基于Panel Logit模型的系统性风险影响因素研究

Research on the Influential Factors of Systemic Risk:Based on the Panel Logit Model

文章基于全球1990年以来发生的系统性风险事件作为研究对象,使用117个国家的数据,利用Logit模型构建系统性风险评估模型进行分析。研究结果表明:(1)基于跨国面板数据的Logit模型评估系统性风险十分有效;(2)当宏观经济脆弱时,系统性风险产生的概率一般会加大,随着金融发展程度和自由化程度向前推进,一国的金融脆弱性日益明显。基于以上研究结论,文章提出增加金融系统的透明性和稳定性;加强宏观审慎管理;创新宏观监管措施;加强系统重要性银行的监管等政策建议。

The article based on the global systemic risk incidents since 1990 as the research object,using the data of 117 countries,making use of logit model to build systemic risk assessment model for analysis. The results show that：（ 1） the systematic risk assessment base on the multinational panel data of logit model is very effective;（ 2） when the macroeconomic is vulnerable,the probability of systemic risk will be generally increases,with the financial development degree and the liberalization degree taking advance,the financial fragility of a country will become obvious increasingly. Based on the above research conclusions,this paper puts forward the corresponding policy recommendations as follows： increase the transparency and the stability of the financial system; strengthen the macro prudential management; innovate the macro regulatory measures; strengthen the regulation of systemically important banks and so on.