统计研究

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中国金融压力的度量及其宏观经济的非线性效应

张勇等   

  • 出版日期:2017-01-15 发布日期:2017-02-09

The Measurement of Finance Stress and Nonlinear Effect on Macroeconomic Activity in China

Zhang Yong et al.   

  • Online:2017-01-15 Published:2017-02-09

摘要: 运用金融压力来刻画系统性金融风险日益受到学术界和政策决策层的重视。文章从经济主体非理性行为范式出发,通过探讨金融压力的度量及其对宏观经济运行的影响机制,以此考察系统性金融风险的测度及其宏观经济效应。首先,我们运用复合式系统压力指标方法,通过设置时变权重从纵向和横向维度构建金融压力指数展开测度,试图反映经济主体心理与行为偏差引致的风险溢出和传染效应,进而体现系统性金融风险的内生性特征;然后,将金融压力进一步视为经济主体情绪过程的反映,并借鉴行为金融学领域中“情绪加速器机制”探讨和解释不同压力状态下金融压力影响宏观经济的非线性效应,在此基础上,建立Logistic平滑转换向量自回归模型展开检验。研究显示,各个金融子系统本身的压力状况及其关联程度,共同推动了金融压力总体状况在高低状态之间的转换;而且,高压力状态与低压力状态相比,金融压力对产出和价格的影响效应会更为显著,这也意味着,系统性金融风险处于较高状态时,风险的积聚和释放会更加剧宏观经济波动。

关键词: 金融压力, 系统性金融风险, 宏观经济效应, 非理性

Abstract: Finance stress is widely applied to depict systemic financial risk in academics and policy makers circle. Starting from the irrational behavior paradigm of economic subjects, this paper studies the measurement of finance stress and its macroeconomic effects by discussing the measurement of financial stress and its influence mechanism on macroeconomic operation. First, we apply composite indicator of systemic stress method to build financial stress index from the vertical and parallel dimension so as to reflect endogenous nature of risk. Second, we apply the sentiment acceleration to analyze its nonlinear effect on macroeconomic activity and establish the Logistic STVAR model in order to give empirical test. The result shows that the stress state of financial subsystem and the interaction jointly push the conversion between high and low stress. Compared to low stress state, finance stress has more significant effect on output and price in high stress state. This also means that the accumulation and release of risk can aggravate macroeconomic fluctuation in state of high systemic financial risk.

Key words: Finance Stress, Systemic Financial Risk, Macroeconomic Effect , Irrationality