基于动态因子分析的我国银行体系脆弱性的判断与测度  

The Empirical Assessment of the Banking Fragility in China Based on the Dynamic Factor Analysis

作　　者：刘飞宇[1] 蒲勇健[1] 夏燕梅[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《南方金融》2010年第2期19-23,共5页South China Finance

基　　金：国家社会科学基金项目<和谐社会的微观经济理论研究>(项目编号:07BJY017)的阶段性研究成果

摘　　要：银行体系作为国家金融的命脉,对一国政治稳定和经济发展起着举足轻重的作用。关于银行体系脆弱性问题一直是研究的难点和热点。本文在借鉴国内外研究的基础上,利用动态因子分析的方法,构建了我国银行体系脆弱性指数。通过对1998-2007年十年间季度数据的实证检验,发现我国银行体系脆弱性程度总体上来说呈现下降趋势,但有明显的阶段性特征。因此,本文将整个脆弱性指数区间分成五个阶段并结合我国实际情况分析了银行脆弱性的动态变化。As the key composition of the national finance, the banking system plays an essential part on the political stability and the economic development and the problems on the banking fragility are our main concern currently. Drawing on the experience of the research achievement home and abroad, this paper employs the dynamic factor analysis and constructs the index of the bank system fragility in China. According to the empirical test on the quarter data during 1998-2007, it reveals that the banking system fragility of China declined, but presents phase characteristic. Due to that characteristic, this paper divides the space of the fragility index into five phases and analyzes the dynamic change of bank fragility in light of the specific situations in China.

关 键 词：银行脆弱性 测度 指数构建 因子分析 

分 类 号：F832.1[经济管理—金融学]