基于面板数据和动态Logit方法的金融危机预警模型  

Financial Crisis Warning Model based on Panel Data and Dynamic Logit Method

作　　者：傅强[1] 陈园园[1] 刘军[2] 刘俊[1] 董丽蒙 

机构地区：[1]中央财经大学金融学院,北京100081 [2]中国人民大学,北京100872

出　　处：《中央财经大学学报》2015年第1期33-40,共8页Journal of Central University of Finance & Economics

基　　金：<首都金融应急仿真研究>(项目号:04057411401)

摘　　要：笔者通过梳理1990—2012年间6次主要金融危机的相关文献,选取19个样本国家的18个主要金融经济指标建立了初始金融预警指标体系,并通过格兰杰因果检验,初步筛选出11个主要影响指标。但考虑到保留下来的解释变量数目较多,处理起来较为繁琐,且同一经济体的各金融经济指标之间往往具有较强的相关性,笔者通过全局主成分分析对这11个主要指标的原始数据进行了降维处理,得到价格指数因子、货币供给因子、财政负担因子和对外关系因子四个相互独立的主要因子以代表11个金融预警指标的整体信息。进而,以得到的4个主要因子为解释变量,以金融危机发生的概率为被解释变量,分别建立了基于静态Logit方法和动态Logit方法的金融危机预警模型。最后,通过样本内检验和样本外检验,得出动态Logit预警模型优于静态Logit预警模型的结论。Based on the analysis of related literature on 6 major financial crises during 1990 to 2012 in- clusive, this paper selects 18 major financial and economic indicators for a sample of 19 countries as the re- search object to establish the initial financial early warning index system. Then, 11 Financial and economic indicators are screened out preliminarily through the Grainger causality test. Considering the large number of explanatory variables retained, and the fact that the treatment could be quite cumbersome as well as the strong linkage and correlation between the financial and economic indicators of the same economy, the global princi- pal component analysis is conducted and four main independent factors, I.e. the price index factor, money supply factor, financial burden factor and external relations factor are obtained to represent the overall informa- tion of 11 financial early warning index. Financial crisis early warning models based on the static Logit method and dynamic Logit method are then established with the four main factors obtained as the explanatory variables and the probability of financial crisis as the explained variable. At last, the conclusion that the dynamic Logit early warning model outperforms the corresponding static one is finally obtained through both within sample and post sample tests.

关 键 词：动态Logit模型 金融危机预警模型 全局主成分分析 

分 类 号：F830.99[经济管理—金融学]