我国银行业系统性风险预警指标体系设计与实证分析  

China Banking Systemic Risk Stress Index Design and Empirical Analysis

作　　者：孙强[1] 崔光华[1] 

机构地区：[1]天津财经大学

出　　处：《中央财经大学学报》2017年第2期43-51,共9页Journal of Central University of Finance & Economics

基　　金：国家社科基金青年项目“巴塞尔协议Ⅲ对中国银行业资本监管的适用性评估研究”(项目编号:13CJY123)

摘　　要：笔者从宏观、中观和微观三个层面拓展银行业系统性风险预警备选指标,采用FR模型构建我国银行业系统性风险压力指数,实现对银行业系统性风险的时间、空间两维度监测预警,为银行业系统风险的动态预警做出重要尝试。实证分析显示:模型入选指标从信用风险和流动性风险两个风险维度诱发银行业系统性风险,说明目前我国银行业系统性风险导火索主要来自信用风险和流动性风险;入选指标从领先、日频和事后三个时间维度预测银行业系统性风险;2009年第四季度至2010年第一季度、2013年下半年、2015年前三季度三个时段我国银行业系统性风险偏高;特别是近年来,受经济增速持续下滑影响,银行信用风险持续上升,银行业系统性风险压力也呈上升趋势。我国监管当局有必要重视建立银行业系统性风险预警指数,用来跟踪风险的集聚、上升、扩散、爆发过程,通过全流程管理,预防系统性风险发生,缓解或降低其破坏力。This paper expands the indicators of systemic risk early-warning of banking from the macro, meso and micro levels, constructs the systemic risk index of China banking with FR model, achieves early warning of China banking systemic risk from time and space two dimensional, makes an important attempt for the dynamic early-warning of banking systemic risk. The empirical analysis shows： selected indicators induce the systemic risk of the banking from credit risk and liquidity risk, this indicates, currently, the fuse of Chi- na banking systemic risk mainly comes from credit risk and liquidity risk; selected indicators predict the sys- temic risk of the banking from three different dimensions of the lead, the daily frequency and after the event; China banking systemic risk runs in the high interval during the following three periods： the fourth quarter of 2009 to the first quarter of 2010, the second half of 2013,2015 to date; especially in recent years, with the slowdown of economic growth, banks credit risk continue to rise, banking systemic risk stress appears upward trend too. China regulatory authorities need to pay attention to the establishment of banking systemic risk warn- ing index, get used to track the process of risk accumulation, rise, diffusion and outbreak. Through the man- agement of the whole process, we can prevent systemic risk, alleviate or reduce its destructive power.

关 键 词：银行业系统性风险 压力指数 预警 

分 类 号：F832.332[经济管理—金融学]