国有商业银行脆弱性实证研究(1985～2005)

An Empirical Study of the Fragility of State-Owned Commercial Banks (1985～2005)

本文对各种银行脆弱性理论和实证研究进行整合后,选择4个核心指标对1985～2005年的国有商业银行脆弱性进行判断,认为国有商业银行脆弱性程度呈现先上升后下降的趋势,近2年的脆弱性程度已经降到历史最低点。从这个意义上说,国有商业银行能否保持和巩固改革和发展的成果,成功实现“战略转型”和向现代商业银行的蜕变,将成为一个重要的历史性课题。Granger因果关系检验和协整分析表明,部分宏观经济指标和金融指标均与国有商业银行脆弱性存在Granger因果关系和长期均衡关系,其中金融指标对脆弱性的影响程度高于宏观经济指标。一个良性互动的经济和金融体系,是银行稳定发展的重要基础。

The present article reviews different theoretical and empirical studies of banking fragility and estimates the fragility of state-owned commercial banks from 1985 to 2005 through 4 kernel variables. It is found that their fragility assumes a parabola ten- dency and is at the lowest point in recent 2 years. In this sense, it is an historical issue faced by state-owned commercial banks to maintain and consolidate the result of reform and development and successfully transform into modem commercial banks. Granger causality and co-integration tests indicate some macro-economic and financial variables have Granger causality and long-term equilibrium relations with the fragility of state-owned commercial banks. Financial variables affect it more than macro-economic variables. Therefore, a favorable interactive economic and financial system is an important foundation of stable development of banks.