基于ROC曲线的银行危机识别方法的效果分析
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摘要
利用受试者工作特征(ROC)曲线及曲线下面积,将对信号识别效果的要求转换成3个统计评价标准。应用这些标准,从识别能力和稳定性2个维度、全样本和子样本2个方面测试了基于指标的和基于货币压力指数的2种银行危机定义方法。研究发现,基于指标的危机定义的识别能力好于基于货币市场压力指数的识别能力,而名义利率下的货币压力指数的识别效果好于实际利率下的识别效果。不同的危机识别信号效果随着时间的推移和样本范围的不同则有较大的波动。
The requirement for signal recognition effect was transformed into three statistical evaluation standards by using ROC curve and area under the curve.Two methods of banking crisis definition including based on moneymarketpressure and based on indicator were tested by applying these standardsfrom two dimensions of recognition ability and stability and two aspects of the whole sample and the subsamples.It was found that identification ability based on indicator was better than that based on money market pressure,and the identification ability based on moneymarketpressure in the nominal interest ratewas better than that in the real interest rate.Different effect of crisis identification signal had larger fluctuation with change in time and range of sample.
The requirement for signal recognition effect was transformed into three statistical evaluation standards by using ROC curve and area under the curve.Two methods of banking crisis definition including based on moneymarketpressure and based on indicator were tested by applying these standardsfrom two dimensions of recognition ability and stability and two aspects of the whole sample and the subsamples.It was found that identification ability based on indicator was better than that based on money market pressure,and the identification ability based on moneymarketpressure in the nominal interest ratewas better than that in the real interest rate.Different effect of crisis identification signal had larger fluctuation with change in time and range of sample.
引文
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[28]JING Z B,HAAN J D,JACOBS J,et al.Identifying banking crises using money market pressure:New evidence for a large set of countries[J].Journal of Macroeconomics,2015,43:1-20.
[2]HUTCHISON M M,NOY I.How bad are twins?Output costs of currency and banking crises[J].Journal of Money,Credit and Banking,2005,37(4):725-752.
[3]BANK A D.Early warning systems of financial crises:Application to East Asian[M].New York:Palgrave Macmillan,2005.
[4]LAEVEN L,VALENCIA F.Systemic banking crises:A new database[J].Imf Working Papers,2012,8:1-78.
[5]LAEVEN L,VALENCIA F.Systemic banking crises database[J].Imf Economic Review,2013,61(2):225-270.
[6]LAEVEN L,VALENCIA F.Resolution of banking crises:The Good,the Bad,and the Ugly[J].IMF Working Papers,2010,170(3):415-441.
[7]REINHART C,ROGOFF K.This time is different:Eight centuries of financial folly[M].New Jersey:Princeton University Press,2009.
[8]GOLDSTEIN M,KAMINSKY G L,REINHART C M.Assessing financial vulnerability:An early warning system for emerging markets[M].Washington:Peterson Institute Press,2000.
[9]IMF.Financial crises:Characteristics and indicators of vulnerability[M]//World Economic Outlook.Washington D.C.:International Monetary Fund,1998:74-97.
[10]CAPRIO G,KLINGEBIEL D.Bank insolvencies:Crosscountry experience[J].The World Bank Policy Research Working Paper,1996,1620:1-60.
[11]KAMINSKY G L,REINHART C M.Financial crises in Asia and Latin America:Then and now[J].American Economic Review,1998,88(2):444-448.
[12]DEMIRGC-KUNT A,DETRAGIACHE E.Cross-Country empirical studies of systemic bank distress:A survey[J].National Institute Economic Review,2005,192:68-83.
[13]DEMIRGC-KUNT A,DETRAGIACHE E.Does deposit insurance increase banking system stability?An empirical investigation[J].Journal of Monetary Economics,2002,49(7):1373-1406.
[14]DEMIRGC-KUNT A,DETRAGIACHE E.The determinants of banking crises in developing and developed countries[J].IMF Staff Papers,1998,45(1):81-109.
[15]HAGEN V J,HO T K.Money market pressure and the determinants of banking crises[J].Journal of Money,Credit and Banking,2007,39(5):1037-1066.
[16]EICHENGREEN B,ROSE A K,WYPLOSZ C,et al.Exchange market mayhem:The antecedents and aftermath of speculative attacks[J].Economic Policy,1995,10(21):249-312.
[17]ABIAD A G.Early warning systems:A survey and a regime-switching approach[J].IMF Working Papers,2003,3(32):993-1052.
[18]荆中博,杨海珍,杨晓光.基于货币市场压力指数的银行危机预警研究[J].金融研究,2012(5):45-55.
[19]DREHMANN M,JUSELIUS M.Evaluating early warning indicators of banking crises:Satisfying policy requirements[J].International Journal of Forecasting,2014,30(3):759-780.
[20]ALESSI L,ANTUNES A,BABECKY J,et al.Comparing different early warning systems:Results from a horse race competition among members of the Macro-prudential Research Network[Z].http://ssrn.com/abstract=2566165,2015:1-27.
[21]CANDELON B,DUMITRESCU E-I,HURLIN C.How to evaluate an Early-Warning system:Toward a unified statistical framework for assessing financial crises forecasting methods[J].IMF Economic Review,2012,60(1):75-113.
[22]BONFIM D,MONTEIRO N.The implementation of the countercyclical capital buffer:Rules versus discretion[R].Economic Bulletin&Financial Stability Report Articles,2013(11):87-110.
[23]ANTUNES A R,BONFIM D,MONTEIRO N,et al.Early warning indicators of banking crises:Exploring new data and tools[R].Economic Bulletin&Financial Stability Report Articles,2014(4):90-103.
[24]LANG M,SCHMIDT P G.The early warnings of banking crises:Interaction of broad liquidity and demand deposits[J].Journal of International Money and Finance,2016,61:1-29.
[25]SARLIN P.On policymakers’loss functions and the evaluation of early warning systems[J].Economics Letters,2013,119(1):1-7.
[26]KAMIN S B,BABSON O D.The Contributions of domestic and external factors to Latin-Americans devaluation crises:An early warning systems approach[J].International Finance Discussion Papers,1999,12(3):317-336.
[27]刘锡良.中国金融国际化中的风险防范与金融安全研究[M].北京:经济科学出版社,2012.
[28]JING Z B,HAAN J D,JACOBS J,et al.Identifying banking crises using money market pressure:New evidence for a large set of countries[J].Journal of Macroeconomics,2015,43:1-20.