中国金融体系脆弱性测度及其经验解释:2001～2010 被引量：13

The Vulnerability Measuring and Experience Analyzing of China's Financial System:2001-2010

下载PDF

导出

摘要 "后金融危机"时代,中国金融体系脆弱与否成为关注之焦点。基于2001～2010年季度数据,运用动态因子分析方法,从银行、保险、股票、债券、外汇等方面,研究金融脆弱性领域涉及的范围不广和不全面问题,结果表明,在过去10年里,中国金融体系脆弱性有明显的阶段性特征,不同风险因子的变化路径有较大差异;经验解释深度结合中国的现实情况,能够很好地拟合现实情况并且在一定程度上具有预测功能。建议进一步加强金融监管,增加金融体系透明度,保障金融体系的安全。 In the post financial crisis era, people are now focusing more on whether China＇ s financial system is vulnerable or not. With the quarterly data of 2001-2010, this ar- ticle employs the method of dynamic factor analyzing to study, in the fields of banking, in- surance, stocks, bonds, foreign exchange, etc. , on the problem that the scope of the research areas of financial fragility is not wide and comprehensive. The study shows that, in the past decade, there really existed stage characteristics in the vulnerability of China＇ s financial system, and that changes in the path of the different risk factors are quite different. Experi- ence explanation combining with China＇ s realities closely can fit the actual situation and be of the capability to predict to a certain extent. Finally, this paper suggests further strengthen financial supervision and increase transparency in the financial system to ensure the safety of the financial system.

作者段军山易明翔

机构地区广东商学院金融学院

出处《广东金融学院学报》 CSSCI 北大核心 2012年第2期3-16,共14页 Journal of Guangdong University of Finance

基金国家社科基金青年项目(10CJL017) 国家自科基金面上项目(71073031) 教育部人文社科基金一般项目(08JA790025) 广东省"千百十人才工程"第六批培养项目广东商学院国民经济研究中心"资本市场与投融资研究创新团队"项目

关键词金融体系脆弱性指数测度动态因子分析 financial system vulnerability index measurement dynamic factor analysis

分类号 F832.59 [经济管理—金融学]

引文网络
相关文献

参考文献27

1Miguel A. Segoviano Basurto, Charles Goodhart, and Boris Hofmann ,2006. Default, Credit Growth, and Asset Prices, IMF Working Paper No. 6:223.
2Franklin Allen, and Douglas Gale,2004. From Cash-in-the-Market Pricing to Financial Fragility,ht- tp ://www. econ. nyu. edu/user/galed/papers/paper04-09-03, pdf.
3Mishkin, Frederic S. ,2007. Housing and the Monetary Transmission Mechanism, Finance and Econom- ics Discussion Series 2007 -40, Washington : Board of Governors of the Federal Reserve System.
4Carmen M. Reinhart,and Kenneth S. Rogoff,2008. Is the 2007 US Sub-Prime Financial Crisis So Dif- ferent? An International Historical Comparison, American Economic Review, Vol. 98, No. 2:339-344.
5A. Geromichalos ,J. M. Licari, and J. Suarez-Liedo,2007. Monetary Policy and Asset Prices, Review of Economic Dynamics,No. 10:761-779.
6Olivia A. Vital, and Lucia C. Laquindanum, 2004. Asset Price Bubbles : Implications On, And Approa- ches To, Monetary Policy And Financial Stability, Bangko Sentral Review,No. 7:13-24.
7Kiyotaki, Nobihuro, and John Moore, 1997. Credit Cycles, Journal of Political Economy, Vol. 105, No. 2:211-248.
8Kregel J. A. ,1997. Margins of Safety and Weight of the Argument in Generating Financial Fragility,Journal of Economic Issues,Vol. 31 ,No. 2:543-548.
9Diamond, Douglas W. , and Phillip H. Dybvig, 1983. Bank Runs, Deposit Insurance, And Liquidity, Po- litical Economy, Vol. 91, No. 3:401-419.
10Barry Eichengreen and Carlos Arteta. ,2000. Banking Crises in Emerging Markets : Presumptions and Evidence, University of California at Berkeley, Center for International and Development Economics Research (CIDER) , Working Papers C00-115.