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本文利用银行体系内部变量构建我国2001年至2009年银行体系脆弱性月度指数,检验工业增加值增长率、居民消费价格指数与我国银行体系脆弱性指数间的线性和非线性Granger因果关系,建立马尔科夫区制转移向量自回归模型,实证分析宏观经济状况和宏观调控政策对银行体系脆弱性的非线性影响,并对2010年银行体系脆弱性的变化趋势进行短期预测。
This paper uses the internal variables of the banking system to construct the monthly vulnerability index of China’s banking system from 2001 to 2009, and tests the linear and nonlinear Granger causality between the growth rate of industrial added value, the consumer price index of China, and the vulnerability index of China’s banking system. The self-regression model of the transitional vector system of the Kefu district system empirically analyzes the non-linear effects of macroeconomic conditions and macroeconomic control policies on the fragility of the banking system, and makes short-term predictions of the changes in the banking system’s vulnerability in 2010.