文档介绍：华侨大学
硕士学位论文
我国国有商业银行脆弱性分析与预警
姓名:李雪萍
申请学位级别:硕士
专业:数量经济学
指导教师:尹晓波
20090501
论文摘要
2008 年,是我国改革开放的第三十个年头,也是全球金融危机
向纵深发展、愈演愈烈的一年。改革开放使我国银行业不断融入世
界金融体系,也不可避免受到全球经济金融危机的冲击,使银行体
系面临的风险不断放大,进一步加剧了银行业的脆弱性。国有商业
银行居于我国金融业的核心位置,其稳健关系到国民经济的可持续
发展。衡量国有商业银行的脆弱性程度、分析其成因、探讨预警体
系的构建和脆弱性的分散化解之道,对深化国有银行改革,确保国
家经济安全、政治稳定和社会安定都具有重要的现实意义。
本文在对国内外银行脆弱性理论进行梳理的基础上,对银行脆
弱性的概念进行了界定。随后对国有商业银行脆弱性状况做出了初
步判断。之后选取了通货膨胀率等 7 个指标,利用主成分分析法对
国有商业银行 1985 年— 2007 年的脆弱性程度进行了综合评分;接着
进行银行体系脆弱性成因的实证分析,运用协整理论考察银行脆弱
性和各种经济金融变量之间的长期均衡关系。结果表明,与宏观经
济变量相比,金融变量与银行脆弱性的相关关系更具有合理性。其
后,运用 KLA 信号分析法,构建了银行脆弱性预警体系并进行了实
证研究。最后从金融体制改革、外部金融生态环境、风险管理、公
司治理四个方面,提出防范和化解我国国有商业银行脆弱性,实现
经济和金融发展的良性互动、保持国民经济快速健康增长的对策和
建议。

关键字:国有银行脆弱性主成分分析协整分析 KLA 信号分析
预警
I
Abstract
The year 2008 marks the thirtieth anniversary of China’s
opening-up and reform, and we have also seen many challenges brought
by the global financial crisis. The global financial storm strongely
amplifies the risks and the fragility level of our banking system,
especially the state-mercial banks which are essentional to
national economy.
Therefore, research on the state-mercial banks fragility,
warning system and control countermeasures is very meaningful, for it
helps to promote banking reforms and maintain continued political
stability, social progress and economic prosperity.
Firstly, we review the researches on bank fragility and define the
term “bank fragility”. Secondly, we describe the collective estimate of
our state-mercial banks fragility. Thirdly, we use principal
component analysis to give a synthetic evaluation on fragility level of
the state-mercial banks form 1985 to 2007. Based on the
introduction of the method of testing co-integration, we analysis the
long-term relationship between the fragility level of the state-owned
commercial banks and several economic variables as well as financial
variables. Then we adopt KLA signal analysis to shape our warning
system and make an