毕业设计(论文)外文参考资料及译文以VAR方法对英国银行的压力测试

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1、毕 业 设 计（论 文）外 文 参 考 资 料 及 译 文译文题目：Stress tests of UK banks using a VAR approach以VAR方法对英国银行的压力测试 学生姓名：学号：专业： 金融学 所在学院：龙蟠学院 指导教师：职称：讲师2011年 3 月 8 日说明：要求学生结合毕业设计（论文）课题参阅一篇以上的外文资料，并翻译至少一万印刷符（或译出3千汉字）以上的译文。译文原则上要求打印（如手写，一律用400字方格稿纸书写），连同学校提供的统一封面及英文原文装订，于毕业设计（论文）工作开始后2周内完成，作为成绩考核的一部分。Stress tests of UK b

2、anks using a VAR approachContentsAbstract Summary 1 Introduction 2 Literature review 3 Choice of macroeconomic variables and estimation 4 Data issues 5 Aggregate and sectoral results 6 Robustness checks 7 Variable decomposition 8 Conclusions Appendix References Abstract:      Thi

3、s paper adopts a new approach to stress testing the UK banking system. We attempt to accountfor the dynamics between banks write-offs and key macroeconomic variables, through conditioningour stress test on the historical correlation between the variables and allowing for feedback effectsfrom credit

4、risk to the macroeconomy. In contrast to most existing empirical stress testing work, thispaper uses a direct measure of banks fragility the write-off to loan ratio. We find that both UKbanks total and corporate write-offs are significantly related to deviations of output from potential.Following an

5、 adverse output shock, total and corporate write-off ratios increase. Mortgage arrears,on the other hand, appear to be mainly dependent on household income gearing. The results suggestthat, even if the most extreme economic stress conditions witnessed over the past two decades wererepeated, the UK b

6、anking sector should remain robust.Key words: Macro stress testing；bank fragility,；loan write-offs；VAR analysisSummaryStress tests were performed on the resilience of the UK banking system as part of the IMF Financial Sector Assessment Programme (FSAP). These tests revealed that the UK banking syste

7、m was robust to a number of adverse shocks. Most of these tests were conducted by the large banks themselves,based on scenarios developed from the Bank of Englands Medium Term Macroeconometric Model.To compare the robustness of such a conclusion to the choice of stress test, this paper proposes anal

8、ternative test of the resilience of the UK banking sector, which analyses the common developments in a measure of bank fragility and key macroeconomic variables. An advantage of the stress test proposed here is its ability to analyse within a small system of equations the increase in bank fragility

9、following a shock to a single macroeconomic variable, allowing for the potential impact on other key macroeconomic variables that may also affect bank fragility. Furthermore, the test allows for feedback effects from an increase in fragility back to the macroeconomy for example, an increase in the d

10、efault rate on loans by the household and corporate sectors may cause consumption and investment to fall subsequently.The stress tests used here, like most other methodologies, may not fully capture structural changes inthe banking industry. Nonetheless, the results are robust to a number of checks

11、and uncover some important relationships between macroeconomic dynamics and the loan write-off ratio our measure of bank fragility. UK banks aggregate write-offs, and particularly corporate ones, are found to be sensitive to a downturn in economic activity. Household write-offs, on the other hand, a