基于选择抽样的银行危机先行指标研究
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财经研究 2014 年 第 40 卷第 05 期, 页码：54 - 63
摘要
参考文献
摘要
文章在基于选择的抽样方法下,以前一期的各经济金融变量作为解释变量,采用Logit模型对银行危机的先行指标进行了经验分析。文章分别采用了加权与非加权的最大似然估计法,得到以下结果:实际GDP增长率、人均实际GDP以及实际利率的上升会降低银行危机的发生概率,而国内信贷与GDP之比、通货膨胀率以及广义货币与外汇储备比值的上升则会提高银行危机的发生概率,但政府财政盈余与GDP之比以及存款保险制度则对银行危机的发生概率没有显著影响。此外,非加权最大似然估计法的适用性比加权最大似然估计法更强,模型的拟合优度检验和预测准确率都表明,模型中统计上显著的以上6个变量是很好的银行危机先行指标。
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①银行危机的先行指标是指危机发生前的指标,本文采用的是前一期的各解释变量。
①样本的选取并不是完全随机的,而是根据被解释变量的取值或属性进行抽样的方法即为基于选择的抽样方法(Choice-based Sampling)。
①我们将不同年份的同一经济体看作是不同的个体。
②根据Reinhart和Rogoff(2008)的估计,银行危机的平均持续期约为3年。
①限于篇幅,文中未报告全样本MLE估计结果和下文稳健性检验的结果,如有需要可向作者索取。
[2]董青马,卢满生.金融开放度与发展程度差异对银行危机生成机制影响的实证分析[J].国际金融研究,2010,(6):79-85.
[3]谭福梅.系统性银行危机早期预警系统有效吗?——基于Logit模型的实证分析(1980-2007)[J].当代财经,2009,(12):49-54.
[4]Bussiere M,Fratzscher M.Towards a new early warning system of financial crises[J].Journal of International Money and Finance,2006,25(6):953-973.
[5]Cameron A C,Trivedi P K.Microeconometrics:Methods and applications[M].Cambridge:Cambridge University Press,2005.
[6]Demirgüc-Kunt A,Detragiache E.The determinants of banking crises in developing and developed countries[J].IMF Staff Papers,1998,45(1):81-109.
[7]Demirgüc-Kunt A,Karacaovali B,Laeven L.Deposit insurance around the world:A comprehensive database[R].World Bank Policy Research Working Paper No.3628,2005.
[8]Domowitz I,Sartain R L.Determinants of the consumer bankruptcy decision[J].Journal of Finance,1999,54(1):403-420.
[9]Kish L,Frankel M R.Inference from complex samples[J].Journal of the Royal Statistical Society,Series B(Methodological),1974,36(1):1-37.
[10]Klomp J.Causes of banking crises revisited[J].North American Journal of Economics and Finance,2010,21(1):72-87.
[11]Laeven L,Valencia F.Systemic banking crises:A new database[R].IMF Working Paper No.224,2008.
[12]Laeven L,Valencia F.Systemic banking crises database:An update[R].IMF Working Paper No.163,2012.
[13]LéM.Deposit insurance adoption and bank risk-taking:The role of leverage[R].International Academic Conference“Risk Taking in Financial Institutions,Regulation and the Real Economy”,Paris,2013.
[14]Manski C F,Lerman S R.The estimation of choice probabilities from choice-based samples[J].Econometrica,1977,45(8):1977-1988.
[15]Moshirian F,Wu Q.Banking industry volatility and banking crises[J].Journal of International Financial Markets,Institutions and Money,2009,19(2):351-370.
[16]Nathan G,Holt D.The effect of survey design on regression analysis[J].Journal of the Royal Statistical Society,Series B(Methodological),1980,42(3):377-386.
[17]Platt H D,Platt M B.Predicting corporate financial distress:Reflections on choice-based sample bias[J].Journal of Economics and Finance,2002,26(2):184-199.
[18]Reinhart C M,Rogoff K S.Banking crises:An equal opportunity menace[R].NBER Working Paper No.14587,2008.
[19]Roy S,Kemme D M.Causes of banking crises:Deregulation,credit booms and asset bubbles,then and now[J].International Review of Economics and Finance,2012,24:270-294.
[20]Scott A J,Wild C J.Fitting logistic models under case-control or choice based sampling[J].Journal of the Royal Statistical Society,Series B(Methodological),1986,48(2):170-182.
[21]Siegel D G,Greenhouse S W.Multiple relative risk functions in case-control studies[J].American Journal of Epidemiology,1973,97(5):324-331.
①银行危机的先行指标是指危机发生前的指标,本文采用的是前一期的各解释变量。
①样本的选取并不是完全随机的,而是根据被解释变量的取值或属性进行抽样的方法即为基于选择的抽样方法(Choice-based Sampling)。
①我们将不同年份的同一经济体看作是不同的个体。
②根据Reinhart和Rogoff(2008)的估计,银行危机的平均持续期约为3年。
①限于篇幅,文中未报告全样本MLE估计结果和下文稳健性检验的结果,如有需要可向作者索取。
引用本文
金洪飞, 万兰兰. 基于选择抽样的银行危机先行指标研究[J]. 财经研究, 2014, 40(5): 54–63.
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