本文旨在建構以日資料為基礎的中國大陸金融風險觀察指數。研究方法為主成分分析與廣義自我迴歸條件異質變異模型，並整合37 個金融危機監測指標。結果顯示，2014 年8 月至2023 年9 月，指數呈現加槓桿、去槓桿、穩槓桿與再加槓桿的轉折。居中關鍵是，北京當局希冀拉升資產價格，沖銷改革成本；惟又擔憂泡沫，故擇機壓抑價格；政策反覆推高金融風險。

This study aims to construct the China Financial Risk Observation Index (CFROI) based on daily data. The research method combines principal component analysis and the generalized autoregressive conditional heteroskedasticity model and integrates 37 financial crisis monitoring indicators. The results show that from August 2014 to September 2023, the CFROI showed a transition of increasing leverage, deleveraging, stabilizing leverage, and re-increasing leverage. The main reason is that the Beijing authorities hope to raise asset prices and offset the cost of reform. However, they are also worried about bubbles and choose opportunities to suppress prices. Their policy cycle pushes up financial risks.

金融危機、主成分分析、廣義自我迴歸條件異質變異模型、金融不穩定假說、複合指數

Financial Crisis, Principal Components Analysis (PCA), General Autoregressive Conditional Heteroskedasticity (GARCH), Financial Instability Hypothesis, Composite Index