| The stability of the banking system has important significance to the financial sector stability. Whether a country's financial system can develop stably depends mainly on whethr the country's banking system is on stable operation condition, especially for developing countries like China. In China's financial system, the banking system is the main body. The sound operation of the banking industry is very important to China's financial and economic stable development. Currently, China's banking system is still not fully market-oriented, but is to this development side. And with the increasing of openness, China's banking system faces more severe challenges. And banks and economic development have very close relationship, it is one of the most important factors to economic development sustainably and stably. So, we needs to pay attention to operation of the banking system, to realize the vulnerability of banking system. Therefore, how to measure Chinese banking system vulnerability, how to understand Chinese banking system vulnerability objectively, how to analyze the causes of China's banking vulnerability, how to find the means to lower the vulnerability of the banking system, to maintain the stability of our banking system is a very important topic.This article, first, from the related concepts about banking system vulnerability, along the historical context, introduced the research results about vulnerability of the banking system at home and abroad, summarized several major vulnerability theory. And referencing on international and domestic empirical research on measuring the performance of the bank system, construct a set of bankings' vulnerability index system. By collecting the new data, using statistical methods and measurement, measure the vulnerability conditions of the banking system. By measuring, the fourth quarter of 1994 to the fourth quarter of 2009, the 15 years, which is divided into three stages:1994 to 1997, the vulnerability of the banking system decreased gradually phase; 1997 to 2002, the vulnerability of the banking system more stable phase; 2002 to 2009, gradually increasing the vulnerability of the banking system phase. And analyze the measured results. Meanwhile, using principal component analysis to identify the main macroeconomic variables which is affecting the vulnerability of the banking system, including consumer (XF), the broad money supply (M2), the stock market price-earnings ratio (GSHI) and the fiscal deficit(CCHI). Finally, using cointegration analysis method to analyze the long-run equilibrium relationship between the macro economic index and the bank system vulnerability index and establish the error correction model. Among them, using relevant standards to determine the optimal variable lag order number being 1;using ADF method to test stationarity of variables, and the test results show that variables are integrated of order one, therefore, can further test the cointegration relationship among variables. Analyse the relations among the consumer(XF), the broad money supply(M2), stock price-earnings ratio(GSHI), the budget deficit(CCHI) and the vulnerability of the banking system by Granger causality, in the 5% significance level, there is a two-way Granger causality between the banking system vulnerability index and the consumer(XF), the broad money supply(M2); a one-way causal relationship with the stock market price-earnings ratio(GSHI), budget deficit(CCHI). This may establish cointegration equation. Examine the stability of the equation, and the result show the model is smooth, which is established in 5% level. It can be used for further analysis.This artical chooses the statistics and econometric analysis ways, uses the latest economic data, has an empirical analysis on the degree of vulnerability of the banking system and causes under China's current economic context. Based on the conclusions by quantitative empirical analysis in this paper, several policy recommendations to improve the vulnerability of China's state banking system have been made. |
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