基于货币市场压力指数的银行危机预警研究
发布时间：2018-09-19 14:48
【摘要】：本文对Hagen和Ho的货币市场压力指数进行改进,采用1970～2009年间66个国家的74次银行危机样本,多纬度地实证检验了修正后的指数对于银行危机的识别精度。本文的实证检验结果表明,采用整体样本标准差构建的货币市场压力指数适用范围更广、识别精度更高,而且以T=97%为阈值构建的指数具有较高的识别精度和稳定性。本文修正后的货币市场压力指数是一个更好的银行危机预警指数。
[Abstract]:In this paper, the money market pressure index of Hagen and Ho is improved. Using 74 banking crisis samples from 66 countries in 1970-2009, the paper empirically tests the accuracy of the modified index in identifying bank crisis in many latitudes. The empirical results of this paper show that the money market pressure index constructed by using the standard deviation of the whole sample has a wider range of application and higher recognition accuracy, and the index constructed with the threshold of TX 97% has a higher recognition accuracy and stability. The revised money market pressure index is a better bank crisis warning index.
【作者单位】： 中国科学院研究生院管理学院;中国科学院虚拟经济与数据科学研究中心;中国科学院数学与系统科学研究院;中国石油大学(北京);
【基金】：国家自然科学基金重点项目(70933003)、国家自然科学基金委创新群体项目(70621001) 北京市属高等学校人才强教计划资助项目的资助
【分类号】：F830.1;F224
，
本文编号：2250445
[Abstract]:In this paper, the money market pressure index of Hagen and Ho is improved. Using 74 banking crisis samples from 66 countries in 1970-2009, the paper empirically tests the accuracy of the modified index in identifying bank crisis in many latitudes. The empirical results of this paper show that the money market pressure index constructed by using the standard deviation of the whole sample has a wider range of application and higher recognition accuracy, and the index constructed with the threshold of TX 97% has a higher recognition accuracy and stability. The revised money market pressure index is a better bank crisis warning index.
【作者单位】： 中国科学院研究生院管理学院;中国科学院虚拟经济与数据科学研究中心;中国科学院数学与系统科学研究院;中国石油大学(北京);
【基金】：国家自然科学基金重点项目(70933003)、国家自然科学基金委创新群体项目(70621001) 北京市属高等学校人才强教计划资助项目的资助
【分类号】：F830.1;F224
，
本文编号：2250445
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