【摘要】：筆者從宏觀、中觀和微觀三個(gè)層面拓展銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)預(yù)警備選指標(biāo),采用FR模型構(gòu)建我國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)壓力指數(shù),實(shí)現(xiàn)對(duì)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的時(shí)間、空間兩維度監(jiān)測(cè)預(yù)警,為銀行業(yè)系統(tǒng)風(fēng)險(xiǎn)的動(dòng)態(tài)預(yù)警做出重要嘗試。實(shí)證分析顯示:模型入選指標(biāo)從信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)兩個(gè)風(fēng)險(xiǎn)維度誘發(fā)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn),說(shuō)明目前我國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)導(dǎo)火索主要來(lái)自信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn);入選指標(biāo)從領(lǐng)先、日頻和事后三個(gè)時(shí)間維度預(yù)測(cè)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn);2009年第四季度至2010年第一季度、2013年下半年、2015年前三季度三個(gè)時(shí)段我國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)偏高;特別是近年來(lái),受經(jīng)濟(jì)增速持續(xù)下滑影響,銀行信用風(fēng)險(xiǎn)持續(xù)上升,銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)壓力也呈上升趨勢(shì)。我國(guó)監(jiān)管當(dāng)局有必要重視建立銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)預(yù)警指數(shù),用來(lái)跟蹤風(fēng)險(xiǎn)的集聚、上升、擴(kuò)散、爆發(fā)過(guò)程,通過(guò)全流程管理,預(yù)防系統(tǒng)性風(fēng)險(xiǎn)發(fā)生,緩解或降低其破壞力。
[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.
【作者單位】： 天津財(cái)經(jīng)大學(xué)金融系;
【基金】：國(guó)家社科基金青年項(xiàng)目“巴塞爾協(xié)議Ⅲ對(duì)中國(guó)銀行業(yè)資本監(jiān)管的適用性評(píng)估研究”(項(xiàng)目編號(hào):13CJY123)
【分類號(hào)】：F832

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