摘要：及时有效地识别和监测金融风险,判断风险的演化方向,对于宏观审慎措施和危机干预措施的制定有重要意义。然而,许多常用的风险度量指标仅适用于单个市场,难以反映系统性风险。由于系统性金融风险爆发时期的一个重要特征是各金融市场风险联动性、传染性的显著增强,本文基于这个特征,构建了描述中国金融市场系统性压力的指数——中国 CISS。本文选取债券市场、金融部门、股票市场和外汇市场的13个子指标,用子指标间时变的相关系数矩阵作为动态权重,对市场间相关性增强且各子指标均上升到高位的情况（显示风险在市场之间的传染）赋予更高的权重,以此识别系统性压力。结果显示,中国CISS指标的峰值与历史上的金融风险事件高度吻合,且具备很好的稳健性,可以及时发挥监测金融市场压力的作用。

关键词 ： 系统性压力,  监测指标,  CISS        

Abstract：It is critical for financial regulators to assess the overall level of stress in the financial system in a timely manner, but various financial markets often send mixed signals. To address this problem, this paper presents a single composite indicator of system stress（China CISS）based on 13 financial indicators of the equity market, the bond market, financial institutions and the foreign exchange market. To capture the stylized fact that co-movements between markets are much stronger during times of financial stress, the paper uses the time-varying correlation matrix between sub-indices as a dynamic weighting mechanism and identifies the episodes when both the covariance and co-extremeness across markets are jointly high as “systemic”stress events. Multiple robustness checks have been conducted and China CISS proves to be a kind of remarkably robust statistic in the time dimension.    

Key words： Systemic Financial Stress    Stress Indicator    CISS