【摘要】：銀行安全問題一直是政府和金融經(jīng)濟界高度關注的問題,也是學者們長期研究的重點內容之一。本文根據(jù)我國的現(xiàn)實情況,結合國內外相關問題的相關研究成果,分別建立了銀行宏觀安全狀態(tài)指標體系和銀行宏觀安全預警指標體系,采用綜合評價法對中國2003-2012年的月度數(shù)據(jù)進行估算,并在此基礎上,選擇三種不同的識別標準建立Logit預警模型,結果顯示模型是穩(wěn)定的。分析發(fā)現(xiàn):國內信貸增長量/GDP、短期外幣貸款/外匯儲備與銀行宏觀安全具有顯著的正向關系,廣義貨幣/外匯儲備、M2/GDP、凈出口與銀行宏觀安全有較顯著的負向關系,具有較穩(wěn)定的預警影響作用。廣義貨幣/外匯儲備對銀行宏觀安全的影響時間為3個月,M2/GDP和凈出口對銀行宏觀安全的影響時間為2個月,其余變量對銀行安全的影響為1個月。通過銀行宏觀安全狀態(tài)指數(shù)MacroBSI和基于Logit的銀行宏觀預警模型,可進一步揭示銀行宏觀安全狀態(tài)與一些宏觀影響指標的動態(tài)規(guī)律,并提出合理的建議,供政府決策部門參考。
[Abstract]:The problem of bank security has been highly concerned by the government and the financial and economic circles, and has also been one of the important contents of scholars' long-term research. According to the reality of our country, combined with the related research results at home and abroad, this paper establishes the macro security state index system of banks and the early warning index system of bank macro security respectively. The monthly data of China from 2003 to 2012 are estimated by comprehensive evaluation method. On this basis, three different recognition criteria are selected to establish the Logit early warning model. The results show that the model is stable. It is found that there is a significant positive relationship between short-term foreign currency loan / foreign exchange reserve and bank macro security, while broad currency / foreign exchange reserve M 2 / GDP. net export has a significant negative relationship with bank macro security. It has a more stable early warning effect. The influence time of broad money / foreign exchange reserve on bank macro security is 3 months M 2 / GDP and 2 months of net export to bank macro security, and the other variables influence bank security for 1 month. Based on the bank macro-security state index (MacroBSI) and the bank macro-warning model based on Logit, the dynamic law of bank macro-security state and some macroscopical impact indexes can be further revealed, and reasonable suggestions are put forward for the reference of government policy-making department.
【作者單位】： 暨南大學經(jīng)濟學院;廣東省大數(shù)據(jù)分析與處理重點實驗室;暨南大學管理學院;
【基金】：國家社會科學基金一般項目(16BTJ035) 廣東省自然科學基金項目(2016A030313108)
【分類號】：F831.51

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