金融稳定评估的宏观压力测试研究

发布时间：2018-03-23 10:20

本文选题：金融稳定　切入点：压力测试　出处：《山东社会科学》2011年09期

【摘要】：金融危机以来,金融稳定再次受到广泛的关注。本文介绍了金融稳定评估的重要技术工具——宏观压力测试的基本定义、宗旨理念和积极意义,综述了目前宏观压力测试的理论探讨与实践。本文提出宏观压力情景需设置更长的时间跨度,需考虑所处经济周期、信贷投放与经济增长的相关性、逆周期政策预期等因素;宏观压力测试不仅需要关注信用风险,同时应重视银行账户利率风险,本文结合中国大型银行的数据实证了银行账户利率风险的重要性;资本充足率低于最低监管要求是金融机构违约的判断标准,针对风险传染的主要债权债务关系,本文采用传染关联的方法理清了风险传染路径;宏观压力测试要考虑金融机构行为对宏观经济和金融市场的反馈效应,本文提出使用传统的计量经济模型结合专家判断进行分析。
[Abstract]:Since the financial crisis, financial stability has been paid more and more attention. This paper introduces the basic definition, tenet and positive significance of macro-stress test, which is an important technical tool of financial stability assessment. This paper summarizes the theory and practice of macroscopical stress testing, and points out that macroscopical stress scenarios should have a longer time span, take into account the economic cycle, the correlation between credit and economic growth, countercyclical policy expectation and so on. The macro stress test not only needs to pay attention to the credit risk, but also should pay attention to the interest rate risk of the bank account. This paper demonstrates the importance of the interest rate risk of the bank account with the data of the large banks in China. Capital adequacy ratio below the minimum regulatory requirements is the judgment standard for financial institutions to default. Aiming at the main creditor's rights and liabilities relationship of risk contagion, this paper uses the method of contagion association to clarify the path of risk contagion. The feedback effect of financial institution behavior on macro economy and financial market should be considered in macro stress test. This paper proposes to use the traditional econometric model and expert judgment to analyze it.
【作者单位】：山东大学经济学院;中国农业银行总行;
【分类号】：F832.2

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