【作者】 樊小峰；

【导师】 汤凌霄；

【作者基本信息】 长沙理工大学 ， 统计学， 2007， 硕士

【摘要】 金融是现代经济的核心,银行是金融体系的核心,预防银行体系风险对我国经济的可持续发展至关重要。而在银行体系的风险中,系统性银行风险的危害最大、影响最深,因而,对银行业系统性风险进行预警研究,对我国的稳定发展具有重要意义。中国加入WTO后,金融体系与国际接轨,金融业逐步对外开放,外资金融机构大批涌入,激烈的竞争给我国银行业带来较大的冲击。而且,我国银行业与国际接轨后,国外风险更易传染至国内。纵观进入20世纪90年代以来,全球范围内的金融危机尤其是银行危机层出不穷,如日本泡沫经济破裂、欧洲货币危机、墨西哥金融危机、亚洲金融风暴、俄罗斯金融危机、巴西金融危机、土耳其金融危机、阿根廷金融危机等。这些金融危机的爆发使全球经济处于动荡之中,危害社会的正常发展。因此,对中国银行业系统性风险的预警研究是一项意义深远且艰巨的任务。我国银行业系统性风险的致因有两个方面:一是银行本身的特点决定了银行存在内在脆弱性,并且信息不对称的普遍存在和个人理性与集体理性的冲突加剧了银行脆弱性的不断累积;二是经济的周期性、外部冲击、财政货币政策状况、股市泡沫风险和银行累积不良资产等外部因素可能会诱发系统性风险。根据银行业系统性风险的致因,我国银行业系统性风险预警系统可由宏观经济风险、外部冲击风险、银行业业内风险和股市泡沫风险预警四个子系统组成,通过宏观经济风险预警子系统对由经济的周期性和财政货币政策状况引发的银行业系统性风险进行预警,通过外部冲击风险预警子系统对由外部冲击引发的银行业系统性风险进行预警,通过银行业业内风险预警子系统对由银行内在脆弱性和银行累积不良资产引发的银行业系统性风险进行预警,通过股市泡沫风险预警子系统对由股市泡沫引发的银行业系统性风险进行预警。通过建立一套科学的考察指标体系,运用熵值法和模糊综合评判法对我国1991-2006年银行业系统性风险进行初步测度,得出评判结果:我国的银行业系统性风险预警在1992-1996年风险较大,处于中警区;自1997年以来中国银行业系统性风险一直处于轻警状态。评判结果符合我国银行业现实情况,模型的构建较为成功。文章运用二次指数平滑法对单个指标进行未来两年的预测,再使用所构建预警模型对2007-2008年我国银行业系统性风险进行预警,得出结果为轻警状态。这表明我国银行业潜在系统性风险很大,必须引起高度重视。宏观经济风险对金融安全的贡献度最大,其风险状态为中警。因而,相关部门应继续谨防经济过热趋势。相关部门应采取措施减少宏观经济风险,控制固定资产投资增速、控制物价上涨趋势、预防和控制资产泡沫膨胀风险等。当然,防范银行业系统性风险,最根本的途径是增强银行业自身的风险抵御能力。更多还原

【Abstract】 Finance is the core of the modern economy, and banking is the core of financial system, hence, defending risk in banking is crucial to the sustainable development of China’s economy. Among risks in banking, the systemic risk is the most dangerous and influencing one, so it is very significant to study the early warning system for systemic risk in banking. Also, along with China’s accession to the WTO, China’s finance industry is opening up to foreign countries, and more and more foreign banks enter into the China market. The fierce competition places great impact on China’s banking. Moreover, as China’s banking links up with the global financial systems, the risk contagion becomes easier. And Since 1990s, there has been a worldwide high-frequency occurrence of financial crises especially bank crises , such as the collapse of Japan’s bubble economy, the currency crisis in Europe, the Mexican financial crisis, the Asian financial crisis, the financial crises in Russia, Brazil, Turkey and Argentina. These crises led global economy to a period of great turbulence, damaging the society’s normal development. Hence, it is significant and hard task to study the early warning system for systemic risk in China’s banking.There are two aspects that may cause systemic risk of China’s banking: one aspect is that the characters of banking itself bring the inherent fragility, and the widespread existence of information asymmetry and conflict between individual and collective rational anticipation aggravate the accumulation of banks’inherent fragility; another is that the economic period, outer impact, the situation of finance and money policies, the bubble risk in stock market and the bank’s accumulating bad assets may lead to systemic risk. According to the causes of systemic risk in China’s banking, the early warning system can be composed by four subsystems: the macro economy risk subsystem, the outer impact risk subsystem, the inner banking risk subsystem and the bubble risk in stock market subsystem. The macro economy risk subsystem gives early warning for systemic risk caused by the economic period and the situation of finance and money policies. The outer impact risk subsystem gives early warning for systemic risk caused by the outer impact. The inner banking risk subsystem gives early warning for systemic risk caused by the inherent fragility of banking and the bank’s accumulating bad assets. And the bubble risk in stock market subsystem gives early warning for systemic risk caused by the bubble risk in stock market. By building a set of indicator system, the article employs entropy method and fuzzy comprehensive evaluation to estimate the 1991-2006s systemic risk in China’s banking, and gets the result: the systemic risk in 1992-1996s is larger, whose early warning state is mid-warning; while the early warning state of systemic risk since 1997 is slight warning. The result accords with the reality in China, and the model is successful. Then, the article uses the secondary exponential smoothing method to forecast the single indicator, then employs the early warning model to analyze the systemic risk of 2007-2008s, and gets the result that the sate of early warning for systemic risk is slight. This illustrate that the potential systemic risk in China is huge, which we should pay our close attention to. Among the four subsystems, the macro economy risk contributes the most to the systemic risk in banking, and its early warning signal is mid-warning. Hence, the government should take some measures to prevent the economic overheating trend. For example, to control the increasing speed of investment in fixed assets, to control the trend of inflation of prices, to prevent and control the assets bubble risk and so on. Of course, in order to prevent systemic risk in banking, the basic method is to strengthen the banks’capacity of defending risk.更多还原