次贷危机对中国经济的影响——基于创新的金融危机测度指标的实证分析

发布时间：2018-11-14 17:52

【摘要】：始于2007年的次贷危机带来的资产市场泡沫破灭和市场流动性的缺乏重创了美国经济。本文利用美国的实际资产回报率和广义货币供给量这两个指标,按照Lumsdaine andPrasad(2003)的方法创建了一个衡量金融危机"共同因素"的单变量指标;并在测度我国宏观经济和金融市场主要指标的真实值和假设没有危机时的预测值差距的基础上,通过构建似不相关模型(SUR)考察了美国此次危机对我国经济的影响。我们的实证研究基于1992年1月至2009年6月的月度数据,结果显示:(1)我国的进口和出口因美国危机受到显著、持续并重大的负面影响,危机的深化加剧了我国进口和出口的下降;(2)美国的危机使我国的财政和货币政策显著扩张,危机的深化伴随着政策扩张力度的加大,尤其在货币政策上;(3)虽然受到出口下降的打击,扩张性的财政和货币政策对消费和私人投资的拉动效果明显,因此我国消费受美国危机的影响虽有统计上显著的下降,但幅度很小;投资则未因危机有显著改变;(4)次贷危机对我国A股市场的总体收益影响不明显。总的来说,当前国际性危机影响我国经济的主要传导机制是出口和进口,影响的方面主要是实体经济领域。
[Abstract]:The collapse of asset market bubbles and a lack of liquidity from the subprime mortgage crisis that began in 2007 hit the U.S. economy hard. In this paper, a univariate index to measure the "common factor" of the financial crisis is created according to the Lumsdaine andPrasad (2003 method by using the two indexes of the real return on assets and the broad money supply of the United States. On the basis of measuring the true value of the main indicators of China's macroeconomic and financial markets and the difference between the predicted values assuming that there is no crisis, this paper investigates the impact of the crisis on China's economy by constructing a seemingly unrelated model, (SUR). Our empirical study is based on monthly data from January 1992 to June 2009. The results show that: (1) China's imports and exports have been significantly, continuously and negatively affected by the US crisis. The deepening of the crisis has aggravated the decline of China's imports and exports; (2) the crisis in the United States has greatly expanded our fiscal and monetary policies, and the deepening of the crisis has been accompanied by the intensification of the policy expansion, especially in monetary policy; (3) although the impact of export decline, expansionary fiscal and monetary policies on consumption and private investment, the impact of China's consumption by the United States crisis, although statistically significant decline, but the range is very small; Investment has not changed significantly because of the crisis; (4) the impact of the subprime mortgage crisis on the overall return of China's A-share market is not obvious. In general, export and import are the main transmission mechanism of the current international crisis affecting our economy, and the impact is mainly in the real economy.
【作者单位】：对外经济贸易大学国际经济贸易学院;
【基金】：对外经济贸易大学校级课题“美国次贷危机对中国经济的影响”(项目号09QD04)的阶段性成果，，“对外经济贸易大学学术创新团队资助项目”以及“对外经济贸易大学‘211工程'三期建设项目”的研究成果。对外经济贸易大学经济与计量经济学研究小组和资本市场跨院虚拟研究平台的支持和资助
【分类号】：F831.59;F124

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