CAJ | 학술논문

从流动性风险、信贷风险和汇率风险视角构建的银行体系脆弱性测度指数更具时效性;建立时变参数模型,分析国际金融危机对我国银行体系脆弱性的冲击,结果表明,国际金融危机对我国银行体系脆弱性具有明显的负向冲击.为避免我国银行体系脆弱性加剧,应从信贷风险、流动性风险和汇率风险三个角度来控制银行风险的积累;特别是在制定实施刺激经济的措施时,要避免其对我国银行体系脆弱性可能造成的不利影响.
종류동성풍험、신대풍험화회솔풍험시각구건적은행체계취약성측도지수경구시효성;건립시변삼수모형,분석국제금융위궤대아국은행체계취약성적충격,결과표명,국제금융위궤대아국은행체계취약성구유명현적부향충격.위피면아국은행체계취약성가극,응종신대풍험、류동성풍험화회솔풍험삼개각도래공제은행풍험적적루;특별시재제정실시자격경제적조시시,요피면기대아국은행체계취약성가능조성적불리영향.
Bank system vulnerability measurement index from the perspective of liquidity risk, credit risk and exchange rate risk is more time-sensitive. Based on the current international financial crisis, we build time-varying parameter model, analyze the impact of international financial crisis on fragility of China's bank system, and find that the international financial crisis has obvious negative impact on fragility of China' s bank system. In order to avoid the aggravating of the fragility of the bank system, we should control the risk accumulation from such three angles as credit risk, liquidity risk and exchange rate risk and should avoid the economic measures' adverse effect on the fragility of China' s bank system especially when we make and carry out all kinds of economic-stimulating measures.