本文關(guān)鍵詞： SVAR 壓力測(cè)試 序列分解 結(jié)構(gòu)沖擊 同期獨(dú)立　出處：《系統(tǒng)科學(xué)與數(shù)學(xué)》2017年07期 　論文類型：期刊論文

【摘要】：宏觀經(jīng)濟(jì)變量間往往存在多重共線性,運(yùn)用SVAR模型可把變量轉(zhuǎn)化為同期獨(dú)立的結(jié)構(gòu)沖擊.選用房?jī)r(jià),M2,CPI,PMI作為宏觀風(fēng)險(xiǎn)因子,不良貸款率度量銀行信用風(fēng)險(xiǎn),建立SVAR(4)模型進(jìn)行商業(yè)銀行壓力測(cè)試,把宏觀風(fēng)險(xiǎn)因子轉(zhuǎn)化為同期獨(dú)立的結(jié)構(gòu)沖擊,測(cè)試時(shí)期為2016年第三季度,測(cè)試方法選用歷史情景法,歷史情景為使測(cè)試時(shí)期遭受樣本期內(nèi)最不利的結(jié)構(gòu)沖擊,結(jié)果顯示五種結(jié)構(gòu)沖擊造成的不良貸款率分別為0.0076,0.0044,0.0058,0.0095,0.0048,結(jié)合當(dāng)期脈沖響應(yīng)函數(shù),短期影響最大的是房?jī)r(jià)結(jié)構(gòu)沖擊和PMI結(jié)構(gòu)沖擊,兩者占比53.25%.若5種最不利結(jié)構(gòu)沖擊同時(shí)發(fā)生,則不良貸款率為0.0320,高于自2008年第四季度以來的所有歷史不良貸款率,這是十分嚴(yán)重的.長期中,由累積脈沖響應(yīng)函數(shù)可知M2、CPI結(jié)構(gòu)沖擊為影響銀行不良貸款率的關(guān)鍵因素,想抑制銀行信用風(fēng)險(xiǎn),央行需要實(shí)施積極的貨幣政策.
[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.
【作者單位】： 廣東工業(yè)大學(xué)應(yīng)用數(shù)學(xué)學(xué)院;
【分類號(hào)】：F832.4
【正文快照】： i引言銀行業(yè),證券業(yè),保險(xiǎn)業(yè)是我國金融業(yè)三大支柱性行業(yè),其中以銀行業(yè)居首.商業(yè)銀行業(yè)是典型的周期性行業(yè),對(duì)宏觀經(jīng)濟(jì)周期非常敏感.2014年12月,中國銀監(jiān)會(huì)印發(fā)了新的《商業(yè)銀行壓力測(cè)試指引》(銀監(jiān)發(fā)〔2014〕49號(hào)),該指引自2015年1月1日起施行,《商業(yè)銀行壓力測(cè)試指引》(銀監(jiān)

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