文档介绍：山西财经大学
硕士学位论文
我国商业银行体系脆弱性及预警系统研究
姓名:马希平
申请学位级别:硕士
专业:金融学
指导教师:杨有振
2011-03-13
我国商业银行体系脆弱性及预警系统研究
摘要

近几年来,国内外金融危机频发,关于银行体系脆弱性的研究也日益受到
关注。刚刚成为过去式的美国次贷危机留下的后遗症仍在蔓延和逐渐显现。这
些经验教训告诉我们:金融脆弱性积累到一定程度后可能会引发破坏性强、具
有连锁效应的金融危机,造成难以估算的严重后果,因此我们应当引以为戒。
本文旨在通过探索商业银行体系脆弱性的生成和演变机理,进行量化的评估,
并有针对性地提出防范性管制对策。
本文首先回顾了商业银行体系脆弱性这一领域的研究成果,在此基础上分
析商业银行体系脆弱性的概念,通过深入分析商业银行体系脆弱性与银行危机
的关系,进一步指出商业银行体系脆弱性对经济的影响及商业银行体系脆弱性
的生成机制。随后,文章选取了与商业银行体系脆弱性可能相关的指标,对我
国商业银行体系脆弱性进行了定性和定量的研究,初步分析了近二十多年中我
国商业银行体系脆弱性的现状。通过建立 logit 模型做出计量实证分析,指出微
观金融变量及宏观经济变量共同影响我国商业银行体系脆弱性程度,其中金融
变量影响更为显著,但回归的拟合程度并不理想。在以上研究的基础上,就我
国商业银行体系预警机制提出了初步设想和建议,并对未来的研究进行展望。

【关键词】商业银行脆弱性,银行危机,logit 模型,预警体系

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我国商业银行体系脆弱性及预警系统研究
Abstract
In recent years, as frequent financial crises arise at home and abroad, researches on the
fragility of the banking system is also a growing concern. Just as the . subprime mortgage crisis
has e past tense, the sequela of this crisis is still spreading and the after-effects appear
gradually. These historical facts tell us: the accumulation of financial vulnerability to a certain
extent might cause very serious and destructive crisis, which will lead to economic, political and
social aspects of a major upheaval, thus we should take warning seriously. This paper aims to
explore the vulnerability of the banking system formation and evolution mechanism of the
quantitative assessment and targeted preventive control measures proposed.
This paper first reviews the existing research results in this field, then raises the concept of
fragility of the banking system, especially analyzes deeply the relationship with the banking crisis,
and further points out the impact of the vulnerability of the banking system on the economy and the
formation mechanism. Then, the paper makes an empirical study. From aspects of the
non-performing loans ratio, capital adequacy, profitability and liquidity risk, the paper describes the