基于货币市场压力指数的银行危机预警研究

摘要

This paper modifies Hagen and Ho＇s money market pressure index, and adopts a sample of 74 bank- ing crises in 66 countries from 1970 to 2009 to test the accuracy of the revised index for banking crises identifi- cation in different aspects. The empirical results show that the revised index using constant standard deviations has a higher accuracy and can be used in a broader scope. When the threshold is 97%, the revised index has better and more robust performance. So the revised money market pressure index constructed in this paper is a better early warning index for banking crises.%本文对Hagen和Ho的货币市场压力指数进行改进，采用1970—2009年间66个国家的74次银行危机样本，多纬度地实证检验了修正后的指数对于银行危机的识别精度。本文的实证检验结果表明，采用整体样本标准差构建的货币市场压力指数适用范围更广、识别精度更高，而且以T=97％为阈值构建的指数具有较高的识别精度和稳定性。本文修正后的货币市场压力指数是一个更好的银行危机预警指数。