The Research of Our Country Commercial Bank Crisis Early Warning
|School||Liaoning University of Technology|
|Keywords||commercial bank crisis early warning model time series analysis|
In 2008, the global financial crisis break out under the influence of the U.S. subprime lending crisis. In our government and the financial industry joint effort, though the economy did not appear bigger fluctuation, the American famous banks such as Bear Stearns, Lehman Brothers, Merrill Lynch and so on were took over or bankrupt in succession, so it is time for us to think over if our country commercial bank is safe, indeed, commercial bank have been facing much acid test of economic transition, coupled with the impact of financial crisis, cause the risk of our country commercial bank further aggravation. Therefore, in order to avoid our country occurring commercial bank crisis, a perfect model of crisis early warning should be established immediately.Based on the domestic and international documents, this text firstly states the basic theory of bank crisis, and analyses the influencing factors of our country commercial bank from the two aspects of commercial bank itself and macroeconomic, then screens the final 13 indexes such as capital adequacy ratio, loan-deposit ratio, non-performing loan ratio, GDP growth rate, effective interest rate, inflation rate and others using Delphi method to establish a early warning index system of our country commercial bank creatively; Secondly, the text chooses the method of time series analysis, and the autoregressive moving average model is applied to the field of commercial bank for the first time, constructs our country commercial bank crisis early warning model with ARIMA model successfully; Thirdly, we will forecast the crisis status of our country commercial bank with the ARIMA model, and the result is“deserve attention”, so the crisis is potential which accords with our country actual state. At last, after analyzing the prediction results, the text proposes 4 related policy suggestions from improving the laws and regulations of commercial bank, improving the level of financial supervision and so on, so that administer of commercial banks or regulators can prepare in advance for avoiding crisis.