摘要
研究非市场因素与金融脱媒的关系对于完善金融市场的发展具有重要意义。运用投资者情绪指数这一非市场因素指标,在不同的经济周期背景下建立非线性阈值协整模型,利用非线性最小二乘法和完全修正的最小二乘法对参数进行估计,定量分析了投资者情绪与金融脱媒之间的长期动态均衡关系。研究表明:在不同的经济周期中,金融脱媒程度不同,但整体呈深化趋势;投资者情绪对金融脱媒存在显著的正向影响;投资者情绪与金融脱媒存在长期动态均衡关系,且该均衡关系受经济周期的影响。
It is of great significance to study the relationship between non-market factors and financial disintermediation for improving the development of financial market.The paper builds an investor sentiment index as a representative factor of non-markets,and a non-linear threshold co-integration models in the context of different economic cycles.By using the nonlinear least squares and the fully modified least squares method to estimate the existing parameters in the model and quantitative analysis whether there is a long-term dynamic equilibrium relationship between the investor sentiment and the financial disintermediation.The result shows that in different business cycles,financial disintermediation varies,but in a deepening trend;investor sentiment has a positive impact on financial disintermediation;there is a long-term dynamic equilibrium relationship between the investor sentiment and the financial disintermediation,and the equilibrium relationship is affected by the business cycles.
出处
《审计与经济研究》
CSSCI
北大核心
2013年第5期96-104,共9页
Journal of Audit & Economics
关键词
投资者情绪
金融脱媒
经济周期
阈值协整
金融中介服务
融资渠道
investor sentiment
financial disintermediation
economic cycles
threshold co-integration
financial intermediary service
financing channels
