国际金融危机对我国银行体系脆弱性的冲击效应  

Shock Effect of International Financial Crisis on the Vulnerability of China's Bank System

作　　者：陈守东[1] 田艳芬[1] 邵志高[2] 杨东亮[1] 

机构地区：[1]吉林大学数量经济研究中心商学院,吉林长春130012 [2]中国人民银行长春中心支行,吉林长春130000

出　　处：《重庆工商大学学报（西部论坛）》2009年第4期60-72,共13页Journal of Chongqing Technology and Business University:West Forum

基　　金：国家社会科学基金项目(06BJY010);教育部重大项目(05JJD790005;07JJD790131);吉林大学211工程项目

摘　　要：从流动性风险、信贷风险和汇率风险视角构建的银行体系脆弱性测度指数更具时效性;建立时变参数模型,分析国际金融危机对我国银行体系脆弱性的冲击,结果表明,国际金融危机对我国银行体系脆弱性具有明显的负向冲击。为避免我国银行体系脆弱性加剧,应从信贷风险、流动性风险和汇率风险三个角度来控制银行风险的积累;特别是在制定实施刺激经济的措施时,要避免其对我国银行体系脆弱性可能造成的不利影响。Bank system vulnerability measurement index from the perspective of liquidity risk, credit risk and exchange rate risk is more time-sensitive. Based on the current international financial crisis, we build time-varying parameter model, analyze the impact of international financial crisis on fragility of China＇ s bank system, and find that the intemational financial crisis has obvious negative impact on fragility of China＇ s bank system. In order to avoid the aggravating of the fragility of the bank system, we should control the risk accumulation from such three angles as credit risk, liquidity risk and exchange rate risk and should avoid the economic measures＇ adverse effect on the fragility of China＇ s bank system especially when we make and carry out all kinds of economic-stimulating measures.

关 键 词：国际金融危机 银行体系脆弱性 时变参数模型 冲击效应 

分 类 号：F832.1[经济管理—金融学] F224