摘要
银行安全问题一直是政府和金融经济界高度关注的问题,也是学者们长期研究的重点内容之一。本文根据我国的现实情况,结合国内外相关问题的相关研究成果,分别建立了银行宏观安全状态指标体系和银行宏观安全预警指标体系,采用综合评价法对中国2003-2012年的月度数据进行估算,并在此基础上,选择三种不同的识别标准建立Logit预警模型,结果显示模型是稳定的。分析发现:国内信贷增长量/GDP、短期外币贷款/外汇储备与银行宏观安全具有显著的正向关系,广义货币/外汇储备、M2/GDP、净出口与银行宏观安全有较显著的负向关系,具有较稳定的预警影响作用。广义货币/外汇储备对银行宏观安全的影响时间为3个月,M2/GDP和净出口对银行宏观安全的影响时间为2个月,其余变量对银行安全的影响为1个月。通过银行宏观安全状态指数MacroBSI和基于Logit的银行宏观预警模型,可进一步揭示银行宏观安全状态与一些宏观影响指标的动态规律,并提出合理的建议,供政府决策部门参考。
Bank security issue has been a highly concerned problem for government and financial busi- ness, which is also one of the key contents of the scholars＇ long-term research. According to our country＇s actual situation and based on related forefront research, this paper combined with the actual situation of China, respectively construct macro safety status index system and security warning index system of bank, and then make a comprehensive evaluation based on China＇s monthly data of 2003-2012. On this basis, establish Logit prediction model by three different identification standards, the results showed that, the model is robust. Through the analysis also found, domestic credit growth/GDP, short-term foreign currency loans/foreign exchange, have a significant positive relationship with bank macro safety; the broad money/foreign exchange reserve, M2/GDP and net exports have significant negative relationship with bank macro safety. These two have stable warning effects. Impact time of broad money/foreign exchange reserves on bank macro security time is three months; M2/GDP and net export＇s impact on bank macro security is two months; other variables＇ influence on bank security is one month. Through the bank macro safety index MacroBSI and Bank macroeconomic early-warning model based on Logit, can further reveal the dynamic laws of the bank macro security state and some macro impact index, and put forward reasonable suggestions for government decision-making departments reference.
出处
《数理统计与管理》
CSSCI
北大核心
2017年第5期906-918,共13页
Journal of Applied Statistics and Management
基金
国家社会科学基金一般项目(16BTJ035)
广东省自然科学基金项目(2016A030313108)
关键词
银行安全状态指数
预警监测
指标体系
LOGIT模型
bank safety status indicator, early warning and monitoring, index system, Logit model
