Statistical Measure of Macro-Financial Structure Risks and Its Application

The macro-financial structure risk is an important part of financial risks. This paper constructs the sub-indices of foreign financial assets risks, monetary liquidity risks and mismatch structure risks for integration into the macro-financial structure risk index according to the index principle. The data of related indicators from January 2007 to April 2015 of China are collected for measuring each sub-index and their subsequent summarization into the total index of the macro-financial structure risk, and the trends of each sub-index and the total index are analyzed. After that, statistical tests and practical analysis are conducted to study the effectiveness, sensitivity and relevance of the macro-financial structure risk index. The practical analysis of the index shows that the macro-financial structure risks of China are on the rise, with prominent tendency characteristics, that the characteristics of each sub-index and their impact on the macro-financial structure risks are different, that the macro-financial structure risk index can be expected to play a leading role for predicting the macro economy and that the sub-indices are correlated to the total index to different degrees, despite their common action effects.

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