率模型，估计系统性风险，补充说明资本市场系统稳定性。 本项目的研究具有较强的理论与实践价值。项目将侧重定量研究方法的（创新）运用和对金融理论、系统论、生态学、风险管理理论所作的优化整合，以丰富资本市场和风险管理理论的研究范畴。 项目将构建一套评估和监测中国资本市场系统稳定性的体系，相关研究成果必将为经济金融理论研究人员，资本市场参与主体特别是监管部门提供有益借鉴。

中文关键词： 系统稳定性；复杂网络；羊群行为；溢出效应；系统重要性金融机构

英文摘要： With some actual problems of China's capital market as the object of study, this project extract from the scientific issues about 'How to assess and monitor China's capital market systemic stability' to the corresponding theoretical research. Specifically,based on existing research results, this project redefine the definition and connotation of capital market systemic stability (CMSS) and discuss its influencing factors and interaction mechanisms. Learned from IMF's financial stability index system, we build a capital market system stability assessment system to estimate China's CMSS. According to "instability is risk", we apply principal component analysis and build an absorption rate (AR) model to calculate systemic risk which can illustrate China's CMSS from the other side. This project has strong theoretical and practical value. We will focus on the (innovative) use of quantitative methods, which can make up the deficiencies of the existing research to a certain extent. We will innovatively use and integrate financial theory, systems theory, ecology, and risk management theory, which can extend research areas of capital market and risk management. This project is to build a system to assess and monitor China's capital market systemic stability. The related result will provide a useful reference for the rese

英文关键词： system stability；complex network；herd behavior；spillover effect；systemically important financial institutions