基于主成分分析的我国银行体系稳定性测度研究
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摘要
通过文献梳理比较,选择较为客观、科学的主成分分析法,并从盈利性、信贷风险、市场风险、流动性四个方面构建系统指标体系,实证测度我国2003年至2017年银行体系稳定性。研究发现,我国银行体系稳定性2003年以来呈倒"U"型态势,大致可分成两个阶段:一是2003年至2012年,随着系列金融改革的红利释放,各项指标逐步趋于好转,稳定性逐步上升,至2012年升至近年来最高水平;二是2013年至2017年,我国经济步入新常态,"三期叠加"矛盾凸显,金融体系稳定性有所下降,防范化解金融风险仍是当前金融工作的重点。
Through literature review and comparison, this paper adopts the principal component analysis, a more objective and scientific method, constructs a systematic index system from the four aspects of profitability, credit risk, market risk and liquidity, and empirically measures the stability of China's banking system from 2003 to 2017. The study finds that the stability has shown an inverted "U" shape since 2003, which can be roughly divided into two stages: the first stage is from 2003 to 2012, in which with the release of dividends from a series of financial reforms, all indicators gradually tend to improve, and the stability gradually rises to the highest level in recent years by 2012; and the second stage is from 2013 to 2017, in which because China's economy has entered a new normal and the contradiction of "three-phase overlap" becomes prominent, the stability of the financial system declines, and preventing and resolving financial risks is still the focus of current financial work.
Through literature review and comparison, this paper adopts the principal component analysis, a more objective and scientific method, constructs a systematic index system from the four aspects of profitability, credit risk, market risk and liquidity, and empirically measures the stability of China's banking system from 2003 to 2017. The study finds that the stability has shown an inverted "U" shape since 2003, which can be roughly divided into two stages: the first stage is from 2003 to 2012, in which with the release of dividends from a series of financial reforms, all indicators gradually tend to improve, and the stability gradually rises to the highest level in recent years by 2012; and the second stage is from 2013 to 2017, in which because China's economy has entered a new normal and the contradiction of "three-phase overlap" becomes prominent, the stability of the financial system declines, and preventing and resolving financial risks is still the focus of current financial work.
引文
[1] 沈中华.银行危机与货币危机真是共生的吗?[J].金融研究,2000(6):11-22.
[2] 伍志文.中国金融脆弱性分析[J].经济科学,2002(3):5-13.
[3] 邹薇.基于BSSI指数的中国银行体系稳定性研究[J].经济理论与经济管理,2007(2):47-53.
[4] 万晓莉.中国1987—2006年金融体系脆弱性的判断与测度[J].金融研究,2008(6):80-93.
[5] 高铁梅.计量经济分析方法与建模:Eviews应用及实例[M].2版.北京:清华大学出版社,2009:219-224,319-357.
[2] 伍志文.中国金融脆弱性分析[J].经济科学,2002(3):5-13.
[3] 邹薇.基于BSSI指数的中国银行体系稳定性研究[J].经济理论与经济管理,2007(2):47-53.
[4] 万晓莉.中国1987—2006年金融体系脆弱性的判断与测度[J].金融研究,2008(6):80-93.
[5] 高铁梅.计量经济分析方法与建模:Eviews应用及实例[M].2版.北京:清华大学出版社,2009:219-224,319-357.