资产价格波动与商业银行脆弱性:理论基础与宏观实践
Asset Price Fluctuation and the Vulnerability of Commercial Banks: Theoretical Basis and Macro Practice

基于资金循环理论基础，利用2010Q4-2015Q4季度相关指标数据，构建包含金融市场多项资产价格波动的FCI指数和商业银行脆弱性代理变量，建立两者之间多元线性回归与VAR模型，并通过脉冲响应函数得出FCI指数的表达式。研究结果表明，无论是线性回归模型还是VAR模型，房地产价格、人民币有效汇率价格波动是造成商业银行脆弱性的主要扰动源，其扰动贡献值高达71%；FCI指数是商业银行脆弱度的单项格兰杰原因。为此，需正确处理好房地产去库存与防风险、人民币国际化改革与国内金融稳定、金融分业监管与加强协调沟通之间的关系。
Based on the theory of capital circulation, this paper constructed a number of assets price fluctuation FCI index and commercial bank vulnerability proxy variables with 2010Q4~2015Q4 quarter data. The multiple linear regression and the VAR model is established, and the index (FCI) expressions were derived through the impulse response function. Results show that, the linear regression model and VAR model, both indicate the real estate price, price fluctuation of RMB effective exchange rate as the main disturbance sources for commercial bank vulnerability with a contribution to up to 71%; the FCI index is the unidirectional Granger cause for commercial bank vulnerability. The results suggest we should correctly deal with the relationship between the real estate de inventory and risk, between the internationalization of the RMB reform and domestic financial stability, and between the coordination of financial supervisers and strengthening their communication.