【正文】 畢 業(yè) 設(shè) 計(jì)（論 文） 外 文 參 考 資 料 及 譯 文 譯文題目： Stress tests of UK banks using a VAR approach 以 VAR 方法對(duì)英國(guó)銀行的壓力測(cè)試 學(xué)生姓名： 羅國(guó)幗 學(xué) 號(hào)： 0921404023 專 業(yè)： 金融學(xué) 所在學(xué)院： 龍?bào)磳W(xué)院 指導(dǎo)教師： 高蓉蓉 職 稱： 講師 2021 年 3 月 8 日 說明： 要求學(xué)生結(jié)合畢業(yè)設(shè)計(jì)（論文）課題參閱一篇以上的外文資料，并翻譯至少一萬印刷符（或譯出 3 千漢字）以上的譯文。 譯文原則上要求打印（如手寫，一律用 400 字方格稿紙書寫），連同學(xué)校提供的統(tǒng)一封面及英文原文裝訂，于畢業(yè)設(shè)計(jì)（論文）工作開始后 2 周內(nèi)完成，作為成績(jī)考核的一部分。 Stress tests of UK banks using a VAR approach Contents Abstract 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 deposition 8 Conclusions Appendix References Abstract: This paper adopts a new approach to stress testing the UK banking system. We attempt to account for the dynamics between banks’ writeoffs and key macroeconomic variables, through conditioning our stress test on the historical correlation between the variables and allowing for feedback effects from credit risk to the macroeconomy. In contrast to most existing empirical stress testing work, this paper uses a direct measure of banks’ fragility – the writeoff to loan ratio. We find that both UK banks’ total and corporate writeoffs are significantly related to deviations of output from an adverse output shock, total and corporate writeoff ratios increase. Mortgage arrears, on the other hand, appear to be mainly dependent on household ine 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. Key words: Macro stress testing； bank fragility,； loan writeoffs； VAR analysis Summary Stress 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 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 England’s Medium Term Macroeconometric pare the robustness of such a conclusion to the choice of stress test, this paper proposes an alternative test of the resilience of the UK banking sector, which analyses the mon 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 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 default rate on loans by the household and corporate sectors may cause consumption and investment to fall stress tests used here, like most other methodologies, may not fully capture structural changes in the banking industry. Noheless, the results are robust to a number of checks and uncover some important relationships between macroeconomic dynamics and the loan writeoff ratio – our measure of bank fragility. UK banks’ aggregate writeoffs, and particularly corporate ones, are found to be sensitive to a downturn in economic activity. Household writeoffs, on the other hand, are found to be more sensitive to changes in ine 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 approach to stress testing proposed in this paper is straightforward to implement and provides a useful plement to the