基于VAR模型的中国银行体系脆弱性实证研究  

Empirical Research on the Fragility of Chinese Banking System

作　　者：康煜[1] 凌铃[1] 罗猛[2] 

机构地区：[1]中央财经大学金融学院,北京100081 [2]中国银行业监督管理委员会,北京100140

出　　处：《金融理论与实践》2012年第5期6-11,共6页Financial Theory and Practice

摘　　要：银行业比其他行业更容易出"故障",其根源在于其内在的脆弱性。脆弱性一旦累积到一定程度,就会爆发银行以致金融和经济危机。从银行体系脆弱性实证研究着笔,重点分析中国银行业脆弱性程度、原因、影响因素以及舒缓建议,并运用VAR模型就众多宏观经济变量和金融变量对金融指数进行实证检验,阐述影响我国银行业脆弱性的因素构成及其影响程度,在此基础上模拟出我国银行业的季度脆弱性趋势。On account of its fragility, the banking system is more vulnerable to crisis, which if accumulated to a certain extent will become a financial or even economic crisis. Beginning with the empirical research concerning fragility, this paper analyzes to which extent the fragility of our banking system has reached as well as what and how this fragility has been led to. In addition, a VAR model is used to demonstrate the relationship between the fragility and its contributing factors, and finally deduce the seasonal tendency of the fragility of our banking system.

关 键 词：银行体系 脆弱性 VAR模型 

分 类 号：F832.59[经济管理—金融学]