中国金融压力与宏观经济动态效应研究——基于MS-VAR模型的实证分析

发布时间：2018-10-13 07:12

【摘要】：通过金融压力指数度量金融风险,分析金融压力与宏观经济的动态效应,对防范和化解金融风险具有重要意义。笔者首先选取反映银行、股票、债券和外汇等四个金融市场变化的7个关键性指标来综合构建中国金融压力指数,测度2002年1月—2016年6月期间的中国金融压力状况,认为我国目前处在金融风险高发阶段,并可能将长期面临较高的金融压力。其次,根据压力指数的区制转换特征,运用非线性的MS-VAR模型分析金融压力和宏观经济之间的动态效应,发现金融压力和宏观经济之间相互作用的三区制特征明显,存在一定的"棘轮效应",并且在"低压力"和"高压力"两种状态下金融压力与宏观经济的效应关系比在"中压力"状态下更为显著。最后,笔者对主要结论进行了总结,并提出改进金融监管能力、加强金融风险调控、着力深化金融"供给侧改革"等政策建议。
[Abstract]:It is of great significance to measure financial risk through financial pressure index and analyze the dynamic effect of financial pressure and macro economy to prevent and resolve financial risk. First of all, the author selects seven key indicators reflecting the changes of banks, stocks, bonds and foreign exchange to comprehensively construct China's financial stress index to measure the situation of China's financial stress from January 2002 to June 2016. It is believed that our country is at the stage of high financial risk and may face high financial pressure for a long time. Secondly, according to the characteristics of regional transition of pressure index, using nonlinear MS-VAR model to analyze the dynamic effects between financial pressure and macro economy, it is found that the three-region system characteristics of the interaction between financial pressure and macro economy are obvious. There exists a certain ratchet effect, and the effect relationship between financial pressure and macro economy is more obvious under the condition of "low pressure" and "high pressure" than in the state of "medium pressure". Finally, the author summarizes the main conclusions, and puts forward some policy suggestions, such as improving the ability of financial supervision, strengthening the regulation of financial risk and deepening the "supply-side reform" of finance.
【作者单位】：广西大学商学院;中国人民银行南宁中心支行;
【基金】：国家自然科学基金项目“基于产业链发展的物流金融创新机理研究——以CAFTA进程下的广西北部湾经济区为例”(项目批准号:71163002)
【分类号】：F124;F224;F832

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