宏观审慎框架下中国上市银行系统性风险监测研究 |
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引用本文:于蓓.宏观审慎框架下中国上市银行系统性风险监测研究[J].财经理论与实践,2015,(3):29-33 |
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中文摘要:采用2003年9月~2014年1月的市场数据,基于时间序列分析方法,在宏观审慎框架下,对中国上市银行系统性风险的累积性、截面维度的横向共振性、时间维度的纵向共振性特征进行动态研究。得到的主要结论有:中国上市银行系统性风险配置机制已逐渐形成,大型商业银行对系统性风险的表现具有代表性,中国上市银行体系的关联性在逐渐增强,中国上市银行系统性风险具有一定的外生性和顺周期性。 |
中文关键词:宏观审慎 系统性风险 时间序列分析 累积性 共振性 |
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Researching the Monitoring of China's Listed Banks' Systemic Risk Within Macro-prudential Framework |
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Abstract:Within macro-prudential framework, this study applies market data of China's listed banks from September, 2003 to January, 2014, to explore systemic risk's characteristics dynamically based on time series analysis: accumulation, transverse covibration from cross-sectional dimension, and longitudinal covibration from time dimension. The main conclusions are as follows: (1)the systemic risk allocating mechanism of listed banks has gradually formed; (2) the systemic risk of state-owned large commercial banks is more significant; (3) the inter-correlation of the listed banks is strengthening gradually; (4) the systemic risk of the listed banks is exogenous and procyclical. |
keywords:Macro-prudential Systemic risk Time series analysis Accumulation Covibration |
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