毕业设计(论文)外文参考资料及译文以VAR方法对英国银行的压力测试

1、毕 业 设 计（论 文）外 文 参 考 资 料 及 译 文译文题目：stress tests of uk banks using a var approach 以var方法对英国银行的压力测试 学生姓名： 罗国帼 学号： 0921404023专业： 金融学 所在学院： 龙蟠学院 指导教师： 高蓉蓉 职称： 讲师 2011年 3 月 8 日说明：要求学生结合毕业设计（论文）课题参阅一篇以上的外文资料，并翻译至少一万印刷符（或译出3千汉字）以上的译文。译文原则上要求打印（如手写，一律用400字方格稿纸书写），连同学校提供的统一封面及英文原文装订，于毕业设计（论文）工作开始后2周内完成，作为成绩考核

2、的一部分。stress tests of uk banks using a var approachcontentsabstract summary 1 introduction 2 literature review 3 choice of macroeconomic variables and estimation 4 data issues 5 aggregate and sectoral results 6 robustness checks 7 variable decomposition 8 conclusions appendix references abstract: thi

3、s paper adopts a new approach to stress testing the uk banking system. we attempt to account for the dynamics between banks write-offs and key macroeconomic variables, through conditioning our stress test on the historical correlation between the variables and allowing for feedback effects from cred

4、it risk to the macroeconomy. in contrast to most existing empirical stress testing work, this paper uses a direct measure of banks fragility the write-off to loan ratio. we find that both uk banks total and corporate write-offs are significantly related to deviations of output from potential.followi

5、ng an adverse output shock, total and corporate write-off ratios increase. mortgage arrears, on the other hand, appear to be mainly dependent on household income gearing. the results suggest that, even if the most extreme economic stress conditions witnessed over the past two decades were repeated,

6、the uk banking sector should remain robust.key words: macro stress testing；bank fragility,；loan write-offs；var analysissummarystress tests were performed on the resilience of the uk banking system as part of the imf financial sector assessment programme (fsap). these tests revealed that the uk banki

7、ng system was robust to a number of adverse shocks. most of these tests were conducted by the large banks themselves,based on scenarios developed from the bank of englands medium term macroeconometric model.to compare the robustness of such a conclusion to the choice of stress test, this paper propo

8、ses analternative test of the resilience of the uk banking sector, which analyses the common developments in a measure of bank fragility and key macroeconomic variables. an advantage of the stress test proposed here is its ability to analyse within a small system of equations the increase in bank fr

9、agility following a shock to a single macroeconomic variable, allowing for the potential impact on other key macroeconomic variables that may also affect bank fragility. furthermore, the test allows for feedback effects from an increase in fragility back to the macroeconomy for example, an increase

10、in the default rate on loans by the household and corporate sectors may cause consumption and investment to fall subsequently.the stress tests used here, like most other methodologies, may not fully capture structural changes inthe banking industry. nonetheless, the results are robust to a number of

11、 checks and uncover some important relationships between macroeconomic dynamics and the loan write-off ratio our measure of bank fragility. uk banks aggregate write-offs, and particularly corporate ones, are found to be sensitive to a downturn in economic activity. household write-offs, on the other

12、 hand, are found to be more sensitive to changes in income gearing. the results suggest that, even if the most extreme economic stress conditions witnessed over the past two decades were repeated, the uk banking sector should remain robust.the approach to stress testing proposed in this paper is str

13、aightforward to implement and provides a useful complement to the suite of models used to assess banking sector vulnerability.introductionmacroeconomic stress tests of the financial system have been developed in recent years (see sorge (2004) for a recent survey and discussion). these tests assess t

14、he vulnerability of the banking system,or more broadly the financial system, to extreme but plausible adverse macroeconomic shocks.stress tests are important, from a central banks perspective, since they are tractable and provide a useful benchmark to assess the risks to the financial system (see bu

15、nn et al (2005).recently, as part of the imf financial sector assessment programme (fsap), stress tests were performed on the resilience of the uk banking system. the stress test scenarios were derived from aversion of the bank of englands structural medium term macroeconometric model (mtmm). the sc

16、enarios were then applied to uk banks aggregate loan book (see imf (2003) and hoggarth and whitley (2003). the main findings of this analysis were that the uk banking system was robust to a range of plausible adverse macroeconomic developments.in this paper we adopt a different approach to perform m

17、acroeconomic stress tests on the uk banking system and investigate whether the conclusions arising depend on the choice of stress test and on the fragility variable used. we attempt to account for the dynamics between banks write-off to loan ratio and key macroeconomic variables using a parsimonious

18、 vector autoregression (var) model. unlike most existing stress testing work on links between the business cycle and the fragility of the banking system, a direct measure of banks fragility the write-off ratio on loans is employed. the advantage of the var is that it estimates how write-offs change

19、in the quarters following adverse business cycle shocks implying that the stress test is conditional on the historical correlation among the variables in the multivariate model. the var approach also allows for potential feedback effects from the fragility of banks balance sheets to the macroeconomy

20、 (a potentially important linkage emphasised by, inter alia, sorge (2004). no conventional theoretical macroeconomic model describes the relationship from macroeconomic variables to bank write-offs and vice versa (for example by affecting the supply of bank credit and thus investment). we attempt to

21、 resolve this problem in two steps. first, the paper discusses a macroeconomic model to help guide the choice of a parsimonious number of macroeconomic variables to include in the specification. second we augment this vector of macroeconomic variables with the write-off data and let them affect one

22、another in an autoregressive manner without restricting the dynamics. finally the paper considers some alternative financial and economic variables that could affect the write-off ratio and macroeconomic variables. such robustness checks are important since the conclusions could be misleading if som

23、e key variables are left out of the analysis.this paper conducts one of the first multivariate analyses of how macroeconomic developments affect uk banks loan write-offs both in aggregate and at the sectoral level. the importance, from a stress-testing viewpoint, of having data on banks fragility co

24、vering at least one full economic cycle is emphasised. although write-off data are available on a quarterly basis only from 1993, annual data on aggregate write-offs for the major uk banks are available back to the late 1980s. in this paper a number of methods for interpolating these annual data ont

25、o a quarterly basis are considered using the available information on the characteristics of the quarterly and annual data in the sample from 1993-2004. using three alternative interpolation schemes, the multivariate analysis is performed on a sample of quarterly data from 1988 to 2004, therefore co

26、vering a full uk economic cycle. since aggregate data may mask different patterns at the sectoral level, separate sectoral vars are also estimated for corporate write-offs and household defaults. while the disaggregated approach has the advantage of assessing the impact of stress tests on different

27、components of banks loan portfolios, it suffers from the drawback that data are available, at the earliest, only from 1993 and thus do not cover a complete economic cycle.the remainder of the paper is organised as follows. section 2 reviews the literature on stress testing,section 3 discusses the ch

28、oice of variables in our var, section 4 discusses data and estimation issues, and section 5 contains the main results of the estimations. in section 6 a number of robustness checks on the results are discussed while in section 7 the key factors affecting write-offs are decomposed. section 8 conclude

29、s.literature reviewa number of approaches have been used in the past to stress test banks for credit risk. the most common approach used in imf country fsaps are single factor sensitivity tests. these look at the impact of a marked change in one variable, such as the exchange rate or the policy inte

30、rest rate, on banks balance sheets. however, these stress tests do not allow for the interaction between macroeconomic variables (scenarios) such as, in the example above, the impact of changes in the interest rate on real activity and thus on banks loan portfolio. scenarios can be developed through

31、 a number of methods. one approach is to use a structural macroeconomic model. this was done, for example, in a number of imf fsaps on developed countries. an alternative avenue is pursued by boss (2002) to stress test the austrian credit portfolio. his analysis is based on creditportfolioview, whic

32、h models the default probability of certain industrial sectors as a logistic function of a sector-specific index, which, in turn, depends on the current value of a number of macroeconomic variables. the parameter estimates derived from this model are then used to assess the future losses on austrian

33、 banks loan portfolios. a different methodology to assess the impact on the austrian banking sector of credit and market risk is applied in elsinger, lehar and summer(2002). their paper analyses the effect of macroeconomic shocks on a matrix of austrian interbank positions. specifically, the authors

34、 are able to assess the probability of individual bank failures in response to a series of macroeconomic factors while at the same time taking into account the effect that these failures have on the rest of the banking system. this model thus decomposes bank defaults into those that arise directly a

35、nd those that are a consequence of contagion. the interaction between banks financial conditions and the macroeconomy is modelled by assuming that macroeconomic scenarios are drawn from a joint probability distribution of interest rate shocks, exchange rate and stock market movements, as well as sho

36、cks related to the business cycle. pesaran et al (2004) and alves (2004) use a var model to assess the impact of macroeconomic variables on firms probabilities of default. in pesaran et al the var includes gdp, consumer prices, the nominal money supply, equity prices, exchange rates vis-vis the doll

37、ar and nominal interest rates for eleven countries/regions over the 1979-99 period. the global var is used as an input into simulations for firms equity returns, which are then linked to the loss distribution of a corporate loan portfolio. a clear advantage of this approach is that it links the cred

38、it risk of internationally diversified loan portfolios in a detailed macroeconomic model that allows for differences across country and region. alves (2004) constructs a co-integrated var, using kmvs corporate expected default frequencies (edfs) as endogenous variables and macroeconomic factors (the

39、 twelve-month change in industrial output, the three-month interest rate, the oil price, and the twelve-month change in a broad stock market index) as exogenous variables. the expected default frequency (edfs) of each eu industrial sector is modelled based on exogenous macroeconomic factors together

40、 with the edfs of other industrial sectors to capture the possibility of contagion.however, neither of the above var models explicitly incorporates measures of the quality of banks balance sheets. in this paper a var system is also used but one that includes a direct measure of banks fragility the l

41、oan write-off ratio as well as macroeconomic variables.(1) as the write-offs on loans to private non-financial corporations (pnfcs) and households may be related differently to the business cycle, the var is also estimated using sectoral data for households and pnfcs.conclusionsthis paper proposes a

42、n additional tool for performing stress tests of the robustness of the uk banking system to adverse macroeconomic shocks. a var approach is used to estimate the impact of changes in macroeconomic variables on banks aggregate losses since the late 1980s and sectoral losses since the early 1990s. unli

43、ke most of the existing work, this paper uses a direct measure of bank fragility the write-off to loan ratio.for the aggregate write-off model, a clear and significant negative relationship is found between changes in output (relative to potential) and the write-off ratio although not vice versa. sh

44、ocks to output are found to have a significant impact on the write-off ratio up to six quarters ahead, with the maximum impact occurring after one year. the bank write-off ratio is also found to increase following shocks to nominal variables such as annual rate of retail price inflation and nominal

45、interest rates although here the impact is only significant at a longer time horizon (after four-six quarters).the results suggest that following a shock to the output gap of the same magnitude experienced in the early 1990s, the aggregate write-off ratio of uk banks would increase by around 0.7 per

46、centage points. this, of course, is non-trivial but would still only equate to one third of the major uk banks average pre-tax average annual profits over the past three years. therefore, according to these results, the uk banking system as a whole would appear to be robust to large adverse macroeco

47、nomic shocks.over the common shorter (post-1993) sample period, the corporate sector write-off ratio is found to be twice as sensitive to output shocks as the aggregate write-off ratio. household write-offs, on the other hand, seem to be more sensitive to changes in income gearing than changes in ec

48、onomic activity per se, even though the economic impact is quite small. this result is confirmed whenseparate vars are estimated using arrears on credit cards and on mortgages. while the impact of income gearing on mortgage arrears is statistically and economically significant, credit card arrears d

49、o not respond to income gearing shocks. this result may be attributable to a more than offsetting structural change in the household unsecured borrowing market over the more recent period.it is also noticeable that the sensitivity of aggregate write-offs to adverse output shocks is twice as large wh

50、en the model is estimated in the post-1993 period than in the full sample from 1988-2004.this could imply that it is misleading to use estimates from the more recent sample period to assess the impact on banks balance sheets of a repeat of the early 1990s recession. the result is interesting though

51、since one might have expected, a priori, that the impact of a given-sized output shock on write-offs to be larger during recessions if there is a non-linear impact during times of stress.this issue of differences between stress and tranquil periods is worth investigating in future work as well as in

52、corporating, if possible, structural changes in the banking industry (such as improvements in risk management). nonetheless, we believe, that this var approach is a useful addition to the suite of models used to assess the fragility of the banking system to adverse macroeconomic shocks.以var方法对英国银行的压

53、力测试目 录摘要总结1 引入2 文献综述3 宏观经济变量的选择与估算4 数据5 总体结果与分类结果6 坚挺性检验7 变量解构8 结论附录参考文献摘要该文采用一种新的方式对英国银行系统进行压力测试。鉴于信用风险跟宏观经济之间的相互作用，通过控制对变量之间历史性关系的压力测试，来解释银行销账与宏观经济变量之间的动态关系。与多数现存的实证研究不同，该论文对银行脆弱性，即存贷款比例的销账直接进行测量。我们发现英国银行总销账与公司销账跟实际产出与潜在产出的偏差有关。若产出不利，银行总销账与公司销账增加。另一方面，按揭贷款拖欠主要与住户入息负债相关。结果显示，即使反复出现过去20年间最极端的经济压力，英国

54、银行系统还是可以保持坚挺。关键词：宏观压力测试；银行脆弱性；借贷销账；var分析总结压力测试是国际货币基金组织财政部门评估计划（fsap）中的一部分，用来测量英国银行系统的弹性度。这些测试表明英国银行系统对一系列不良冲击依然显示出坚挺。多数测试是由大型银行本身以英国银行中期宏观经济模型为基础实施的。为对比坚挺性与压力测试的选择问题，该文提出另外一种测试英国银行弹性的方法，它可以通过测量银行的脆弱性与宏观经济的关键变量来分析一般发展规律。该测试的一个优点是它可以在一个等式系统中分析单个宏观经济变量受到影响而导致的银行脆弱性上升的问题，同时还可以考虑到其它有可能对银行脆弱性产生影响的关键宏观经济变

55、量。而且，该测试还考虑到脆弱性增加对宏观经济造成的影响。例如，若家庭与公司的贷款违约率上升会导致消费与投资大大降低。跟其它方法一样，这里所用到的测试不太可能完全捕捉到银行中的结构变化。然而，这些结果可以经得住许多检验，并且可以揭示宏观经济动态因素与借贷销账比率之间的关系，即对银行脆弱性的测量。英国银行总体销账，特别是公司销账，对经济衰弱情况反应敏感。另外，家庭销账对收入负债的变化更敏感。结果表明，即使反复出现过去20年间最极端的经济压力，英国银行系统还是可以保持坚挺。该论文提出的压力测试方法容易实行，也是对测试银行脆弱性模型的一种重要补充。引言金融系统的宏观压力测试在近几年发展起来（见sorg

56、e （2004） 近期的调查与讨论）。这些测试可以评估银行系统、或者更广意义上金融系统对于极端却真实的宏观经济冲击显示出的脆弱性。从中央银行的角度来看，压力测试是非常重要的，因为他们是容易处理的，并且为评估金融系统风险提供有用的指标。（见bunn等（2005）近来，作为国际货币基金组织财政部门评估计划（fsap）的一部分，对英国银行系统的恢复力进行了压力测试。这些测试来源于英国银行中期宏观经济模型（mtmm）。然后被应用于英国银行总体贷款书籍（见国际货币基金组织（2003），hoggarth 和whitley (2003)）。主要分析结果是英国银行系统对于严重的宏观经济发展表示出坚挺。在这份论

57、文中我们采取了一种不同的方式对英国银行系统进行宏观经济的压力测试，调查了结论是否跟压力测试和使用的参量有关。我们试图用向量自回归模型（var）说明宏观经济动态因素与借贷销账比率及宏观经济的关键参量之间的关系。跟多数现存的测试商业周期与银行脆弱性的测试不同，我们对银行脆弱性-借贷销账比率直接进行测量。向量自回归模型（var）的优点是它可以估计借贷销账是怎样随着不良商业周期变化的，表明压力测试是以多变量模型中的参量之间的历史关系为前提。自回归模型考虑到从银行资产负债表的脆弱性到宏观经济的潜在反馈效果（inter alia强调的一个非常重要的联系，sorge（2004）。传统的宏观经济理论模型都没有描述过宏观经济参量与银行借贷销账之间的关系（逼入通过影响银行信贷的供给及投资）。我们试图从两方面解决这个问题。第一，论文讨论了一种指导少量宏观经济变量的选择的宏观经济模型，包括在说明书里。第二，我们增加了宏观经济变量对借贷数据的向量，并且让他们在不限制动态性的条件下以自回归的方式相互影响。最后论文提到了其它会影响借贷数据与宏观经济变量的金融与经济变量。这样的检验是非常重要的，因为如果一些关键变量在分析中被遗漏的话，结论会是误导性的。论文用多变量分析中的其中一种方式来分析宏观经济发展是如何影响英国银行系统中总体借贷与公司借贷的。从测试的角度看，论文强调了至少一个完整经济周期下银行脆弱性数据