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首页> 外文期刊>European Journal of Operational Research >Rough Sets and the role of the monetary policy in financial stability (macroeconomic problem) and the prediction of insolvency in insurance sector (microeconomic problem)
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Rough Sets and the role of the monetary policy in financial stability (macroeconomic problem) and the prediction of insolvency in insurance sector (microeconomic problem)

机译：粗糙集以及货币政策在金融稳定中的作用（宏观经济问题）和保险部门破产的预测（微观经济问题）

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This paper faces two questions related with financial stability. The first one is a macroeconomic problem in which we try to further investigate the role of monetary policy in explaining banking sector fragility and, ultimately, systemic banking crisis. It analyses a large sample of countries in the period 1981-1999. We find that the degree of central bank independence is one of the key variables to explain financial crisis. However, the effects of the degree of independence are not linear. Surprisingly, either a high degree of independence or a high degree of dependence are compatible with a situation of financial stability, while intermediate levels of independence are more likely associated with financial crisis. It seems that it is the uncertainty related with a non-clear allocation of monetary policy responsibilities that contributes to financial crisis episodes. The second one is a microeconomic problem: the prediction of insolvency in insurance companies. This question has been a concern of several parties stemmed from the perceived need to protect general public and to minimize the costs associated such as the effects on state insurance guaranty funds or the responsibilities for management and auditors. We have developed a bankruptcy prediction model for Spanish non-life insurance companies and the results obtained are very encouraging in comparison with previous analysis. This model could be used as an early warning system for supervisors in charge of the soundness of these entities and/or in charge of the financial system stability. Most methods applied in the past to tackle these two problems are techniques of statistical nature and, variables employed in these models do not usually satisfy statistical assumptions what complicates the analysis. We propose an approach to undertake these questions based on Rough Set Theory. (C) 2006 Elsevier B.V. All rights reserved.
机译：本文面临与金融稳定性有关的两个问题。第一个是宏观经济问题，我们试图进一步研究货币政策在解释银行业脆弱性以及最终导致系统性银行危机中的作用。它分析了1981-1999年期间的大量国家。我们发现，中央银行的独立程度是解释金融危机的关键变量之一。但是，独立程度的影响不是线性的。令人惊讶的是，高度独立或高度依赖与金融稳定的情况相适应，而中等独立程度更可能与金融危机有关。似乎是与货币政策责任分配不明确有关的不确定性助长了金融危机。第二个问题是微观经济问题：保险公司破产的预测。这个问题引起了一些各方的关注，这是因为人们认为需要保护公众并最大程度地降低相关成本，例如对国家保险担保基金的影响或管理层和审计师的责任。我们已经为西班牙非寿险公司开发了破产预测模型，与以前的分析相比，所获得的结果令人鼓舞。该模型可用作主管这些实体的健全性和/或主管金融系统稳定性的主管的预警系统。过去用于解决这两个问题的大多数方法是统计性质的技术，这些模型中使用的变量通常不满足使分析复杂化的统计假设。我们提出了一种基于粗糙集理论来解决这些问题的方法。 （C）2006 Elsevier B.V.保留所有权利。

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