金融系统稳定性评估:基于宏观压力测试方法的国际比较被引量：52

An International Comparison of Marco Stress-testing Methodology in the Evaluation of Financial System Stability

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摘要宏观压力测试在各国政策当局的金融稳定性评估中获得了广泛应用。本文深入分析了宏观压力测试核心理论模型的构建和常用方法,并对实践中的典型系统IMF和World Bank的FSAP压力测试系统、英格兰银行的TD系统和奥地利银行的SRM系统进行了比较分析,对我国未来利用宏观压力测试方法评估金融系统稳定性提出了5点政策建议。 Macro stress-testing currently has been widely used in the financial stability analysis by supervisory authorities. This article deeply analyzes the structure of several macro stress-testing theory models and common methods, comparatively analyze some typical systems such as the FSAP stressing system of IMF and World Bank, TD system of Bank of England and SRM system of OeNB, and put forward five policy suggestions for exploiting macro stress-testing to estimate the China＇s financial stability.

作者徐明东刘晓星

机构地区复旦大学金融研究院

出处《国际金融研究》 CSSCI 北大核心 2008年第2期39-46,共8页 Studies of International Finance

基金中国博士后基金项目(20070410665) 教育部人文社科项目(07JC790022)的资助。

关键词宏观压力测试金融系统稳定性传染效应反馈效应 Macro Stress-testing Financial Stability Contagion Effects Feedback Effects.

分类号 F831 [经济管理—金融学]

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