文档介绍：山西财经大学
硕士学位论文
我国银行体系脆弱性研究
姓名:梁岭利
申请学位级别:硕士
专业:统计学
指导教师:李宝瑜
2009-03-30
摘要
银行体系是金融体系的核心,银行体系的稳定与否,将直接影响到金融体
系的稳定,进而影响整个国家的经济,对国民经济的健康稳定发展至关重要。
脆弱的银行体系,极易受到宏观经济波动的冲击和国家政策的影响。同时,经
济金融发展过程中的矛盾,也使得银行体系面临着巨大的风险。
本文在国内外专家学者研究的基础上,从银行体系脆弱性的概念出发,研
究了我国银行体系的脆弱性的表现。接着,从银行体系的资产、资产和负债的
结构、以及银行的运营操作三个方面考虑,建立了指标体系,搜集数据,对
1985-2006 年之间我国银行体系的脆弱性进行了测度。测度方法主要是运用因
子分析,对各个指标数值进行计算,最后得到综合得分,得分值的大小,代表
银行体系脆弱性的强弱。从分析结果来看,我国银行体系的脆弱性整体上是先
上升,后下降的。这也说明了在亚洲金融风波之后,国家采取了一系列措施,
解决银行体系中存在的问题,效果是显著的。然后,从银行体系存在的经济金
融环境方面,分析了银行体系脆弱性的影响因素。主要采用了格兰杰因果检验
和 ADL 建模方法,得出结论认为,我国的经济金融环境对我国银行体系的脆
弱性的影响是显著的。最后,针对前文的分析结果,提出了降低我国银行体系
脆弱性的政策建议,包括完善银行体系本身的措施和建立良好的银行体系运营
环境两个方面。
【关键词】银行体系脆弱性指标体系因子分析格兰杰检验 ADL 模型

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Abstract
integrated score. the sizThe banking system are the core of financial banking
system is stability or not, will directly affect the stability of the financial system, thereby affecting
the entire country's economy, so it is essential to the national economy healthy and stable
development. Fragile banking system, will be highly vulnerable to macroeconomic fluctuations
and the impact of national policies. At the same time, the contradictions in the development of
economic and financial, also can make the banking system faces enormous risks.
On the basis of domestic and foreign experts and scholars the study, the paper start from
the concept of the banking system’s vulnerability,study the performing of the banking system in
the terms of vulnerability. Next, from three aspects ,including the banking system assets, the
structure of assets and liabilities, as well as the bank's operations, set up an index
collectting data, I made a measure of our country’s banking system’s vulnerability between the
years 1985-2006. The methods of the measurement are the use of factor analysis, calculating the
numerical of the various indicators, and gettinge of the score value represent the degree of the
banking system’ vulnerabi