Study On Statistical Monitoring Of The Abnormality In Macro Financial Operation

Robustness of macro financial operation is one of important monitoring objects of the macroeconomic and financial operations, and the macro financial robustness running is related to healthy and stable development of the national economy and finance. Macro financial operation process anomalies frequently break out, especially in recent years, such as the U.S. subprime mortgage crisis and the debt crisis in Europe. These phenomena show that it is necessary to monitor the abnormal situation of the macro financial operation, in order to effectively reduce the accumulation of financial risks and prevent the outbreak of the financial crisis.First, based on the extensive study on the abnormal situation of the financial operation in domestic and foreign, this paper systematically defines the concepts of financial operations, analyzes liquidity between financial internal institutions, financial systems, financial institutions sector and the real economy departments, and then discusses the effectiveness of macro financial operations functions, and finally defines the concept of financial operation abnormality, determines its statistical standards and builds financial operations abnormality statistical monitoring system framework based of fund flow.Second, this paper carries out a comprehensive comparison on the existing anomaly detection methods and measurement models, primarily financial operation anomalies statistical monitoring indicators from the three related aspects of financial institutions running, namely, financial systems running and financial institutions sector and the real economy departments running, and further screens indicators using structural equation model.Third, this paper uses single index and multi-index anomaly detection method to monitoring outliers in financial institutions operation, and selects the indicators, such as liquidity, credit default, market adaptability and securities markets, insurance markets, international financial institutions and other indicators to reflect the financial institutions operation, and uses joint estimation method to detect the outliers in a single time series of them. On the basis of recombination, this paper uses principal component analysis method to detect outliers in a multi-index time series. The results show that the types of influence of significant events on financial institutions operating differ significantly, in which the abnormal deposits of financial institutions and regulatory reform has coupling, and the abnormal deposits of financial institutions has a strong relationship to their own business. In addition, under the combined effect of factors reflected by the individual indicators, the anomalies detected by the principal component analysis have strong correspondence with significant financial events, and with the increasing anomalies of financial institutions, their overall operating frequency of outliers will become higher.Fourth, this paper distinguishes the structural abnormalities from the abnormalities of periodic consistency. Using data from January2002to October2013, the joint estimation methods and spectral analysis were used to monitor the above abnormalities. The results showed that the major structural changes in the monetary base is closely related to changes in the central bank’s statutory deposit reserve ratio, the major structural changes in broad money and bank deposit rates are closely related, and structural changes in domestic credit is mainly affected by the monetary policy of the central bank. In addition, both the existence and the monetary base and the cycle of domestic credit agreement between mobility, and reflected on the primary cycle, indicating that Chinese money creation process is more stable to a certain extent and there is no cycle co-movement abnormalities.Fifth, in this paper, the current study monitors the correlation abnormalities of macro-financial and the real economy based on capital flows. The correlation abnormalities will be divided into two aspects, one is between the financial institutions and sub-sector of the real economy, the other is the overall relevance of the real economy. This paper uses the DCC-GARCH model to estimate the dynamic correlation coefficient of the financial institutions and the sub-sectors of the real economy, and uses the SDS model to estimate the degree of coordination of financial institutions and the real economy. The results show that the association of financial institutions and the real economy sector is less abnormal, and it indicates that flow of funds between financial institutions and the sub-sectors of the real economy is smooth. But the association of financial institutions and the real economy is abnormal rather than normal, and it indicates that the sustainable service of financial institutions to the economy is not persistentFinally, based on the conclusion after the factor analysis, combined with China’s current status of financial operations, and make recommendations to monitor financial institutions and the financial system and the macro-financial operation based association of abnormal capital flow countermeasures, and summarize the current research and outlook.