我国银行体系脆弱性研究
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摘要
银行体系是金融体系的核心,银行体系的稳定与否,将直接影响到金融体系的稳定,进而影响整个国家的经济,对国民经济的健康稳定发展至关重要。脆弱的银行体系,极易受到宏观经济波动的冲击和国家政策的影响。同时,经济金融发展过程中的矛盾,也使得银行体系面临着巨大的风险。
本文在国内外专家学者研究的基础上,从银行体系脆弱性的概念出发,研究了我国银行体系的脆弱性的表现。接着,从银行体系的资产、资产和负债的结构、以及银行的运营操作三个方面考虑,建立了指标体系,搜集数据,对1985-2006年之间我国银行体系的脆弱性进行了测度。测度方法主要是运用因子分析,对各个指标数值进行计算,最后得到综合得分,得分值的大小,代表银行体系脆弱性的强弱。从分析结果来看,我国银行体系的脆弱性整体上是先上升,后下降的。这也说明了在亚洲金融风波之后,国家采取了一系列措施,解决银行体系中存在的问题,效果是显著的。然后,从银行体系存在的经济金融环境方面,分析了银行体系脆弱性的影响因素。主要采用了格兰杰因果检验和ADL建模方法,得出结论认为,我国的经济金融环境对我国银行体系的脆弱性的影响是显著的。最后,针对前文的分析结果,提出了降低我国银行体系脆弱性的政策建议,包括完善银行体系本身的措施和建立良好的银行体系运营环境两个方面。
The banking system are the core of financial system.The banking system is stability or not, will directly affect the stability of the financial system, thereby affecting the entire country's economy, so it is essential to the national economy healthy and stable development. Fragile banking system, will be highly vulnerable to macroeconomic fluctuations and the impact of national policies. At the same time, the contradictions in the development of economic and financial, also can make the banking system faces enormous risks.
On the basis of domestic and foreign experts and scholars the study, the paper start from the concept of the banking system’s vulnerability,study the performing of the banking system in the terms of vulnerability. Next, from three aspects ,including the banking system assets, the structure of assets and liabilities, as well as the bank's operations, set up an index system.After collectting data, I made a measure of our country’s banking system’s vulnerability between the years 1985-2006. The methods of the measurement are the use of factor analysis, calculating the numerical of the various indicators, and getting integrated score. the size of the score value represent the degree of the banking system’vulnerability.Judging from the results of the analysis, on the overall, the vulnerability of China's banking system rise in first, after the decline. This also explains that the effect of our country adoptting a series of measues to address the problems existing in the banking system is remarkable.And, considering the banking system existed in the of environment of the economy and finance, I analysed the factor of the banking system vulnerability. The main use is the Granger causality test and the ADL modeling method, and I concluded that the impact of China's economic and financial environment being to the vulnerability of China's banking system is obvious.Finally, in view of the foregoing results of the analysis put forward to reduce the vulnerability of the banking system’policy recommendationgs in two aspects, including the measures improving the banking system and establishing a good banking system operating environment.
本文在国内外专家学者研究的基础上,从银行体系脆弱性的概念出发,研究了我国银行体系的脆弱性的表现。接着,从银行体系的资产、资产和负债的结构、以及银行的运营操作三个方面考虑,建立了指标体系,搜集数据,对1985-2006年之间我国银行体系的脆弱性进行了测度。测度方法主要是运用因子分析,对各个指标数值进行计算,最后得到综合得分,得分值的大小,代表银行体系脆弱性的强弱。从分析结果来看,我国银行体系的脆弱性整体上是先上升,后下降的。这也说明了在亚洲金融风波之后,国家采取了一系列措施,解决银行体系中存在的问题,效果是显著的。然后,从银行体系存在的经济金融环境方面,分析了银行体系脆弱性的影响因素。主要采用了格兰杰因果检验和ADL建模方法,得出结论认为,我国的经济金融环境对我国银行体系的脆弱性的影响是显著的。最后,针对前文的分析结果,提出了降低我国银行体系脆弱性的政策建议,包括完善银行体系本身的措施和建立良好的银行体系运营环境两个方面。
The banking system are the core of financial system.The banking system is stability or not, will directly affect the stability of the financial system, thereby affecting the entire country's economy, so it is essential to the national economy healthy and stable development. Fragile banking system, will be highly vulnerable to macroeconomic fluctuations and the impact of national policies. At the same time, the contradictions in the development of economic and financial, also can make the banking system faces enormous risks.
On the basis of domestic and foreign experts and scholars the study, the paper start from the concept of the banking system’s vulnerability,study the performing of the banking system in the terms of vulnerability. Next, from three aspects ,including the banking system assets, the structure of assets and liabilities, as well as the bank's operations, set up an index system.After collectting data, I made a measure of our country’s banking system’s vulnerability between the years 1985-2006. The methods of the measurement are the use of factor analysis, calculating the numerical of the various indicators, and getting integrated score. the size of the score value represent the degree of the banking system’vulnerability.Judging from the results of the analysis, on the overall, the vulnerability of China's banking system rise in first, after the decline. This also explains that the effect of our country adoptting a series of measues to address the problems existing in the banking system is remarkable.And, considering the banking system existed in the of environment of the economy and finance, I analysed the factor of the banking system vulnerability. The main use is the Granger causality test and the ADL modeling method, and I concluded that the impact of China's economic and financial environment being to the vulnerability of China's banking system is obvious.Finally, in view of the foregoing results of the analysis put forward to reduce the vulnerability of the banking system’policy recommendationgs in two aspects, including the measures improving the banking system and establishing a good banking system operating environment.
引文
[1]沈铭辉,唐道毅:中国银行体系脆弱性与实体经济关系的实证分析.中国农业银行武汉培训学院学报[J].2004年第1期.
[2]张筱峰,王健康,陶金:中国银行体系脆弱性的测度与实证研究.财经理论与实践[J],2008年1月.
[3]林宇.中国银行体系脆弱性问题分析.商业研究[J].2005年11月.
[4]王文超,刘好询.后过渡期我国银行体系脆弱性研究.金融理论与实践[J] .2006年第5期.
[5]马克思:《资本论》【G】.〔北京〕人民出版社1975年版.第554-555页.
[6]刘卫江.中国银行体系脆弱性问题的研究.管理世界(双月刊).2002年7月.
[7]潘薇薇,陆卫明.国外银行风险预警体系比较及启示,集团经济研究.2005年12月.
[8]袁小平,刘昌国,秦雷.国有商业银行风险预警指标体系的探讨.2006年5月.。
[9]冉苒,商业银行财务风险分析及对策研究.金融管理.2008年第3期.
[10]陈红艳,张琳.商业银行信贷集中的风险识别与防范.财会月刊.2008年第3期.
[11]王颖哲,张强.构建我国商业银行信用风险内部评级体系的探讨.商业现代化.2008年4月.
[12]吕贤杰,张建华.建立我国商业银行风险预警体系的构想.内蒙古统计.2008年4月.
[13]张养志.俄罗斯银行体系的重组和发展趋势.兰州商学院学报.2001年10月.
[14]倪泽强.基于多元判别方法的商业银行信用风险度量研究.广西金融研究.2008年第2期.
[15]刘金波,刘永祥,王瑶.商业银行外汇风险防范措施研究.哈尔滨金融高等专科学校学报.2008年1月.
[16]单豪杰.银行体系的脆弱性、传染性与银行危机.金融纵横.2004年第2期.
[17]南旭光,严太华.银行体系脆弱性影响分析.海南金融.2005年第9期。
[18]翟金林,银行系统性风险的成因及防范研究.南开学报.2001年第4期.
[19]罗建,银行体系不稳定性与实体经济关系的实证分析.经济理论与经济管理.2003年第1期.
[20]李治国,郑杰,曹志广.银行体系不稳定性的机理及防范.上海综合经济.2002年第11期.
[21]马君实.银行体系的软肋.,中国投资.2002年9月.
[22]邹薇.基于BSSI指数的中国银行体系稳定性研究.经济理论与经济管理.2007年第2期.
[23]任立元.我国银行体系的主要问题.THE FRIEND OF THE HEAD.2006年第1期.
[24]韩俊.银行体系稳定性研究.中国金融出版社.2000年6月.
[25]袁德磊、赵定涛.商业银行脆弱性实证研究.金融论坛.2007年第3期.
[26]高铁梅等.计量经济分析方法与建模—Eviews应用及实例.清华大学出版社.2006年1月.
[27]Demirguc Kunt and Detragiache..TheDeteoinatesof Banking crisis in Developing and Developed Countries .IRG.IMF Staff PaPer.1999,2-23
[28]Diamond.DV.and R.R.Rajian.Liquidity Risk.Liquidity Creation and Financial Fragility:A Theory of Banking.Journal of Political Economy 2001.109(2)287-327
[29]Rieardo N.Bebezuk“Asymmetic Information and the Market Structue of the Banking Industy”.IMF WorkingPaper 1998
[30]Kregel J.A.,Margins of Safety and Werght of the Argument in Generating Financial Fragility.Journal of Economics Issues.1997(6)
[31]Fisher Irving ,The Great Deflation Theory of Great Depression , Econometrical, 1993(10)
[32]Diamond Douglas W,and Dybvig Philip H.Bank Rank Runs,Deposit Insuirance,and Liquidity,Polite,Econ,1983(6)
[33]G.Gorton,The Origins of Banking panics:Models,Facts,and BANK Regulation, in .G.Hubbard.ed., Financial Markets and Finacial Markets and Financial Crises,(University of Chicago Press,Chicago),1991:p109-173.
[34]Markowitz,H.,Portfolio Seletion,Journal of Finance,1952(3)
[35]Stijn Claessens,Asli Demirgu-Kunt,and Harry Huizin-ga,How Does Foreign Entry Affect the Domestic Banking Market J OURNAL of Banking&Finance,Vol.25,2001.
[36]Saez, L,X. Sh.i LiquidityPools, Risk Sharing and Financial Conta-gion[J]. Working PaperFinancial Intermediation Research Society,2002: 02-03.
[37]Hausmann,Ricardo and Michael Goavin,1995,"Macroeconomic volatility in Latin America:Causes,consequences,and policies to assure stability",Washington;Inter-American Development Bank,July。
[38]Honohan,Patrick"Banking System Failures in Developing and Transition Countries:Diagnosis and Prediction"Working Paper No.39.Basle:Bank for International Settlements,January 1997。
[39] Daniel C.Hardy and Ceyla Pazarbasioglu,1998,“Leading Indicators of Banking Crises:Was Asia Different?“IMFWorking Paper 91。
[2]张筱峰,王健康,陶金:中国银行体系脆弱性的测度与实证研究.财经理论与实践[J],2008年1月.
[3]林宇.中国银行体系脆弱性问题分析.商业研究[J].2005年11月.
[4]王文超,刘好询.后过渡期我国银行体系脆弱性研究.金融理论与实践[J] .2006年第5期.
[5]马克思:《资本论》【G】.〔北京〕人民出版社1975年版.第554-555页.
[6]刘卫江.中国银行体系脆弱性问题的研究.管理世界(双月刊).2002年7月.
[7]潘薇薇,陆卫明.国外银行风险预警体系比较及启示,集团经济研究.2005年12月.
[8]袁小平,刘昌国,秦雷.国有商业银行风险预警指标体系的探讨.2006年5月.。
[9]冉苒,商业银行财务风险分析及对策研究.金融管理.2008年第3期.
[10]陈红艳,张琳.商业银行信贷集中的风险识别与防范.财会月刊.2008年第3期.
[11]王颖哲,张强.构建我国商业银行信用风险内部评级体系的探讨.商业现代化.2008年4月.
[12]吕贤杰,张建华.建立我国商业银行风险预警体系的构想.内蒙古统计.2008年4月.
[13]张养志.俄罗斯银行体系的重组和发展趋势.兰州商学院学报.2001年10月.
[14]倪泽强.基于多元判别方法的商业银行信用风险度量研究.广西金融研究.2008年第2期.
[15]刘金波,刘永祥,王瑶.商业银行外汇风险防范措施研究.哈尔滨金融高等专科学校学报.2008年1月.
[16]单豪杰.银行体系的脆弱性、传染性与银行危机.金融纵横.2004年第2期.
[17]南旭光,严太华.银行体系脆弱性影响分析.海南金融.2005年第9期。
[18]翟金林,银行系统性风险的成因及防范研究.南开学报.2001年第4期.
[19]罗建,银行体系不稳定性与实体经济关系的实证分析.经济理论与经济管理.2003年第1期.
[20]李治国,郑杰,曹志广.银行体系不稳定性的机理及防范.上海综合经济.2002年第11期.
[21]马君实.银行体系的软肋.,中国投资.2002年9月.
[22]邹薇.基于BSSI指数的中国银行体系稳定性研究.经济理论与经济管理.2007年第2期.
[23]任立元.我国银行体系的主要问题.THE FRIEND OF THE HEAD.2006年第1期.
[24]韩俊.银行体系稳定性研究.中国金融出版社.2000年6月.
[25]袁德磊、赵定涛.商业银行脆弱性实证研究.金融论坛.2007年第3期.
[26]高铁梅等.计量经济分析方法与建模—Eviews应用及实例.清华大学出版社.2006年1月.
[27]Demirguc Kunt and Detragiache..TheDeteoinatesof Banking crisis in Developing and Developed Countries .IRG.IMF Staff PaPer.1999,2-23
[28]Diamond.DV.and R.R.Rajian.Liquidity Risk.Liquidity Creation and Financial Fragility:A Theory of Banking.Journal of Political Economy 2001.109(2)287-327
[29]Rieardo N.Bebezuk“Asymmetic Information and the Market Structue of the Banking Industy”.IMF WorkingPaper 1998
[30]Kregel J.A.,Margins of Safety and Werght of the Argument in Generating Financial Fragility.Journal of Economics Issues.1997(6)
[31]Fisher Irving ,The Great Deflation Theory of Great Depression , Econometrical, 1993(10)
[32]Diamond Douglas W,and Dybvig Philip H.Bank Rank Runs,Deposit Insuirance,and Liquidity,Polite,Econ,1983(6)
[33]G.Gorton,The Origins of Banking panics:Models,Facts,and BANK Regulation, in .G.Hubbard.ed., Financial Markets and Finacial Markets and Financial Crises,(University of Chicago Press,Chicago),1991:p109-173.
[34]Markowitz,H.,Portfolio Seletion,Journal of Finance,1952(3)
[35]Stijn Claessens,Asli Demirgu-Kunt,and Harry Huizin-ga,How Does Foreign Entry Affect the Domestic Banking Market J OURNAL of Banking&Finance,Vol.25,2001.
[36]Saez, L,X. Sh.i LiquidityPools, Risk Sharing and Financial Conta-gion[J]. Working PaperFinancial Intermediation Research Society,2002: 02-03.
[37]Hausmann,Ricardo and Michael Goavin,1995,"Macroeconomic volatility in Latin America:Causes,consequences,and policies to assure stability",Washington;Inter-American Development Bank,July。
[38]Honohan,Patrick"Banking System Failures in Developing and Transition Countries:Diagnosis and Prediction"Working Paper No.39.Basle:Bank for International Settlements,January 1997。
[39] Daniel C.Hardy and Ceyla Pazarbasioglu,1998,“Leading Indicators of Banking Crises:Was Asia Different?“IMFWorking Paper 91。