IMF宏观金融分析框架的内容与方法介绍.PDFVIP

中国人民银行工作论文 No.2016/7 PBC Working Paper No.2016/7 2016 年5 月30 日 May 30,2016 IMF 宏观金融分析框架的内容与方法介绍 尹澄坤 郑桂环 卢心慧 白晶洁 林元吉1 摘要：近年来，国际货币基金组织（IMF）日益重视宏观金融监管的研究，并努力将宏观金 融分析应用到基金组织的日常监督工作中。本文从以下四个方面跟踪了IMF 宏观金融分析框 架研究进展情况。一、介绍了IMF 宏观金融分析框架产生的背景；二、概述了IMF 宏观金融 分析框架的内容，包括基准情景和风险分析两方面；三、归纳总结了IMF 宏观金融分析的主 要工具与方法，包括多国宏观计量经济模型、GVAR 模型、经济周期与金融周期分析、DSGE 模型、银行压力测试、资产负债表分析方法、指标基础模型、网络分析和流动性工具以及敏 感度分析方法；四、介绍了IMF 宏观金融分析框架在若干国家的具体运用和最新进展。 Abstract: In recent years, the IMF has paid more attention to the research of macro-financial supervision and tried to apply macro-financial analysis to the Fund’s supervision work. This study reviews the progress of the IMF macro-financial analysis framework in the following four aspects. First, we introduce the background of the IMF macro-financial analysis framework. Second, we summarize the main contents of the framework of IMF macro-financial analysis, including the baselines and risk analyses. Third, we review the modeling tools and methods used in the IMF macro-financial analysis, including the Multi-Country macro econometric model, GVAR model, economic cycle and financial cycle analysis, DSGE models, bank stress tests, the balance sheet approach, indicator-based models, network analysis and sensitivity analysis. Finally, we discuss the applications of the macro-financial analysis framework to a few countries. 关键词：宏观金融分析，基线，风险分析 声明：中国人民银行工作论文发表人民银行系统工作人员的研究成果，以利于开展学术交 流与研讨。论文内容仅代表作者个人学术观点，不代表人民银行。如需引用，请注明来源 为《中国人民银行工作论文》。 Disclaimer: The Working Paper Series of the Peoples Bank of China (PBC) publishes research reports written by staff members of the PBC, in order to facilitate scholarly exchanges. The views of these reports are those of the authors and do not represent the PBC. For any quotations from thes