發(fā)布時(shí)間：2018-03-24 17:28

  本文選題：央行微觀調(diào)查數(shù)據(jù)　切入點(diǎn)：不良貸款率　出處：《當(dāng)代經(jīng)濟(jì)科學(xué)》2017年03期

【摘要】：相比于傳統(tǒng)宏觀經(jīng)濟(jì)指標(biāo),央行的微觀調(diào)查數(shù)據(jù)是否更加適合作為我國(guó)商業(yè)銀行不良貸款率的預(yù)測(cè)指標(biāo)?本文首先提出了利用微觀調(diào)查數(shù)據(jù)進(jìn)行預(yù)測(cè)的相關(guān)理論,接著基于適合解決混頻數(shù)據(jù)預(yù)測(cè)問(wèn)題的MIDAS模型進(jìn)行了實(shí)證研究。研究發(fā)現(xiàn):央行微觀指標(biāo)在平均樣本外預(yù)測(cè)誤差等多個(gè)方面均優(yōu)于傳統(tǒng)的宏觀指標(biāo),同時(shí)人民幣名義有效匯率指數(shù)、基金及理財(cái)投資意愿比例、房?jī)r(jià)過(guò)高難以接受比例等指標(biāo)尤其適合作為預(yù)測(cè)指標(biāo)。本文的結(jié)論是:央行的微觀調(diào)查數(shù)據(jù)更加適合作為不良貸款率的預(yù)測(cè)指標(biāo)。
[Abstract]:Compared with the traditional macroeconomic indicators, whether the central bank's microcosmic survey data is more suitable as a commercial bank non-performing loan ratio prediction indicators? In this paper, we first put forward the theory of using microcosmic survey data to predict. Then based on the MIDAS model which is suitable to solve the problem of prediction of mixing frequency, it is found that the micro index of central bank is superior to the traditional macro index in many aspects, such as the average prediction error outside the sample, and so on. At the same time, the nominal effective exchange rate index of RMB, the proportion of funds and willingness to invest in financial management, The conclusion of this paper is that the microcosmic survey data of the central bank is more suitable as a predictor of non-performing loan ratio.
【作者單位】： 南京大學(xué)商學(xué)院;中國(guó)人民銀行連云港中心支行;
【分類號(hào)】：F832.4

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