基于Markov区制转换VAR模型的商业银行小微贷款压力测试研究  

Stress Testing of Commercial Bank’s Micro-credit Based on Vector Autoregression Model with Markov Regime Switching

作　　者：邵一珊[1] 何广文[1] 

机构地区：[1]中国农业大学经济管理学院,北京100083

出　　处：《金融理论与实践》2013年第2期1-6,共6页Financial Theory and Practice

基　　金：国家哲学社会科学基金重大项目<建立现代农村金融制度对策研究>(08&ZD024)的阶段性成果

摘　　要：压力测试作为一般风险计量工具的重要补充,越来越受到金融监管部门和银行业的重视。通过引入MS-VAR模型,考察了宏观经济在不同区制下对小微贷款违约率的动态影响。基于MSIH(2)-VAR(1)模型、敏感性分析和情景分析的结果表明;在压力情景下,宏观经济变量对小微贷款违约率有冲击效应,但冲击效应并不显著;经济上升阶段银行信贷行为的顺周期性导致贷款违约率的增加。The stress test is adopted by more and more financial regulatory sections and banks as an important supplement to general risk measurement tools.By using MS-VAR model, we study the dynamic impacts of macroeconomic factors on micro-credit＇ s probability of default in different regimes. Based on the MSIH（2）-VAR（1） model, we make sensitivity analysis and scenario analysis and the results show that under the stress scenarios, the macroeconomic variables have shock effect to micro-credit＇ s default probability, but the impact is not significant, and the procyclicality of the behavior of bank credit led to PD＇ s increment in economic raise period.

关 键 词：商业银行 MS—VAR 压力测试 小微贷款 

分 类 号：F830.33[经济管理—金融学]