银行业风险预警指标

Source:Document Type:Subject Terms:Abstract:Discusses the common features associated with banking crises and whether distress signals may be identified before serious problems arise. Link between episode of banking distress and depositor runs on banks or closure or merger of financial institutions; Reasons for banks vulnerability to adverse shocks.摘要：讨论了银行业危机的共同特征和查明导致危机的信号，银行和银行之间以及银行和存款人之间的关系恶化，在银行或金融机构合并，这些都会给银行造成负面冲击。Persistent link to this record (Permalink):atabase: EARLY WARNING INDICATORS OF BANKING SECTOR DISTRESS 银行业风险预警指标Contents1. 频繁的银行业危机2. 为什么银行业更易受到攻击？3. 早期预警指标4. 制度特色5. 避免银行危机6. 参考文献The financial crises in Japan and East Asia have been costly; they disrupted credit金融危机在日本和东亚频繁;他们不仅在这些国家破坏信贷渠道和减少经济活动而且在世界的其他地方也是如此。channels and curtailed economic activity not only in those countries but in other parts of the world as well. Such high costs make it desirable to have some form of early 这就增加银行成本，如此高的成本，使得建立一个银行业风险预警系统迫在眉梢。warning system of impending banking sector distress. If policymakers could identify 如果政策的制定者能一个考虑到更多导致银行危机因素的预警系统，那么银行业才有可能采取措施，来避免一些风险。 the factors that lead to a higher likelihood of banking problems, they might be able to take steps to avert them. Of course, each banking crisis usually has idiosyncratic 当然，每个银行的危机都有自己的特点。但是同样我们也可以看到在很多国家和个别案例中，银行各部门的危机具有共同的特征。features. But there may also be common features associated with episodes of banking sector distress identifiable across a large number of countries and cases. This 把这些导致银行陷入危机的共同特点联系在一起，查明这些信号是否可以作为银行陷入危机前的会出现的状况。 Economic Letter discusses the common features associated with banking crises and whether distress signals may be identified before serious problems arise. An episode of banking distress may be associated with depositor runs on banks, the 一个银行业的危机的产生可能涉及到储户在银行的运作，关闭或者合并金融机构,或大规模地延长政府补助。closure or merger of financial institutions, or the extension of large-scale government assistance. Typical characteristics of a financial system under stress include a 不良资产和有限的基础资本的重要投资组合会压迫金融系统的典型特征。significant portfolio of nonperforming assets and a limited capital base. Using these measures, Glick and Hutchison (1999) find more than 94 episodes of 在20世纪70年代中期使用这些措施以来，格里克和哈奇森（1999）发现超过94组银行业陷入危机是那些工业化和发展中的国家。banking sector distress in industrial and developing economies since the mid-1970s. And they find the frequency is rising-nine crises were marked in 1975-80, 34 during 在34年间，他们又发现频繁地发生了九次银行业危机，特别是1975-1980年，1991-1995，到了1997年出现了7种新的危机还有29中旧的危机仍在延续。1991-95 and, by 1997, there were seven new and 29 continuing episodes. Banking crises are commonplace regardless of development status, but they occur with somewhat greater frequency in developing or emerging market economies than in industrialized economies. 不管一国的经济发展状况如何，都有银行业危机的发生的可能，但是在一些发展中国家或者一些新兴市场就可能频繁的发生。Banking crises generally impose significant costs on the economy. One cost is the loss of output.银行业危机通常会带来重大经济成本，造成很大一笔损失费流出。The great majority of countries have suffered recessions following episodes of banking sector distress, with the cumulative output loss associated with periods of banking sector distress averaging about 10% of GDP (Hutchison and McDill 1999). 绝大部分的国家遭受到的经济衰退是伴随着银行业危机，随着费用流失的大量积累，银行业危机造成的损失平均约为国内生产总值的10%（哈奇森和摩纳哥戴尔 1999）These costs range widely across countries, of course.这些成本的涉及到了不同国家，当然，像智利和泰国等国家早在20世纪80年代初就遭受了严重的输出损失，总计超过好几年的国内生产总值的25%。最近经验显示，东亚金融危机造成的最终损失也是相当惨重的。 Countries such as Chile and Thailand in the early 1980s suffered severe output losses, amounting to over 25% of GDP over several years. Recent experience indicates that the ultimate costs of the East Asia financial crises also will likely be very large. Another cost is the fiscal cost associated with government efforts to solve the problems in the financial system. 而政府努力解决金融体系出现的问题，又关系到了另一种费用的支出即财政费用。Direct government funds to recapitalize banks, shore up deposit insurance funds, and so on, amounted to a significant portion of output and a huge commitment of government budget resources-usually somewhere between 6-10% of GDP. 政府用基金来调整银行资本，支持存款保险基金等。相当于用政府的预算资金（通常介于6-10%的国内生产总值）去做一个巨大的承诺。Again, the range in fiscal costs is large. Estimates of the resolution costs of Argentinas and Chiles banking crises in the 1980s were over 40% of GDP (Caprio and Klingebiel 1996).在20世纪80年代，阿根廷、智利的银行危机的解决花费的成本超过了国内生产总值的40%，所以说解决银行危机的成本是巨大的（(Caprio and Klingebiel 1996)。 This same study puts the cost of resolution cost of the U.S. thrift industry bailout in the 1980s at just over 3% of GDP. 同样的一个例子，在20世纪八十年代花费了超过国内生产总值的3%来紧急救助储蓄业。The commitment of additional funds by the Japanese Diet in 1998 to shore up the deposit insurance fund and recapitalize problem banks brings the cumulative fiscal cost to date (after seven years of banking problems) to about 12% of Japans GDP. 在1998年，日本政府将国内生产总值的12%作为财政支出，来支撑银行存款保险基金和整合资金，以解决七年来的银行业危机。Much of the theory on banks vulnerability to adverse shocks focuses on the special role of banks in asset maturity and currency transformation in an uncertain world with asymmetric information.大部分关于银行易受到冲击的理论中，银行的特殊作用集中于一个资产成熟度不确定和信息转化不对称的货币世界。 The literature emphasizes that institutional features of economies, such as the existence of deposit insurance and a market-determined interest rate structure, affect the profitability of banks and the incentives of bank managers to take on risk in lending operations.文献强调，经济体制的特点，如存款保险和市场决定的利率结构的存在，影响了银行的盈利能力和银行管理者承担风险贷款业务的态度。 Adverse macroeconomic shocks, such as a fall in asset prices (leading to a fall in bank capital or the collateral underlying loans) or economic activity (leading to more delinquent loans), may push an already vulnerable banking sector into a crisis situation.不良的宏观经济波动,例如:资产价格下降(导致贷款抵押品)或经济活动(带来更拖欠贷款),可能推动一个已经很脆弱的银行业陷入危机情况。Adverse economic shocks may originate domestically (for example, via recession, inflation, budget deficits, or credit slowdowns) or externally (for example, via trade or exchange rate depreciation). 不利的经济冲击可能来自国内(例如,通过经济衰退,通货膨胀,预算赤字,或信用卡放缓)或外部(例如,通过贸易或汇率贬值)。Banking systems may be particularly vulnerable in times of rapid financial liberalization and greater market competition, when banks are taking on new and unfamiliar risks on both The asset, and liability side of balance sheets. 银行系统在面对金融自由化和强大的市场竞争时，当易受到冲击银行面对一个新的和不熟悉的风险，同时在采取资产，负债和资产负债表的一面。弱的监管政策，在这种情况下也可给予激励与低资本比率在新的竞争环境让金融机构的风险头寸增加，以避免他们在监测和评估风险失误而承担全部责任。此外，在会计信息披露和法律框架存在缺陷，它们允许金融机构在一定程度上来掩饰自己的压力。Weak supervisory and regulatory policies under these circumstances also may give financial institutions with low capital ratios incentives to increase their risk positions in newly competitive environments and allow them to avoid full responsibility for mistakes in monitoring and evaluating risk. Further, deficiencies in accounting, disclosure, and legal frameworks contribute to the problem because they allow financial institutions (or financial regulators) to disguise the extent of their stresses. Governments frequently have failed to identify problem institutions quickly or to take prompt corrective action when a problem arises, resulting in larger and more difficult crisis situations. 在出现问题时或在严重的银行危机产生的情况下，政府经常未能很快找出问题或机构未能迅速采取纠正措施。Hutchison and McDill (1999) consider a number of early warning indicators of the onset of banking sector distress. 哈奇森和麦克迪尔（1999）考虑了银行业危机爆发的一些早期预警指标。Since focusing only on episodes of banking distress would introduce an inherent bias, a broad sample of developing, emerging-market, and industrial economies were considered.因为偏重于对银行危机事件的介绍，广泛的样本将新兴市场和工业经济的因素也考虑在内。 Important information may be gleaned from an environment that may have appeared ripe for the onset of banking sector distress but avoided it. In this way, a control group of countries that did not experience banking distress helps isolate those indicators that actually may predict banking problems 重要的信息可能是来源于一种环境，从银行业危机的开始出现到成熟，但是危机可以避免的。这样，一个没有经历过银行危机的国家和经历过银行危机的国家形成实验对照组，实际上可以预测银行业问题The study identifies two groups of indicators likely to be candidates signaling the onset of banking crises: macroeconomic and institutional. The choice of variables for each group is limited, of course, by the availability of data across a large number of countries and over a sustained period. 该研究确定了两个可能预示着银行群体发生危机的候选指标：宏观经济和制度。在一个持续的时期内收集大量国家的实用性数据，当然，每个组变量的选择是有限的But enough data are available to draw out some of the main statistical features common to most episodes of banking sector distress.但是足够的数据可以用来绘制银行业危机的主要统计特征。 Specifically, starting with a sample of over 130 countries over the 1975-97 period, with over 90 banking crises identified, the study examined 97 countries, of which 53 had severe banking problems at some point.具体来说，在1975至1997年期间首先有130多个国家出现银行危机，用 90多个样本来确定的银行危机，研究的97个国家中53个已在某种程度出现了严重的银行危机Since several countries had multiple occurrences over the sample period, 65 episodes of banking distress are identified for detailed statistical analysis (using the probit model regression procedure on a panel data set). 由于几个国家已多次出现在样本期内，65个危机银行被确定为详细的统计分析（使用面板数据集的概率模型回归过程）。On the macroeconomic side, a large number of variables were investigated to see if they either provided an early warning signal or were contemporaneously associated with the onset of banking problems. 在宏观经济方面，将大量的变量进行了调查，检验他们是否提供一个早期预警信号或进行或预测银行危机的诞生。These variables include real output growth, exchange rate changes, real credit growth, real interest rates, inflation, changes in asset prices, and the ratio of international reserves to the money stock. Each factor has been offered, in different contexts, as an indicator of the likelihood of banking distress. 这些变量包括实际产出增长，汇率变动，真正的信贷增长，实际利率，通货膨胀，资产价格的变化，以及国际储备货币存量的比率。在不同环境下提供每一个因素，作为银行危机的可能性的指标。Hutchison and McDill, however, find that only two of the macro variables are systematically correlated with the onset of banking sector distress: declines in real output and declines in asset values (reflected by equity values). This is not surprising. The likelihood of a serious banking problem would be expected to rise when recessions occur (associated with more bankruptcies and problem loans) and when asset prices fall (indicating a decline in collateral values, which is frequently associated with a depressed real estate sector). 然而，哈奇森和麦克迪尔发现其中的两个变量与银行业陷入危机存在紧密的联系在实际产出下降和资产价值下降（由股票价值反映出来）。这并不令人惊讶，银行业务将出现严重的问题经济衰退发生（与更多的破产和贷款有关问题的），当资产价格下跌（这表明在抵押品价值下降，这是经常与房地产业低迷有关）。What is surprising is that the other macroeconomic variables generally were not associated with the onset of banking crises. Simple accounting, for example, tells us that sharp exchange rate depreciation played an important role in bringing on or exacerbating banking crises in Korea and Indonesia in 1997 and many other countries.令人惊奇的是,其他宏观经济变量一般与银行危机的爆发无关。例如，通过简单的计算我们可以看到，汇率大幅贬值在加剧或带来1997年韩国、印尼和其他国家的银行危机中扮演了重要角色。This was because bank subsidiaries (Korea) or firms (Indonesia) had large short-term net foreign liability positions at the time of the depreciation. But in many cases, collapsing currencies did not lead to banking distress. Japan and the United States, for example, had sharply appreciating exchange rates in the early 1990s and 1980s, respectively, when their bank and thrift problems were emerging to crisis proportions.这是因为银行附属公司（韩国）或公司（印度尼西亚）具有较大国外的负债头寸在短时间内贬值。但是在许多情况下，贬值的货币并没有导致银行危机。例如，在20世纪80年代到九十年代，日本和美国的汇率大幅度升值，他们的银行储蓄机构正在逐步出现问题。 Another surprise is that macroeconomic variables are not very reliable predictors of the onset of banking sector distress, even though recessions and falling asset prices occur simultaneously with the onset of banking sector distress. This finding contrasts with two other studies that seem to find stronger evidence of a leading indicator relationship. 另一个出人意料的情况是，即使经济衰退和资产价格下跌与银行业危机同时爆发，宏观经济变量也不是银行部门危机爆发非常可靠的预测指标，。这一发现的其他两项研究形成对比，以找到证明力更强的指标。Various permutations of the Hutchison-McDill study-such as data transformations, lead and lag checks, and so on-hold up the basic result: it is very difficult to find any macro variable that is a reliable predictor of the onset of future banking sector distress. 哈奇森和麦克迪尔研究的置换研究，比如数据转换，提前和滞后检查等等，支撑了一个基本结果：很难发现任何宏观变量都能作为银行发生危机的晴雨表。The broader data set used in their study-including developing, emerging-market, and industrial countries as well as those countries not experiencing severe banking problems as a control group-appears to give a less rosy picture of our ability to pick out early warning signals of impending problems. 他们研究的数据集合包括发展中的新兴市场和工业国家以及那些没有经历过严重金融问题的国家作为实验对照组，但是，似乎给我们找出预警信号的能力并不如人意。Institutional features were important in identifying those countries more likely to run into banking problems at some point. 制度特色在识别那些可能在某一时刻步入银行危机的国家是重要的， Because institutional features, such as the regulatory and supervisory structures, deposit insurance, financial liberalization, and so on, do not change much over time, including these variables mainly serves to pick up cross-country differences in institutional structures that may lead to a higher probability of banking problems.制度特征,例如管理和监管结构、存款保险,金融自由化,等等，不会随着时间的推移而发生很大的变化，包括那些主要服务于收集不同制度的国家的变量，这些变量导致银行陷入危机的概率更高。 In this context, the most important institutional feature was a period of financial liberalization-a period of financial liberalization frequently is associated with, and often precedes, the offset of a serious banking problem.由于这个原因，最重要的制度特征是金融自由化时期，一段金融自由化时期经常与一个严肃的银行业问题联系在一起。The particular measure of financial liberalization in Hutchison and McDill is the deregulation of interest rates. In many economies, this era usually heralded liberalization not only in the pricing of financial assets, but also in the types of assets allowed and the development of more open and competitive financial markets. 在哈奇森和麦克迪尔看来，金融自由化的具体措施是放宽利率。在许多经济体中，通常不仅预示着金融资产定价的自由化，更是一个资产类型开放和竞争力激烈的金融市场。In other words, banks faced greater market competition at a time when they also were taking on new and unfamiliar risks on both the asset and liability side of balance sheets. The evidence suggests that this is a particularly vulnerable time for banks in managing risk that sends a clear warning signal for financial supervisors. 换句话说,银行面临更大的一次市场竞争时他们还对新的风险，同时在采取资产负债表的资产和负债方。有证据表明，这是一个在向管理风险部门，金融监管特别是陷入危机的银行发送一个明确的警告信号。An example of the models (modest) predictive power is Japan. Figure 1 shows the models forecasts of the probability of the onset of Japanese banking distress that did in fact emerge in the early 1990s. 事实上在上个世纪90年代早期，日本的一个模型预测了日本银行发生危机的可能性。Only one-year lagged macroeconomic variables were used in the forecast, so the reported forecasts of the probability of the onset of an episode may be interpreted as an early Warning indicator of impending problems. 在预测中只使用了一年的滞后宏观经济变量，所以预测危机发生的概率是作为一个早期危机预警。The forecast probability of a problem rises from 2% in 1990 to 13% in 1992, roughly tracking the emergence of serious banking distress in Japan. (The model with contemporaneous variables predicts a 20% probability of banking distress in 1992.) Though 13% may not seem a high probability, it should be seen in light of the magnitude of the event: the sharp rise warns that something is amiss. 对一种危机的预测概率从1990年的2%到1992年的13%，大约跟踪除了银行危机在日本的产生（模型显示20%的预测概率银行将在1992年陷入危机）。虽然13%的概率看上去不高，但它应被视为严重性事件，所以