本文選題：央行微觀調查數(shù)據(jù)　切入點：不良貸款率　出處：《當代經(jīng)濟科學》2017年03期

【摘要】：相比于傳統(tǒng)宏觀經(jīng)濟指標,央行的微觀調查數(shù)據(jù)是否更加適合作為我國商業(yè)銀行不良貸款率的預測指標?本文首先提出了利用微觀調查數(shù)據(jù)進行預測的相關理論,接著基于適合解決混頻數(shù)據(jù)預測問題的MIDAS模型進行了實證研究。研究發(fā)現(xiàn):央行微觀指標在平均樣本外預測誤差等多個方面均優(yōu)于傳統(tǒng)的宏觀指標,同時人民幣名義有效匯率指數(shù)、基金及理財投資意愿比例、房價過高難以接受比例等指標尤其適合作為預測指標。本文的結論是:央行的微觀調查數(shù)據(jù)更加適合作為不良貸款率的預測指標。
[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】： 南京大學商學院;中國人民銀行連云港中心支行;
【分類號】：F832.4

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