本文關(guān)鍵詞： 金融脆弱性 最大熵原理 隸屬度 指標(biāo)篩選　出處：《南京理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：伴隨著我國(guó)金融自由化速度加快、金融全球化日益加深,金融危機(jī)發(fā)生頻率不斷增加,給當(dāng)?shù)貙?shí)體經(jīng)濟(jì)以及全球經(jīng)濟(jì)帶來了嚴(yán)重?fù)p失,金融系統(tǒng)的穩(wěn)定性引起了人們的關(guān)注。 1982年,明斯基在《金融體系內(nèi)在脆弱性假說》中初次提出“金融脆弱性”觀念旨在研究銀行系統(tǒng)的穩(wěn)定性問題。歷經(jīng)30余年的發(fā)展,在學(xué)術(shù)界與實(shí)務(wù)界已形成了一套較為完整的成熟的理論體系與監(jiān)管架構(gòu)。國(guó)內(nèi)有關(guān)金融脆弱性的研究,主要集中在評(píng)價(jià)指標(biāo)體系的構(gòu)建,而對(duì)于金融脆弱性的度量方法以算術(shù)平均綜合指數(shù)法為主,此類方法在刻畫脆弱性的實(shí)際效果方面一直不夠客觀,缺乏可比性。 基于如上事實(shí),我們擬就金融脆弱性指標(biāo)體系的設(shè)置與構(gòu)建展開深入探討,給出一個(gè)合理有效的指標(biāo)劃分；提出一個(gè)充分利用指標(biāo)信息量的金融脆弱性的度量模型,實(shí)證分析表明,本文設(shè)計(jì)的金融脆弱性指標(biāo)體系及其度量方法比之以往的體系與方法更為可靠、客觀。 首先,本文結(jié)合了中國(guó)金融體系特征以及前人的研究基礎(chǔ),設(shè)置了符合當(dāng)前中國(guó)經(jīng)濟(jì)發(fā)展意義的金融脆弱性指標(biāo)集,并且運(yùn)用最大熵原理建立了評(píng)價(jià)模型。運(yùn)用拉格朗日法對(duì)模型求解,得到最優(yōu)的隸屬度矩陣。該方法考慮了金融脆弱性各級(jí)別間的演化過程,而不是簡(jiǎn)簡(jiǎn)單單的只給出級(jí)別判斷結(jié)果,這是算術(shù)平均綜合指數(shù)法所不能企及的； 其次,運(yùn)用2002-2012年這11年間的相關(guān)經(jīng)濟(jì)數(shù)據(jù),驗(yàn)證模型的有效性,得到我國(guó)各年金融系統(tǒng)脆弱性級(jí)別的最優(yōu)隸屬度矩陣。實(shí)證結(jié)果顯示,本文給出的金融脆弱性度量模型比現(xiàn)有的測(cè)度模型更為合理、有效。 另外,通過實(shí)證分析,還間接得出了我國(guó)金融脆弱性的產(chǎn)生根源。這是以往模型所不能展現(xiàn)的。
[Abstract]:With the acceleration of financial liberalization in China, financial globalization is deepening day by day, and the frequency of financial crisis is increasing, which has brought serious losses to the local real economy and the global economy. The stability of the financial system has attracted people's attention. In 1982, Minsky put forward the idea of "financial fragility" for the first time in "Financial system inherent vulnerability hypothesis" to study the stability of the banking system. It has been developed for more than 30 years. In the academic and practical circles has formed a more complete and mature theoretical system and regulatory framework. Domestic research on financial vulnerability is mainly focused on the evaluation index system. However, the measurement of financial vulnerability is based on the arithmetic average composite index method, which is not objective and comparable in describing the actual effect of financial vulnerability. Based on the above facts, we intend to discuss the establishment and construction of financial vulnerability index system, and give a reasonable and effective index division. This paper puts forward a financial vulnerability measurement model which makes full use of the index information. The empirical analysis shows that the financial vulnerability index system and its measurement method are more reliable than the previous systems and methods. Objective. First of all, this paper combines the characteristics of Chinese financial system and the basis of previous research, and sets up a set of financial vulnerability indicators in accordance with the current significance of China's economic development. The evaluation model is established by using the maximum entropy principle and the optimal membership matrix is obtained by solving the model by using the Lagrangian method. This method takes into account the evolution process among the different levels of financial vulnerability. It is not simply given the result of rank judgment, which is beyond the reach of the arithmetic average composite index method. Secondly, using the relevant economic data from 2002 to 2012 to verify the validity of the model, we get the optimal membership matrix of the vulnerability level of financial system in China. The empirical results show that. The financial vulnerability measurement model presented in this paper is more reasonable and effective than the existing measurement model. In addition, the origin of financial fragility is indirectly obtained by empirical analysis, which can not be demonstrated by previous models.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.9;F224

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