DP/02-2 Director General for Economic Assessment and Policy Analysis CABINET OFFICE
DP/02-2 Discussion Paper, Version 1, 2002 9 JEL classification : G21, G28 E-mail: keiichi.omura@mfs.cao.go.jp E-mail: shinji.mizukami@mfs.cao.go.jp - i -
( ) ( ) 20 1993 2001 23 - ii -
1976 2002 27 94 80 94 ( ) ( ) ( ) ( ) ( ) - iii -
( ) ( ) ( ) ( 11 ) ( ) - iv -
... ii... 1... 3... 3... 4... 6... 7... 9... 9... 10... 12... 14... 15... 15... 16... 17... 18... 20... 21... 22... 23... 23... 24... 25... 26... 26... 27... 27... 28... 29... 30
90 99 1 2 2002 3 4 1998 99 8.3 5 FSAPFinancial Sector Assessment Program GDP 2002 Core set 2 ECB2002 3 The Interaction between the Financial Sector and the Real Economy, BIS2002 Chapter 4 2002 / / 2002 99 3 15 1
2002 4 2002 6 2003 7 6 7 CAMELSCapital adequacy, Asset quality, Management soundness, Earnings, Liquidity, and Sensitivity CAMELS CAMELS FRB1999 2
8 8 98 3
6 9 10 1 11 9 8 12 5 12 4 13 14 4 15 4 10 11 4
12 12 Too Big To Fail 91 94 97 5
- 6
20 2002 8 26.1 3 2002 8 3.5 80 12 7 7
13 8 13 Expected Default Probability 8
14 14 Principal Component Analysis, PCA 9
20 15 1993 2001 50 20 / / 23 16 17 1 18 45 19 17 62 62 15 16 17 18 23 19 10
11 20 50 65 20 2001
21 22 23 24 25 71 21 22 23 24 15 / 25 12
13 26 27 28 71 46 78 26 27
28 1976 2002 10 29 76 81 82 88 89 93 94 98 99 02 1993 0.7 80 28 29 13 NEEDS, 10 2002 3 13 1976 3 2002 3 27 2002 14
15 89 94 2002
16 25 93 94 94 30 14
17
18 10 ( ) ( ) 11 ( )
2002 9 27 19
BIS, The 72nd Annual General Meeting of the BIS, 8 July 20022002.7. BIS, Quarterly Review: International Banking and Financial Market Developments, 2002.9. ECB, Financial sectors in EU Accession Countries. 2002.8. IMF, Financial Soundness Indicators: Analytical Aspects and Country Practices, 2002.4. Gilbert, R. Alton, Andrew P. Meyer, and Mark D. Vaughan, The role of Supervisory Screens and Econometric Models in Offsite Surveillance, Federal Reserve Bank of St. Louis Review Nov/Dec 1999, pp. 31-56. Sundararajan, V., Charles Enoch, Armida San Jose, Paul Hilbers, Russell Krueger, Marina Moretti, and Graham Slack, Financial Soundness Indicators: Analytical Aspects and County Practices, IMF Occasional Paper 212, 2002. 1999 ( ) DP/02-1(2002.5) 2001.11 13 2001 2002.7 11998.10 12 2001.8 13 2002.8 2002.7 20
21 Yes No
22 15
23
24
13 25
26
27 Yes No
28
Moody7s Bank Deposits LT 29
Bureau van Dijk BankScope 30