利率与系统性风险:来自越南经济的证据

Q1 Economics, Econometrics and Finance Journal of Economic Asymmetries Pub Date : 2023-01-01 DOI:10.1016/j.jeca.2023.e00294
Hoai Thi Thanh Nguyen, Huong Thi Xuan Tram, Linh Thi Thuy Nguyen
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引用次数: 0

摘要

本研究考察了2007-2008年金融危机后利率对越南系统性风险的影响。这些数据是在11年(2010-2020年)的时间里从越南股市收集的,每月进行统计。越南股市由29家上市金融机构组成,包括商业银行、保险公司和证券公司。该研究采用边际预期缺口(MES)方法来衡量越南的系统性风险,并采用向量自回归模型(VAR模型)来分析货币政策利率的影响。全球金融危机后,货币政策利率影响了越南金融机构的系统性风险。从2010年到2012年和从2013年到2020年,系统性风险对货币政策利率冲击的反应不同。为了改善越南股市,越南国家银行必须评估货币政策如何影响金融机构的系统性风险。
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Interest rates and systemic risk:Evidence from the Vietnamese economy
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来源期刊
Journal of Economic Asymmetries
Journal of Economic Asymmetries Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
4.80
自引率
0.00%
发文量
42
审稿时长
50 days
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