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我国正处于向经济高质量发展的转型阶段，经济发展方式的深刻改变和金融市场快速发展所累积的系统性金融风险开始暴露，维护金融稳定是现阶段金融领域亟待解决的首要问题。在党的二十大上，习近平总书记重点强调要加强和完善现代金融监管，提高防范化解金融风险能力，守住不发生系统性金融风险底线，走好中国特色金融发展道路。因此，科学监测我国金融体系所承受的风险压力状况，深入探究金融压力对宏观经济的动态传导效应，对于我国有针对性地制定宏观经济调控政策、牢牢守住不发生系统性金融风险的底线具有重要指导意义。

本文首先借鉴已有的相关研究和理论，结合新时代下中国金融体系的特点，从我国金融系统中占据主导地位的六大金融子市场，即货币、债券、股票、外汇、房地产和保险市场出发，共选取23个基础指标，基于多层因子模型，构建得到我国金融压力指数（CFSI）。同时，本文建立马尔科夫区制转换向量自回归（MS-AR）模型，对其进行区制状态识别；随后，本文结合频域与时域的分析方法，即首先基于谱分析尝试对金融压力指数与宏观经济变量进行关联性分析，然后基于具有随机波动率的时变参数向量自回归（TVP-SV-VAR）模型，对两者之间的传导机制进行深入探究。

研究结果表明：第一，本文构建的CFSI能够较好识别研究期内不同阶段的压力事件，可以被划分为“低压力”、“中压力”以及“高压力”三种状态，具有“惯性”特征和明显的“棘轮效应”，并且我国现阶段主要处于中高压力状态。第二，本文构建的CFSI与宏观经济变量的变动周期大致相似，在长周期上的波动具有较强的相关性和领先性。第三，在不同时期内，金融压力的正向冲击对宏观经济变量均表现出显著的时变特征，相比于中期和长期，金融压力的正向冲击主要在短期内对国内生产总值（GDP_M）、居民消费价格指数（CPI）和利率（R）的作用更为明显。

最后，基于研究结果，本文得到如下政策建议：第一，我国政府相关部门应尽快完善金融压力指数的编制，并及时公布。第二，我国政府相关部门更应关注“中压力”状态时期。第三，精准施策，提升金融监管能力。

China is in the transition stage to high-quality economic development, and the systemic financial risks accumulated by the profound changes in the economic development mode and the rapid development of the financial market have begun to be exposed. At the 20th National Congress of the Communist Party of China, General Secretary Xi Jinping emphasized the need to strengthen and improve modern financial supervision, improve the ability to prevent and resolve financial risks, maintain the bottom line of no systemic financial risks, and take the path of financial development with Chinese characteristics. Therefore, it is of great guiding significance for China to scientifically monitor the risk pressure of China's financial system and deeply explore the dynamic transmission effect of financial pressure on the macroeconomy, so as to formulate macroeconomic regulation and control policies in a targeted manner and firmly guard the bottom line of no systemic financial risks.

Based on the characteristics of China's financial system in the new era, this paper selects a total of 23 basic indicators based on the six dominant financial sub-markets in China's financial system, namely currency, bond, stock, foreign exchange, real estate and insurance market, and constructs China's Financial Stress Index based on the multi-level factor model. At the same time, in order to further scientifically and effectively identify the financial stress period, this paper establishes a Markov zone system transformation vector autoregressive model to identify the zone system state, and then combines the analysis methods of frequency domain and time domain, that is, firstly attempts to analyze the correlation between the financial stress index and macroeconomic variables based on spectral analysis, and then explores the transmission mechanism between the two based on the time-varying parameter vector autoregressive model with random volatility.

The results show that: firstly, the CFSI constructed in this paper can better identify the pressure events at different stages during the study period, and can be divided into three states: "low pressure", "medium pressure" and "high pressure", with "inertia" characteristics and obvious "ratchet effect", and China is mainly in the state of medium and high pressure at this stage. Second, the CFSI constructed in this paper is roughly similar to the change cycle of macroeconomic variables, and has a strong correlation and leading position in the long-term fluctuations. Thirdly, the positive impact of financial stress on macroeconomic variables shows significant time-varying characteristics in different periods, and compared with the medium and long term, the positive impact of financial stress mainly has a more obvious effect on gross domestic product, consumer price index and interest rate in the short term.

Finally, based on the research results, the following policy recommendations are obtained: First, the relevant departments of the Chinese government should improve the compilation of the financial stress index as soon as possible and publish it in a timely manner. Second, the relevant departments of the Chinese government should pay more attention to the period of "medium pressure". Third, we need to implement precise policies to enhance the capacity of financial supervision.