基于非参数检验的商业银行资产价格多变结构点研究  

Multiple Structural Break Point Test of Commercial Banks' Asset Price Based on the Non-parametric Test

作　　者：姚德权[1] 黄学军[1] 易琳[2] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]中国银行湖南省分行风险管理部,湖南长沙410005

出　　处：《财经理论与实践》2014年第6期8-12,共5页The Theory and Practice of Finance and Economics

基　　金：国家社科基金重点项目(10AXW001)

摘　　要：准确判断商业银行资产价格的变化规律是商业银行风险评估和预警的前提。以改进的多变结构点非参数检验方法为基础,实证检验2007-2013年上市商业银行资产价格的变结构点,结果表明：商业银行资产价格在样本期产生了多个均值变结构点和方差变结构点,且系统因素、行业因素和商业银行特质因素均可能会导致商业银行资产价格变结构点的出现。Understanding the change in commercial banks＇ asset value is the premise of their risk evaluation and early warning.Based on an improved non-parametric test method,the structural break points are empirically test using a sample of listed commercial banks from 2007to2013.The research result shows that the sample commercial banks have both mean structural and variance structural break points,and the systematic factors,industrial factors and the idiosyncratic factors could lead to the structural break point of the commercial banks＇ asset price.

关 键 词：多变结构点 非参数检验 时间序列分解 商业银行资产价格 

分 类 号：F830[经济管理—金融学]