本文選題：系統(tǒng)性金融危機(jī)預(yù)警 + 面板數(shù)據(jù)Logit模型��； 參考：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：從1825年的英國經(jīng)濟(jì)危機(jī)到2010年的歐洲債務(wù)危機(jī),在全球經(jīng)濟(jì)發(fā)展過程中,金融危機(jī)總是如影相隨。隨著全球一體化進(jìn)程的推進(jìn),金融機(jī)構(gòu)間的關(guān)系日益密切,金融體系中潛在的系統(tǒng)性風(fēng)險(xiǎn)不斷積聚,金融危機(jī)相比以前更具有系統(tǒng)性危機(jī)的特征。據(jù)國際貨幣基金組織(IMF)報(bào)告整理,1980-2002年間就有93個(gè)國家發(fā)生了114次系統(tǒng)性金融危機(jī)(Caprio、Klingebiel和Leaven,2003)。2007年爆發(fā)的次貸危機(jī)最終演變?yōu)槿蚪鹑谖C(jī),2010年爆發(fā)的歐洲債務(wù)危機(jī)致使許多國家陷入債務(wù)泥潭,這些現(xiàn)象再一次引起人們對(duì)系統(tǒng)性金融危機(jī)的擔(dān)憂。在金融業(yè)高速發(fā)展的今天,系統(tǒng)性危機(jī)已成為全球金融體系發(fā)展中的新威脅。如何防范系統(tǒng)性風(fēng)險(xiǎn)、避免系統(tǒng)性危機(jī)的爆發(fā)已經(jīng)引起人們的廣泛關(guān)注。同時(shí),在國際金融不穩(wěn)定因素逐漸增加的大環(huán)境下,我們又不得不思考：金融業(yè)日益壯大的中國如何防范于未然? 金融危機(jī)預(yù)警研究一直是國際社會(huì)關(guān)注的焦點(diǎn),已有研究主要集中在基于危機(jī)發(fā)生根源界定的貨幣危機(jī)或銀行危機(jī)。對(duì)系統(tǒng)性金融危機(jī)的研究多是基于定性角度,如界定、成因、監(jiān)管等,定量角度的研究甚少。本文在借鑒已有金融危機(jī)預(yù)警研究成果的基礎(chǔ)上,嘗試構(gòu)建系統(tǒng)性金融危機(jī)預(yù)警模型。模型構(gòu)建過程中,主要遇到兩個(gè)問題,一是如何將不同時(shí)點(diǎn)、不同國家爆發(fā)的系統(tǒng)性危機(jī)事件綜合在一起運(yùn)用?二是危機(jī)作為被解釋變量如何表示?為此,引入面板數(shù)據(jù)Logit模型。面板數(shù)據(jù)既考慮了時(shí)間因素的影響,又考慮截面差異的影響,將其引入可以解決第一個(gè)問題；Logit模型是目前較為主流的危機(jī)預(yù)警方法,該模型在構(gòu)建過程中將危機(jī)定義為0-1變量,并能夠?qū)⑽C(jī)發(fā)生的可能性綜合為一個(gè)有效的概率,使得危機(jī)發(fā)生的可能性成為一個(gè)明確的概念,將其引入可以解決第二個(gè)問題。模型構(gòu)建的前提是預(yù)警指標(biāo)的選取,通過典型的危機(jī)事件分析法和已有研究資料借鑒法相結(jié)合的方式獲取。與已有預(yù)警研究中存在同樣的問題,某些預(yù)警指標(biāo)間具有較高的相關(guān)關(guān)系,進(jìn)而影響模型的準(zhǔn)確度。為此,進(jìn)一步引入全局主成份分析法,對(duì)原始預(yù)警指標(biāo)提取公共因子,并將這些不相關(guān)的公共因子作為新的變量用于構(gòu)建Logit模型。運(yùn)用公共因子構(gòu)建模型僅是出于消除指標(biāo)間高度相關(guān)關(guān)系的影響,這一新的模型是否好于原始模型尚需要進(jìn)一步的驗(yàn)證,檢驗(yàn)分為樣本內(nèi)檢驗(yàn)和樣本外檢驗(yàn)。最后,將效果較好的模型應(yīng)用于我國,監(jiān)測(cè)我國近年來的系統(tǒng)性風(fēng)險(xiǎn)狀況。各章節(jié)主要內(nèi)容如下： 第一章為緒論。遵循研究背景、研究價(jià)值、研究思路、研究內(nèi)容、研究方法這一路線,依次展開說明。 第二章為述評(píng)與界定,分為三個(gè)部分。首先闡述金融安全、金融危機(jī)與系統(tǒng)性金融危機(jī)的定義以及三者之間的聯(lián)系。其次,綜述金融危機(jī)理論中的代表性成果——四代危機(jī)理論。四代危機(jī)理論雖是基于事后研究,但較好的解釋了重大危機(jī)事件產(chǎn)生的原因,而這些危機(jī)事件大多數(shù)屬于系統(tǒng)性金融危機(jī)。最后,對(duì)已有的預(yù)警研究成果進(jìn)行綜述,得到在預(yù)測(cè)危機(jī)發(fā)生概率方面,面板數(shù)據(jù)Logit模型較為合適。 第三章為典型剖析：共性與表征。通過分析典型的系統(tǒng)性金融危機(jī)事件,發(fā)現(xiàn)這些危機(jī)事件存在的共同特點(diǎn)：金融風(fēng)險(xiǎn)積聚的過程中伴隨著經(jīng)濟(jì)體的某些指標(biāo)的異常變動(dòng)。這些異常指標(biāo)為模型構(gòu)建過程中預(yù)警指標(biāo)的選擇提供事實(shí)依據(jù)。 第四章為尋證與建模。首先對(duì)樣本來源、指標(biāo)選取及預(yù)警方法的選擇進(jìn)行說明。其次,鑒于某些預(yù)警指標(biāo)間存在較高的相關(guān)關(guān)系,運(yùn)用全局主成份分析法提取公共因子,將這些不相關(guān)的公共因子作為新的變量。為比較兩種模型的效果,本文分別構(gòu)建了基于原始預(yù)警指標(biāo)的Logit模型和基于公共因子的Logit模型。 第五章為檢驗(yàn)與應(yīng)用。模型效果的好壞還需要進(jìn)一步檢驗(yàn),模型檢驗(yàn)分為樣本內(nèi)檢驗(yàn)和樣本外檢驗(yàn)。樣本內(nèi)檢驗(yàn)的途徑是將樣本回代到模型中預(yù)測(cè)危機(jī)發(fā)生概率,從而判斷模型的準(zhǔn)確度；樣本外檢驗(yàn)的途徑是將次貸危機(jī)作為樣本對(duì)模型進(jìn)行衡量。檢驗(yàn)結(jié)果得到：基于公共因子的Logit模型效果要好于基于原始預(yù)警指標(biāo)的Logit模型。最后,將檢驗(yàn)效果較好的模型應(yīng)用于我國,得到我國近年來整體風(fēng)險(xiǎn)不大,短期內(nèi)發(fā)生系統(tǒng)性危機(jī)的可能性較小,但易受外部環(huán)境的影響。 第六章為結(jié)論與展望,在總結(jié)全文的基礎(chǔ)上,給出政策含義并指出研究存在的不足和以后需要進(jìn)一步研究的地方。 與以往的相關(guān)研究相比,本文較有新意的地方體現(xiàn)在以下幾個(gè)方面：第一,以系統(tǒng)性金融危機(jī)為研究的切入點(diǎn),構(gòu)建系統(tǒng)性金融危機(jī)預(yù)警模型；第二,運(yùn)用面板數(shù)據(jù)建立危機(jī)預(yù)警模型,既考慮了時(shí)間因素,又考慮了截面差異；第三,引入全局主成分分析法,對(duì)原始預(yù)警指標(biāo)提取公共因子,運(yùn)用不相關(guān)的公共因子構(gòu)建Logit模型,且基于公共因子的Logit模型效果好于基于原始預(yù)警指標(biāo)的Logit模型。 由于學(xué)術(shù)水平、文獻(xiàn)資料、數(shù)據(jù)來源的有限,本文尚有較多不足之處。尤為值得關(guān)注的問題有：第一,運(yùn)用典型的危機(jī)事件分析法和已有研究資料借鑒法相結(jié)合的方式獲取危機(jī)預(yù)警的核心指標(biāo),并未將全部影響因素涵蓋進(jìn)去,是否存在更為合適的系統(tǒng)性危機(jī)預(yù)警指標(biāo)體系需要進(jìn)一步研究。第二,模型估計(jì)的準(zhǔn)確度并沒有達(dá)到理想的狀態(tài),需要進(jìn)一步優(yōu)化,以提高其預(yù)測(cè)精度。第三,通過對(duì)中國的實(shí)踐可知,后金融危機(jī)的大背景對(duì)模型產(chǎn)生了干擾。如何排除這種干擾因素,運(yùn)用經(jīng)濟(jì)體本身存在的不穩(wěn)定因素判斷其系統(tǒng)性風(fēng)險(xiǎn)將是今后研究中值得進(jìn)一步探討的地方。
[Abstract]:From the British economic crisis of 1825 to the European debt crisis in 2010, the financial crisis has always followed in the process of global economic development. With the advancement of the global integration process, the relationship between financial institutions is increasingly close, the potential systemic risks in the financial system are constantly accumulating, and the financial crisis has a more systematic crisis than before. According to the International Monetary Fund (IMF) report, 93 countries had 114 systemic financial crises in 1980-2002 years (Caprio, Klingebiel and Leaven, 2003), and the subprime crisis that broke out in.2007 was finally transformed into the global financial crisis, and the European continent debt crisis in 2010 caused many countries to fall into the mire of debt. As once again, people are worried about the systemic financial crisis. Today, with the rapid development of the financial industry, the systemic crisis has become a new threat to the development of the global financial system. How to prevent systemic risk and avoid the outbreak of systemic crisis has aroused widespread concern. In the big environment, we have to think: how can China's financial industry grow stronger?
The research of financial crisis early-warning has always been the focus of attention of the international community. The existing research is mainly focused on the monetary crisis or bank crisis based on the definition of the root of the crisis. The research on the systemic financial crisis is based on the qualitative angle, such as the definition, the cause, the supervision and so on, and the quantitative angle is seldom studied. This paper is a reference to the existing financial crisis. On the basis of the results of the police research, we try to build a systematic financial crisis early warning model. In the process of building the model, there are two main problems. One is how to integrate the systemic crisis events in different countries together? Two is how the crisis is expressed as an explanatory variable? To this end, the panel data Logit model is introduced. The board data not only considers the influence of the time factor, but also considers the influence of the cross section, and introduces it into the first problem. The Logit model is the mainstream crisis early warning method at present. The model defines the crisis as the 0-1 variable in the construction process, and can integrate the possibility of the crisis to be a valid probability, making the possibility of the crisis to be a valid probability. The possibility of the crisis is a clear concept, which can be introduced into second problems. The premise of the model construction is the selection of early warning index, which is obtained through the combination of the typical crisis event analysis method and the existing research data reference method. There are the same problems with the existing early warning research, and some early warning indicators have the same problem. There is a higher correlation, which affects the accuracy of the model. Therefore, the global principal component analysis (PCA) is introduced to extract the public factors from the original early warning index, and the unrelated public factors are used as new variables to build the Logit model. The construction model of the public factor is only to eliminate the high correlation between the indexes. Whether the new model is better than the original model needs further verification, the test is divided into the sample test and the outside sample test. Finally, the better model is applied to our country to monitor the systemic risk status of our country in recent years. The main contents of each chapter are as follows:
The first chapter is the introduction, which follows the research background, research value, research ideas, research contents and research methods.
The second chapter is a review and definition, which is divided into three parts. First, it expounds the financial security, the definition of the financial crisis and the systemic financial crisis and the connection between the three. Secondly, it summarizes the representative results of the financial crisis theory, the four generation of crisis theory. The four generation of crisis theory is based on the ex post study, but it is a good explanation for the major crisis. The cause of the events, and most of these crisis events belong to the systemic financial crisis. Finally, the existing early warning research results are reviewed, and the panel data Logit model is more appropriate in predicting the probability of the crisis.
The third chapter is a typical analysis: generality and characterization. Through the analysis of typical systemic financial crisis events, the common characteristics of these crisis events are found: the process of financial risk accumulation is accompanied by abnormal changes in some indicators of the economy. These abnormal indicators provide facts for the selection of early warning indicators in the process of model construction. According to.
The fourth chapter is to find the evidence and modeling. First, it explains the selection of sample sources, index selection and early warning methods. Secondly, in view of the high correlation between some early warning indicators, the use of global principal component analysis is used to extract public factors and make these unrelated public factors as new variables. This paper compares the effect of the two models. The Logit model based on the original warning index and the Logit model based on common factors are constructed respectively.
The fifth chapter is the test and application. The model effect needs further inspection, the model test is divided into the sample test and the outside sample test. The way to test the sample is to replace the sample into the model to predict the probability of the crisis, so as to judge the accuracy of the model; the way of the sample inspection is to take the subprime crisis as the sample pair model. The result of the test is that the results of the Logit model based on public factors are better than the Logit model based on the original early-warning index. Finally, the model with better results is applied to our country, and the overall risk of our country is not large in recent years, and the possibility of a systemic crisis in the short term is small, but it is easily affected by the external environment.
The sixth chapter is the conclusion and outlook. On the basis of summarizing the full text, the paper gives the policy implications and points out the shortcomings of the study and the future need for further research.
Compared with the previous research, the new places are embodied in the following aspects: first, a systematic financial crisis early warning model is constructed with the systematic financial crisis as the breakthrough point. Second, using panel data to establish a crisis early warning model, considering both the time factor and the cross section difference; third, the introduction of the financial crisis early warning model. Global principal component analysis (PCA) is used to extract public factors for original early-warning indicators, and the Logit model is constructed with unrelated public factors, and the Logit model based on public factors is better than the Logit model based on the original early warning index.
Because of the academic level, the literature and the limited sources of data, there are still many shortcomings in this paper. The problems of particular concern are as follows: first, the core indicators of the crisis early-warning are obtained by using the typical crisis event analysis method and the existing research data reference method. For the appropriate systematic crisis early warning index system need further study. Second, the accuracy of the model estimation has not reached the ideal state, needs further optimization to improve its prediction accuracy. Third, through the practice of China, the background of the post financial crisis has caused interference to the model. How to exclude such interference factors, It is worthwhile to further explore the systematic risk in the future by using the unstable factors existing in the economy itself.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F831.59

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 郭棟;基于動(dòng)態(tài)Logit模型的中國系統(tǒng)性金融危機(jī)預(yù)警研究[D];吉林大學(xué);2013年

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本文編號(hào)：1774777