基于SVAR模型的商业银行压力测试研究

发布时间：2018-01-26 18:09

本文关键词： SVAR 压力测试序列分解结构冲击同期独立　出处：《系统科学与数学》2017年07期 　论文类型：期刊论文

【摘要】：宏观经济变量间往往存在多重共线性,运用SVAR模型可把变量转化为同期独立的结构冲击.选用房价,M2,CPI,PMI作为宏观风险因子,不良贷款率度量银行信用风险,建立SVAR(4)模型进行商业银行压力测试,把宏观风险因子转化为同期独立的结构冲击,测试时期为2016年第三季度,测试方法选用历史情景法,历史情景为使测试时期遭受样本期内最不利的结构冲击,结果显示五种结构冲击造成的不良贷款率分别为0.0076,0.0044,0.0058,0.0095,0.0048,结合当期脉冲响应函数,短期影响最大的是房价结构冲击和PMI结构冲击,两者占比53.25%.若5种最不利结构冲击同时发生,则不良贷款率为0.0320,高于自2008年第四季度以来的所有历史不良贷款率,这是十分严重的.长期中,由累积脉冲响应函数可知M2、CPI结构冲击为影响银行不良贷款率的关键因素,想抑制银行信用风险,央行需要实施积极的货币政策.
[Abstract]:There are multiple colinearity among macroeconomic variables. Using SVAR model, the variables can be transformed into independent structural shocks in the same period. The non-performing loan ratio measures the bank credit risk, establishes SVAR4) model to carry on the commercial bank stress test, transforms the macroscopic risk factor into the corresponding independent structure impact. The test period is in the third quarter of 2016, and the historical scenario is the most unfavorable structural impact in the sample period. The results show that the non-performing loan rate caused by the five structural shocks is 0.0076X 0.0044,0.0058N 0.0095N 0.0048, combined with the impulse response function of the current period. The biggest short-term impact is the structural impact of house prices and PMI structure impact, the ratio of the two is 53.25. If the five most adverse structural shocks occur simultaneously, the non-performing loan ratio is 0.0320. This is very serious. In the long run, the cumulative impulse response function can be known as M2. The impact of CPI structure is the key factor affecting the non-performing loan ratio of banks. To restrain the credit risk of banks, the central bank needs to implement active monetary policy.
【作者单位】：广东工业大学应用数学学院;
【分类号】：F832.4
【正文快照】： i引言银行业,证券业,保险业是我国金融业三大支柱性行业,其中以银行业居首.商业银行业是典型的周期性行业,对宏观经济周期非常敏感.2014年12月,中国银监会印发了新的《商业银行压力测试指引》(银监发〔2014〕49号),该指引自2015年1月1日起施行,《商业银行压力测试指引》(银监

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