中国银行业脆弱性测度的实证研究——基于自下而上的方法  

An Empirical Study on China's Banking Fragility Measurement with the Top-down Method

作　　者：胡兆军[1] 

机构地区：[1]中国人民银行滨州市中心支行,山东滨州256603

出　　处：《金融理论与实践》2010年第11期68-73,共6页Financial Theory and Practice

摘　　要：国内外关于银行脆弱性的测度方法主要有事件分析法、CAMELS框架、信号法等,这些方法分别具有各自的优缺点和适用性。作者对此进行了评析,并且认为一个好的银行脆弱性测度模型应该具有三个特征:(1)模型的解释因素应该是导致银行脆弱的关键因素;(2)模型计量简便易行;(3)模型应具有预测功能,而不是事后测度。在此基础上作者构建了银行脆弱性指数(Banking Fragility Index),并运用该模型对中国银行业1999-2007年间的银行脆弱性进行了测度,最后对构成银行脆弱性的成因运用Logistic回归模型进行了分析。The measurements of banking fragility at home and abroad are different.There are event-based method,camels frame,KLR method,etc.These methods have their respective advantages,disadvantages and applicability.The author made comments on these methods in this paper.The author holds that a good model on the measurement of banking fragility must have three characteristics.The first is that the independent variables are the key factors which lead to banking crises or bank failure.The second is that the model has simple,accurate and sensitive advantage.The third is that the model has forecasting function,but not afterwards measurement.On the basis,the author constructed banking fragility index（BFI）.Then the author used BFI model to measure the degree of banking fragility for nine banks in 1999 to 2007.At last,the author analyzed the key factors which lead to bank crises or bank failure by Logistic regression model.

关 键 词：银行脆弱性 测度 BFI指数 LOGISTIC回归模型 

分 类 号：F830.3[经济管理—金融学]