基于平滑区制转移模型的银行体系脆弱性动态变化研究.pdfVIP

数量经济研究 The Journal of Quantitative Economics 第2 卷 第1 辑 VoL. 2. No.1 2011 年3 月 March 2011 基于平滑区制转移模型的银行体系脆弱性动态变化研究＊ 1 2 3 陈守东 杨东亮 田艳芬 （1.吉林大学数量经济研究中心，2.吉林大学东北亚研究中心，3.长春大学，长春 130021 ） 摘要：金融脆弱性具有一定的周期性特征，其外在表现为各种风险的积聚状态。本文依据脆弱性测度指标 体系的结构化特点，构建具有时效性的银行体系脆弱性核心测度指数，识别中国银行体系的脆弱性；运用 平滑区制转移模型（STAR ）研究中国银行体系脆弱性的动态演化路径。研究结果表明，2007 年以来，中 国银行体系脆弱性较高，并持续在较高的水平上振荡；中国银行体系脆弱性的动态变化路径是非单调积聚 的，从高区制状态返回到低区制状态需要较长时间；自助抽样结果表明中国未来一段时期的银行体系脆弱 性将继续保持在较高水平。 关键词：银行体系脆弱性；核心测度；平滑区制转移模型 中图分类号： F830 文献表示码： A Dynamic Analysis of Bank System Fragility Based on STAR Model Abstracts: Financial fragility is characteristics of certain business cycle, and the external performance is the accumulation of various risks. Based on the structure trait in the indicators system of banking fragility measurement, this paper constructs the core banking fragility index, so as to identify the state of the Chinas banking vulnerabilities. The smooth transition auto-regression (STAR) model is used to study the dynamic evolution path, and the bootstrap method is used to predict changes of the Chinas banking fragility. The results show that the Chinas banking fragility is higher since 2007, and persistent oscillation at a high level. The dynamic change is the non-monotonous accumulation, it is needed a long time period that the system state change from the higher regime to the lower regime ,and the China’s banking fragility will continue to remain at a high level in the certain future period. Key words: banking fragility ；core measurement ；smooth transition auto-regression model ＊ [投稿日期] ：2010-12-06 [基金项目]：吉林大学“985 工程”项目、教育部人文社科重点研究基地重大项目（07JJD790131）、 (08JJD790153)、(2009J