| 商业银行新增信贷的统计与时间序列模型研究 |
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| 引用本文： | 张程,张棋,顾乾屏,冯铁. 商业银行新增信贷的统计与时间序列模型研究[J]. 金融理论与实践, 2009, 0(6) |
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| 作者姓名： | 张程 张棋 顾乾屏 冯铁 |
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| 作者单位： | 中国人民大学,财金学院,北京,100872;北京大学,经济学院,北京,100871;中国工商银行总行,北京,100032;中国工商银行广东分行营业部,广东,广州,510100 |
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| 摘 要： | 为不断改善商业银行流动性和信用风险管理水平,减少商业银行的"亲周期"效应,同时不断提高监管部门货币政策的效果,开展商业银行信贷投放的量化研究非常重要.本文在对某大型商业银行新增贷款进行统计分析的基础上,对贷款规模的变动规律进行了时间序列模型的拟合,并进行了趋势预测和实证检验.研究认为,商业银行信贷投放具有显著的日、周、月不同的概率统计分布特性,时间序列模型可以作为前瞻性的开展信贷规模管理的重要工具.
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| 关 键 词： | 商业银行 新增信贷 时间序列模型 ARMA 预测 |
Statistical and Time Series Analysis on Credit Growth of Commercial Banks |
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| Zhang cheng , others. Statistical and Time Series Analysis on Credit Growth of Commercial Banks[J]. Financial Theory and Practice, 2009, 0(6) |
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| Authors: | Zhang cheng others |
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| Affiliation: | Zhang cheng and others |
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| Abstract: | In order to improve the ability of liquidity and risk management and to reduce the effect of pro-cyclicality for commercial banks,to improve the effects of monetary policy for supervision department,it is important to use quantitative method to investigate credit growth for commercial banks.Based on the statistical analysis of credit growth,this paper adopts time series model to simulate the fluctuation of loan growth and forecast its trend.Analysis shows credit growth is statistically significant and time ... |
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| Keywords: | ARMA |
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