Research On Financial Crisis Early Warning Based On Time Series Model

During the ten years after the sub-prime mortgage crisis,countries have realized the importance of risk prevention,and have launched a series of financial regulatory reform and financial early warning research,which has promoted the recovery of the global economy to a certain extent.However,the current unpredictable financial environment has also brought difficulties to financial regulation,thus derived a variety of complex financial risks.The financial security of countries has added more uncertainty.At the same time,China,as a major financial country in the world,should pay more attention to the issue of financial security,and do a good job in all-round financial risk prevention,such as establishing a financial crisis early warning system in line with China's national conditions,which can not only effectively prevent various uncertain risks in economic development,but also ensure the smooth operation of China's economy and prevent the capital brought about by financial liberalization.Shocks and crises are contagious in chain.Therefore,it is of great significance for China's economic development to carry out effective financial crisis early warning research.Firstly,this paper briefly expounds the theory of financial crisis,and classifies it into different categories according to the nature of the crisis,so as to distinguish the causes of financial crisis,and provide a reference basis for the selection of indicators in the following text.At the same time,this paper analyses the current situation of China's financial vulnerability from multiple perspectives,illustrates the importance of risk identification,elaborates on the formation mechanism and transmission mechanism of financial crisis,and further provides theoretical support for the construction of the index system.In addition,the article also makes a detailed introduction to the theory of financial crisis early warning system,which not only clarifies the purpose of establishing financial crisis early warning system,but also outlines the history of the development of financial crisis early warning system,and explains the relevant specific operating procedures.Secondly,the paper introduces the selection principles of early warning indicators of financial crisis in detail,and determines two sets of early warning indicators,macro-prudential subsystem and micro-prudential subsystem.The 16 selected indicators constitute the early warning indicators system of financial crisis together.Then,it introduces the relevant principles and steps of MSVAR model andARIMA model in detail,which provides theoretical support for the application of the latter model.Finally,we use factor analysis method to make a comprehensive evaluation and analysis of China's financial risk situation.By synthesizing macro-financial vulnerability index and micro-financial vulnerability index and substituting them into MSVAR model,we find that MSVAR model has good financial crisis early warning ability.Then,combined with ARIMA model's prediction,we find that China's future macro-financial market is in a state of alert to risks.The financial market is in a high-risk state,and according to the empirical conclusions,the paper puts forward relevant preventive suggestions.