银行业系统性风险外部环境冲击的量化研究--基于中国经验数据的测度

A Quantitive Study of the External Impact on the Systemic Risk of the Banking Sector——Based on China's Empirical Data

本文从宏观经济、金融市场和微观经济主体三个方面,重点分析了12个外部因素变化对银行业系统性风险的冲击压力及其传导路径;并具体选择12个代表性指标,应用AHP法、熵权法和组合赋权法,分析了各指标的冲击强度。在此基础上,本文基于中国2004—2010年期间的季度经济金融数据,构建了中国银行业系统性风险外部环境冲击指数,首次量化了外部冲击造成的压力大小,并进行了效果比较。本文为后续的研究,特别是系统性风险的早期预警研究,奠定了基础。

This paper examines the transmission channel through which 12 external factors affect the systemic risk of the banking sector and their impact, from the perspective of macroeconomics, financial market and micro-e- conomic entities. The twelve indicators are constructed as the External Environmental Index （EEI）. The intensity of each indicator is analyzed with AHP, Entropy Value Compound Weight method using the data set of China＇ s quarterly economic and financial data from 2004 to 2010. This is the first time to quantify the degree of external impact, and our research may lays down the foundation for researches on Early Risk Warning （ERW） of systemic risk.