中国商业银行脆弱性指数与资产价格关系研究  

Study on the Construction of China's Commercial Bank Fragility Index and Its relationship with Asset Price

作　　者：徐国祥[1,2] 刘璐 XU Guo xiang;LIU Lu(School of Statistics and Management;Research Center for Applied S＋ta＋tis＋tics,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学统计与管理学院,上海200433 [2]上海财经大学应用统计研究中心,上海200433

出　　处：《统计与信息论坛》2018年第7期47-53,共7页Journal of Statistics and Information

基　　金：国家社会科学基金重点项目<我国创新驱动转型发展评价指数的构建与应用研究>(16ATJ004)

摘　　要：采用因子分析法,选取商业银行不良贷款率、拨备覆盖率、存贷比、资本充足率、成本收入比、净息差、非利息收入占比、净利润8个指标,衡量中国商业银行脆弱性,并构建2010年第四季度至2017年第一季度的中国商业银行脆弱性指数CCFI;首次使用TVP-VAR模型研究CCFI与房地产价格、汇率以及股价的关联性,实证结果表明:第一,2010—2015年中国商业银行不脆弱,2015—2017年中国商业银行脆弱,且脆弱性情况严峻。第二,短期内房地产价格对CCFI有正向引导作用,但长期有负向引导关系;短期内汇率对CCFI有负向引导作用;短期内股价对CCFI有负向引导作用,长期有正向引导作用。In this paper,the rate of non-performing loan,the rate of provision coverage,loan to deposit ratio,capital adequacy ratio,cost income ratio,net interest margin,non-interest income ratio and net profit of China＇s commercial bank between 4 th quarter of 2010 and the 1 st quarter of 2017 are selected to construct the China＇s commercial bank fragility index（CCFI）.Then this paper establishes the TVP-VAR model to study the dynamic transmission effect of asset price to CCFI.We find that：（1）from 2010 to 2015,China＇s commercial banks are not fragile,from 2015 to 2017,China＇s commercial banks are fragile.（2）In the short term,the real estate price has a positive guiding effect on CCFI,but in a long term,it has a negative effect on CCFI.The exchange rate has a negative guiding effect on CCFI in the short term.The stock price has a negative guiding effect on CCFI in the short term,but has a positive guiding effect on CCFI in a long term.

关 键 词：商业银行脆弱性指数 资产价格 TVP-VAR模型 因子分析法 关系研究 

分 类 号：F222[经济管理—国民经济] O212.4[理学—概率论与数理统计]