摘要
针对新常态下中国经济金融特点,通过选取金融市场重要指标来构建中国金融压力指数,以测度2002年1月—2016年6月期间中国金融风险状况,并运用结构向量自回归模型(SVAR)研究金融压力与宏观经济的动态效应。结果显示:我国目前处在金融风险高发阶段,并可能长期面临较高的金融压力;金融风险自身具有较大的惯性,对经济主体信心和房地产市场存在显著的负面影响;经济主体信心和房地产市场的波动对金融压力影响明显,且持续时间较长;金融风险的影响随着时间延续而不断增强,存在较为明显的滞后效应。
With regard to China＇s economic and financial characteristics in new era, this paper constructs the China＇s Financial Stress Index with financial market leading indicators to measure China＇s financial risk during January 2002 and June 2016. Besides, this paper utilizes SVAR model to study the dynamic effect between financial stress and macro-economy. The results show that China is in the phase of high financial risk now, and it is likely to face higher long-term financial stress. The financial risk itself is inertial and has a significant negative influence on the confidence of economic players and the real estate market. The confidence of economic players and the fluctuation in the real estate market obviously reflect the financial stress. Such reflection will last for a long time and the influence of financial stress goes stronger with the lapse of time and has an obvious lagged effect.
出处
《浙江工商大学学报》
CSSCI
2017年第3期75-87,共13页
Journal of Zhejiang Gongshang University
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"(71163002)
关键词
金融压力
宏观经济
SVAR模型
脉冲响应函数
方差分解
financial stress
macro-economy
SVAR model
impulse response function
variance decomposition
