CAJ | 학술논문

本文利用未定权益分析方法（CCA），基于我国2000—2008年系统性宏观金融存量数据，深入探讨了宏观金融风险的演变速度与机制。在明晰了主要风险因子及其波动原因的基础上，本文首先量化分析并直观演示了国民经济机构部门①层面宏观金融风险积增的非线性速度和轨迹；进而研究了同样具有危害性的部门间非线性风险传染机制和速度。论文旨在为增强宏观金融审慎监管的可操作性提供理论和实证支持。
본문이용미정권익분석방법（CCA），기우아국2000—2008년계통성굉관금융존량수거，심입탐토료굉관금융풍험적연변속도여궤제。재명석료주요풍험인자급기파동원인적기출상，본문수선양화분석병직관연시료국민경제궤구부문①층면굉관금융풍험적증적비선성속도화궤적；진이연구료동양구유위해성적부문간비선성풍험전염궤제화속도。논문지재위증강굉관금융심신감관적가조작성제공이론화실증지지。
This paper is to quantify and analyze the non - linearity characteristic for the accumulation and trans- mission of risk in the macro - financial system with CCA approach and data from the risk - adjusted balance sheets of China＇s main sectors. Sector - level market leverage, market value of implied assets and asset volatility are highlighted as key factors that drive rapid increase in macro - financial risk and risk transmission between interlinked sectors. We illustrate how risk indicators, like EL, PD and DD, had evolved as the key factors change for the period of 2000Q1--2008Q4. We have also conducted sensitivity analysis to examine the effect of multi - factors on the above - mentioned risk indicators.