發(fā)布時間：2018-09-19 14:48

【摘要】：本文對Hagen和Ho的貨幣市場壓力指數(shù)進行改進,采用1970～2009年間66個國家的74次銀行危機樣本,多緯度地實證檢驗了修正后的指數(shù)對于銀行危機的識別精度。本文的實證檢驗結(jié)果表明,采用整體樣本標準差構(gòu)建的貨幣市場壓力指數(shù)適用范圍更廣、識別精度更高,而且以T=97%為閾值構(gòu)建的指數(shù)具有較高的識別精度和穩(wěn)定性。本文修正后的貨幣市場壓力指數(shù)是一個更好的銀行危機預(yù)警指數(shù)。
[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.
【作者單位】： 中國科學(xué)院研究生院管理學(xué)院;中國科學(xué)院虛擬經(jīng)濟與數(shù)據(jù)科學(xué)研究中心;中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院;中國石油大學(xué)(北京);
【基金】：國家自然科學(xué)基金重點項目(70933003)、國家自然科學(xué)基金委創(chuàng)新群體項目(70621001) 北京市屬高等學(xué)校人才強教計劃資助項目的資助
【分類號】：F830.1;F224
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本文編號：2250445