我国银行业系统性风险预警指标体系设计与实证分析
发布时间：2018-12-17 01:40
【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。
[Abstract]:In this paper, the author develops the early warning index of banking systemic risk from three aspects: macro, meso and micro, and constructs the pressure index of banking systemic risk by using FR model to realize the time of systemic risk in banking industry. Spatial two-dimensional monitoring and early warning is an important attempt for dynamic early warning of banking system risk. The empirical analysis shows that the model selected index induces banking systemic risk from the two risk dimensions of credit risk and liquidity risk, which indicates that the main trigger of banking systemic risk in China is credit risk and liquidity risk. The selected indicators predict the banking systemic risk from three time dimensions: leading, daily frequency and hindsight; from the fourth quarter of 2009 to the first quarter of 2010, from the second half of 2013 to the first three quarters of 2015, the systemic risk of banking industry in China is on the high side; Especially in recent years, the bank credit risk continues to rise, and the pressure of banking systemic risk is also on the rise. It is necessary for China's regulatory authorities to establish a banking systemic risk warning index to track the accumulation, rise, diffusion and explosion process of risks, to prevent systemic risks from occurring and to mitigate or reduce their destructive power through the whole process management.
【作者单位】： 天津财经大学金融系;
【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)
【分类号】：F832
[Abstract]:In this paper, the author develops the early warning index of banking systemic risk from three aspects: macro, meso and micro, and constructs the pressure index of banking systemic risk by using FR model to realize the time of systemic risk in banking industry. Spatial two-dimensional monitoring and early warning is an important attempt for dynamic early warning of banking system risk. The empirical analysis shows that the model selected index induces banking systemic risk from the two risk dimensions of credit risk and liquidity risk, which indicates that the main trigger of banking systemic risk in China is credit risk and liquidity risk. The selected indicators predict the banking systemic risk from three time dimensions: leading, daily frequency and hindsight; from the fourth quarter of 2009 to the first quarter of 2010, from the second half of 2013 to the first three quarters of 2015, the systemic risk of banking industry in China is on the high side; Especially in recent years, the bank credit risk continues to rise, and the pressure of banking systemic risk is also on the rise. It is necessary for China's regulatory authorities to establish a banking systemic risk warning index to track the accumulation, rise, diffusion and explosion process of risks, to prevent systemic risks from occurring and to mitigate or reduce their destructive power through the whole process management.
【作者单位】： 天津财经大学金融系;
【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)
【分类号】：F832
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