中国银行体系脆弱性的识别与预测  

作　　者：田艳芬[1] 陈守东[2] 邵志高[3] 杨东亮[2] 

机构地区：[1]长春大学,吉林长春130022 [2]吉林大学,吉林长春130012 [3]中国人民银行长春中心支行,吉林长春130051

出　　处：《浙江金融》2011年第9期44-50,60,共8页Zhejiang Finance

基　　金：06年国家社会科学基金项目(06BJY010);07年教育部重大项目(07JJD790131)资助

摘　　要：银行体系脆弱性是在银行持续经营的前提下,银行体系内多种风险的积聚状态。本文分析了银行体系脆弱性的周期性与内生性特征,构建出月度核心测度指数,识别中国银行体系的脆弱性;运用平滑区制转移模型(STAR)研究其动态演化路径,并利用自助抽样法对未来一段时期中国银行体系脆弱性的变化进行预测。结果表明,2007年以来,中国银行体系脆弱性较高,并持续在较高的水平上振荡;其动态变化路径是非单调积聚的,从高区制状态返回到低区制状态需要较长时间;未来一段时期的银行体系脆弱性将继续保持在较高水平。Financial fragility is characteristics of certain business cycle, and the external performance is the accumulation of various risks. Based on the structure trait in the indicators system of banking fragility measurement, this paper constructs the core banking fragility index, so as to identify the state of the China＇s banking vulnerabilities. The Smooth regime-switching model is used to study the dynamic evolution path, and the bootstrap method is used to predict changes of the China＇s banking fragility. The results show that the China＇s banking fragility is higher since 2007, and persistent oscillation at a high level. The dynamic change is the non-monotonous accumulation, it is needed a long time period that the system state change from the higher regime to the lower regime ,and the China＇s banking fragility will continue to remain at a high level in the certain future period.

关 键 词：银行体系脆弱性:核心测度:区制转移 

分 类 号：F832[经济管理—金融学]