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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： 罗国帼 学号： 0921404023专业： 金融学 所在学院： 龙蟠学院 指导教师： 高蓉蓉 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
2、的一部分。Stress tests of UK banks 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 account for the dynamics between banks write-offs and key macroeconomic variables, through conditioning our stress test on the historical correlation between the variables and allowing for feedback effects from cred
4、it risk to the macroeconomy. In contrast to most existing empirical stress testing work, this paper uses a direct measure of banks fragility the write-off to loan ratio. We find that both UK banks total and corporate write-offs are significantly related to deviations of output from potential.Followi
5、ng an 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 suggest that, even if the most extreme economic stress conditions witnessed over the past two decades were repeated,
6、the UK banking 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 banki
7、ng system 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 propo
8、ses analternative 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 fr
9、agility 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
10、in the default 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
11、 checks 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
12、 hand, are found to be more sensitive to changes in income gearing. The results suggest that, even if the most extreme economic stress conditions witnessed over the past two decades were repeated, the UK banking sector should remain robust.The approach to stress testing proposed in this paper is str
13、aightforward to implement and provides a useful complement to the suite of models used to assess banking sector vulnerability.IntroductionMacroeconomic stress tests of the financial system have been developed in recent years (see Sorge (2004) for a recent survey and discussion). These tests assess t
14、he vulnerability of the banking system,or more broadly the financial system, to extreme but plausible adverse macroeconomic shocks.Stress tests are important, from a central banks perspective, since they are tractable and provide a useful benchmark to assess the risks to the financial system (see Bu
15、nn et al (2005).Recently, as part of the IMF Financial Sector Assessment Programme (FSAP), stress tests were performed on the resilience of the UK banking system. The stress test scenarios were derived from aversion of the Bank of Englands structural Medium Term Macroeconometric Model (MTMM). The scenarios were then applied to UK banks aggregate loan book (see IMF (2003) and Hoggarth and Whitley (2003). The main findings of this analysis were that the UK banki
