[1]陈伟光,黄雯华.基于Panel Logit模型的系统性风险影响因素研究[J].金融教育研究,2016,(06):3-13.
　CHEN Weiguang,HUANG Wenhua.Research on the Influential Factors of Systemic Risk:Based on the Panel Logit Model[J].,2016,(06):3-13.
点击复制

基于Panel Logit模型的系统性风险影响因素研究()
分享到：

《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2016年06期
页码:
3-13
栏目:
出版日期:
2016-12-01

文章信息/Info

Title:
Research on the Influential Factors of Systemic Risk:Based on the Panel Logit Model
作者:
陈伟光;  黄雯华
广东外语外贸大学 金融学院,广东 广州 510006
Author(s):
CHEN Weiguang;  HUANG Wenhua
School of Finance,Guangdong University of Foreign Studies,Guangzhou,Guangdong 510006,China
关键词:
全球经济治理;  Panel Logit模型;  系统性风险
Keywords:
global economic governance;  the panel logit model;  systemic risk
分类号:
F830.99
文献标志码:
A
摘要:
文章基于全球1990年以来发生的系统性风险事件作为研究对象,使用117个国家的数据,利用Logit模型构建系统性风险评估模型进行分析。研究结果表明:(1)基于跨国面板数据的Logit模型评估系统性风险十分有效;(2)当宏观经济脆弱时,系统性风险产生的概率一般会加大,随着金融发展程度和自由化程度向前推进,一国的金融脆弱性日益明显。基于以上研究结论,文章提出增加金融系统的透明性和稳定性; 加强宏观审慎管理; 创新宏观监管措施; 加强系统重要性银行的监管等政策建议。
Abstract:
The article based on the global systemic risk incidents since 1990 as the research object,using the data of 117 countries,making use of logit model to build systemic risk assessment model for analysis.The results show that:(1)the systematic risk assessment base on the multinational panel data of logit model is very effective;(2)when the macroeconomic is vulnerable,the probability of systemic risk will be generally increases,with the financial development degree and the liberalization degree taking advance,the financial fragility of a country will become obvious increasingly.Based on the above research conclusions,this paper puts forward the corresponding policy recommendations as follows:increase the transparency and the stability of the financial system; strengthen the macro prudential management; innovate the macro regulatory measures; strengthen the regulation of systemically important banks and so on.

参考文献/References:

［1]古扎拉蒂达摩达尔·N·古扎拉蒂.计量经济学基础[M].北京:中国人民大学出版社,2011:350-450.
［2]Laeven,L.,Valencia,F..Systemic Banking Crises:An Update[R].IMF Working Paper,2012:47-56.
［3]Thorsten Beck,Ross Levine.Legal Institutons and Fianancial Development[R].World Bank Policy Research Working Paper,2003:31-36.
［4]王芳.主成分分析与因子分析的异同比较及应用[J].统计教育,2003(5):39-42.
［5]于秀林,任雪松.多元统计分析[M].北京:中国统计出版杜,1998:89-90.

备注/Memo

备注/Memo:
收稿日期:2016-07-12基金项目:国家社科重大项目“提高中国在全球经济治理中的制度性话语权”(15ZDC038)作者简介:陈伟光(1963-),男,湖北武汉人,国家社科重大项目首席专家,经济学博士,硕士生导师,二级教授,主要研究方向为金融经济学。
更新日期/Last Update: 1900-01-01