Research On Regional Financial Risk Early Warning Based On MS-VAR Model

With the deepening of economic globalization and financial innovation,financial derivatives are emerging and financial market transactions are frequent.However,behind the prosperity and development of the financial industry,financial risks have gradually accumulated.In recent years,China has entered a period of new normal.In its current stage of development,China has to deal simultaneously with the slowdown in economic growth,making difficult structural adjustments,and absorbing the effects of the previous economic stimulus policies.China is in a period of economic growth transformation,industrial structure optimization and dynamic policy adjustment.Therefore,ensuring national economic growth and increasing early warning and monitoring of regional financial risks are of great practical significance for preventing financial risks and ensuring stable growth of regional economies.Based on the theoretical analysis of regional financial risk transmission paths and risk early warning analysis,and combining with the characteristics of regional economic development,this paper selects 3 first-level indicators of the macroeconomic dimension,the regional economic dimension and the regional financial institution dimension,11 second-level indicators such as stock market,bond market and government departments and 24 third-level indicators such as the ratio of M2 year-on-year growth to GDP year-on-year growth,regional industrial enterprise asset-liability ratio,and banking non-performing loan ratio.These are the basic variables of the regional financial risk early warning system.Firstly,this article uses principal component analysis to screen basic indicators.And,this article uses basic indicators to composite financial risk pressure index and regional financial risk comprehensive index.Secondly,the financial pressure index and the basic indicators of financial risk are used as dependent and independent variables of the MS-VAR model,which is used to construct a regional financial risk early warning model,and to identify the status and inflection point of regional financial risks.Finally,the ARIMA model is used to synthesis the comprehensive index of regional financial risk from May 2019 to December 2019,and combined with MS-VAR model to predict the future level of regional financial risk.The results show:(1)From 2005 to 2006,the risk level of the macroeconomic dimension was in a high-risk state,and both low-risk and high-risk states had certain continuity;(2)From 2007 to 2009,the macroeconomic dimension,the regional economic development dimension and the financial risk composite index were all at a high risk level,and the high risk state lasted longer;(3)From 2013 to 2014,the three major dimensions of macroeconomic dimension,regional financial institution dimension and regional financial risk composite index changed from low risk to high risk.The conversion probability of the regional financial risk composite index shows that when the risk level in any t period is at high risk,there is a probability of 0.92 in t + 1 period at high risk.It indicated that the high-risk state had a strong continuity.Therefore,the monitoring of regional financial risks should be strengthened to ensure stable and controllable of financial risks.(4)From May 2019 to December 2019,the regional financial risk level was always at a low level of risk.During this period,when the risk level at any t period is at low risk,then the probability of 0.97 at t + 1 period is at moderate risk.This shows that the degree of conversion from low risk to medium risk is greater.In the risk management and control work,it is necessary to strictly prevent the risk escalation from low risk to medium risk.Based on the above analysis,the regional financial risk early warning model based on the MS-VAR model better describes the regional financial risk level.And the warning results of this model are basically consistent with the actual situation.Finally,on the basis of theoretical analysis and empirical research,the countermeasures and suggestions for preventing local financial risks are proposed from the aspects of strengthening local debt supervision,improving the debt service reserve system,and adjusting the credit structure of the banking industry.