摘要
本文在国内外银行体系脆弱性理论研究的基础上,构建了我国银行体系脆弱性核心测度指数,从宏观、制度和外部三个层面分析了影响银行体系脆弱性的因素。具体研究内容包括:(1)回顾了国内外银行体系脆弱性研究的经典理论,界定了银行体系脆弱性的内涵,构建了银行体系脆弱性核心测度指数,分析了我国银行体系脆弱性状态。(2)从宏观经济层面,分析了影响银行体系脆弱性的主要宏观经济因素,研究了二者的长期均衡关系、Granger因果关系以及脉冲响应关系。(3)从制度层面,重点分析了集中型的银行体系结构、预算软约束制度对银行体系脆弱性的影响。(4)研究了美国经济波动、中美实际利差、资本流动等外部因素与我国银行体系脆弱性之间的相关性,分析了外部因素变动对银行体系脆弱性的冲击。
The subprime lending crisis occurs in the United States in 2007,causes the American economy to be worn out.The crisis spreads to worldwide rapidly,arises from the financial market turbulence,the economic steps postpones.The sub-loan crisis in the United States once again led to of the global financial turmoil in 2008,sounded the alarm bell of the banking crisis.The vulnerability of the banking system as if the boat is running in the sea,there is always the risk of huge waves hit.
Research related to the banking crisis attracts a number of heavyweight economists,many of the classic theory form at that time.Not only a large number of documents studying the mechanism banking crisis have emerged from a macro and institutional view,the research on the vulnerability of bank increasingly is wide in Southeast Asian financia crisis.In China,the financial system dominated by the banks .The bank vulnerability is the focus of many scholars,Research on the causes and the index of the banking system vulnerability have accumulated a great deal of valuable Literature.
This article defines the connotations of the banking fragility,and mainly studies the measure of the banking system fragility and the impact factors that affect the banking instability.According to banking system fragility connotation,the paper constructs the core index of the banking system fragility measurement,and analyzes the main impact factors from a macro, institutional and external dimensions with applying many of econometric methods.
The banking system refers to the integrity system relating to money supply and monetary creation,including the Central Bank,commercial banks,city banks and rural credit cooperatives, The banking system fragility is the inherent attributes that determines by high operating characteristics of the liabilities,and is the state of the accumulation of risks in the banking system.China's banking system and the performance of the external vulnerability of the banking system for credit risk,liquidity risk and market risk accumulation.
According to the characterization of the banking system within the banking system and credit risk,liquidity risk and the risk of exchange rate targets,the paper chose the growth rate of total deposits in the banking system,the growth rate of loans,the central bank's financial institutions credit rate of gross domestic credit,deposit and lending ratio As well as the bank's private sector credit growth rate of a total of six indicators,by the application of factor analysis of the banking system to build a core measure of vulnerability.
In analyzing the macro-economic impact factors of the banking system vulnerability,the paper choose the gross domestic growth rate and the inflation rate,such as the 13 financial macro-economic variables,using principal component analyzes the impact of the vulnerability of the banking system and the major macro-economic factors.
In order to determine the macro-factors on the vulnerability of the banking system ,this article use Logit regression analysis to test the vulnerability of the banking system and macroeconomic factors.
Institutional factors is the root causes for the fragility of the banking system.A special process of institutional change in China's banking system increased the banking system vulnerability As the institutional factors often implemented over a period of time, therefore, chosen the autoregression lagged distribution model, the study focused on the structure of the banking system, as well as government intervention under the soft budget constraints on China's banking system vulnerability.
U.S. loan crisis in 2007 meeting after the world's economic and financial situation has changed dramatically. This chapter, combined with the current international situation changes, chooses the U.S. economic growth, the spread of China and the United States rate , the size of capital flows, hot money flows, such as the external factors, the analysis of external factors on China's banking system vulnerability.
The main conclusions of this paper is as follows:
1.The results showed that the macro-economic variables from the five aspects of the impact of the vulnerability of the banking system, on the ground were commodity prices, capital prices and prices of the currency composition of the price factor, economic growth, monetary policy and investment changes, capital supply factors listed companies The value of the changes.
2.The results show that since 2000 China's banking system vulnerability can be divided into three phases, the first phase from January 2000 to July 2003, China's banking system fragility almost straight up stage, and in June 2003 climb up the peak. The second stage is from August 2003 to March 2005, the fragility of the banking system declined. The third stage is from from April 2005 to June 2008, the phase of the fragility of the banking system increased, but the upward trend of relatively flat. The warning line of the bank "fragile" standards is the average adding to 0.5 times the standard deviation,so as to identify the vulnerability of the banking system, there are mainly two periods. The first period was in August 2002 to May of 2004, the banking system vulnerability during this period indices for the range of 8.03 to 10, with an average of 9.17, the level of 16.8% ultra-warning line. The banking system of highest degree of vulnerability is during the period, and a sample of the banking system during the period of vulnerability is the maximum time period. The second period is from June 2007 to June 2008, during which the banking system vulnerability index for the range of 8.00 to 8.49, with an average of 8.28, the level of super-warning line of 5.5%.The Logit model analysis Shows that 10% of the significant level, the constant equation of significant non-0 for the banking system itself on the existence of a certain degree of vulnerability. And changes in factors of economic growth in money supply growth, fixed asset investment growth, foreign direct investment, domestic credit growth and stock market value of macro-economic variables such as the vulnerability of the banking system significantly affected.
The vulnerability of the banking system and macro-economic factors between the Granger causality analysis showed the vulnerability of the banking system and economic growth, deposit-taking financial institutions benchmark interest rate, the benchmark interest rate loans from financial institutions, the broad money supply Granger of reasons, fixed-asset investment growth rate And the vulnerability of the banking system and the existence of two-way Granger causality. The vulnerability of the banking system and macroeconomic factors impact - response analysis showed that the vulnerability of the banking system by the impact of a unit, on the impact of the economic growth rate is negative, 3 months, slower pace of economic growth since the economic growth rate Coming down. If economic growth by the impact of a flat, the fragility of the banking system in the lag after 5 months gradually increase. Fixed asset investment growth rate is subject to a unit the size of the impact of the banking system's vulnerability, and in six months to the highest value, the vulnerability of the banking system by a unit the size of the impact, the growth rate of fixed asset investment First increase in three months, after falling 6 months dropped to the lowest point in the banking system's vulnerability to increase growth rate of fixed asset investment made by the continuing negative impact. By the broad money supply is a unit of the impact of the impact of the vulnerability of the banking system to rise within 2 months after the decline and subsequent decline in uniform. The vulnerability of the banking system on the broad money supply in response to a smaller extent.
4.The results show that China's state-owned commercial banks, more than 50% market share in China's banking system remains concentrated structure. The vulnerability of the banking system by itself behind a significant impact on the. The current structure of the banking system and variable lags and a variable on the vulnerability of the banking system have a significant impact, the current concentration of the banking system has increased the vulnerability of the banking system, behind a concentration of the banking system to reduce the vulnerability of the banking system. As a result, the banking system and the fragility of the banking system with the concentration of the change, the current concentration of the banking system increased by 1%, the bank increased the vulnerability of 0.34 percent. The pre-concentration of the banking system increased by 1% of the banking system to reduce the vulnerability of 0.28 percent.
5.To the banking system of non-financial enterprises in the loan amount of soft budget constraint as a change agent variables,studies have shown that the vulnerability of the banking system by itself behind a significant impact on the.Soft budget constraint variables in the current period and a variable lags behind the banking system have a significant impact,the current level of soft budget has increased the vulnerability of the banking system,behind a soft budget constraint of the degree of reduction of the vulnerability of the banking system in order to verify Bank-to-business loans for the first time because of the scale of credit expansion through increased vulnerability,and because of the existence of soft budget constraint,the bank had for the second time for corporate finance,to some extent when the loan is not greater than the gains, As a result,a second loan to reduce the vulnerability of the banking system.
6.The vulnerability of the banking system and external factors related to the analysis shows the vulnerability of the banking system with the United States and the economic growth of the correlation coefficient -0.141,indicating the U.S.economy and the growth rate of China's banking system and the vulnerability of the reverse correlation between,but Correlation is not significant. China and the United States and the actual rate of China's banking system and the vulnerability of the correlation coefficient -0.658,China and the United States showed that the actual rate of China's banking system and the vulnerability to the negative correlation between, and in the 5% level of significant correlation. The vulnerability of the banking system and capital flows to normal size with a correlation coefficient of 0.332, indicating a normal capital flows and China's banking system between the vulnerability of being linked to the 5% level of significant correlation. The banking system and the vulnerability of hot money flows and the size of the correlation coefficient of 0.282, indicating hot money flows and the size of China's banking system between the vulnerability of being linked to the 5% significance level was significantly correlated.
7.China and the United States actually spreads, capital flows and the size of hot money, and other external factors on China's banking system and the impact of short-term effect of long studies have shown that the vulnerability of the banking system by itself behind a huge impact on the variable. Due to the fragility of the banking system in the short term is difficult to eliminate, the current banking system and the fragility of the banking system in the past by the vulnerability of the most affected. China and the United States with the actual spread of the banking system vulnerability exists between the negative reaction to the shock, but not the extent of the impact. Error correction model analysis showed that, from the impact of external factors in the short term on the vulnerability of the banking system is very small, and the long-run equilibrium relationship between short-term fluctuations in the role of the amendment is very small, whole, the actual rate of change in China and the United States, as well as capital flows The scale of the changes will not directly change the fundamental fragility of the banking system.
引文
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