摘要
文章从外汇市场、银行体系和资产泡沫三个方面分别测度了中国金融市场面临的压力,并基于动态CRITIC赋权法构建出中国金融压力总指数,分析了中国金融压力变动特征在不同时期特别是金融危机前后的典型差异,以及金融压力变动对经济景气波动的时变影响。研究表明:(1)金融压力积聚对经济景气的抑制效应比金融压力释放的促进效应更加显著;(2)货币政策的滞后性和局限性会引发金融压力与经济景气的"顺周期"现象,继而可能放大金融压力对经济景气的影响;(3)各金融子市场压力对经济景气的影响均具有显著的状态依赖特征,且表现出不同的时变动态。文章认为,政策制定者应在密切关注金融压力演变动态的基础上,灵活运用多种政策工具对重点领域和薄弱环节进行预调微调,充分发挥宏观审慎政策在平抑金融顺周期波动、防范风险跨市场传播等方面的重要作用,以实现宏观经济与金融体系的双重稳定。
Financial stress is the state of the financial system when it is affected by its own vulnerability,uncertainty and various external shocks. Rationally measuring financial stress and exploring the impact of financial stress on the business cycle,is one of the core issues in the ＂new economics＂ theory which is based on financial stability,and it is also a hot topic that academia and decision-making departments pay close attention to. However,in the related research on financial stress,domestic and foreign scholars have always faced two problems：Firstly,how to accurately measure financial stress under the complex and volatile economic and financial situation？ Secondly,how to reasonably portray the relationship between financial stress and the business cycle in different periods？ In recent years,with the continuous advancement of economic globalization and financial integration,the potential stress of the financial system has gradually emerged,and has been continuously accumulating and spreading through the financial accelerator effect and pro-cyclical effect of the financial system. Financial stress not only has a significant impact on the operation of the macro economy,but also poses serious challenges to macro-prudential supervision and financial risk prevention and control. Therefore,solving the above two problems not only helps to understand the operating laws of China＇s macroeconomic and financial systems from the perspective of financial stress,but also has an important practical significance for improving the foresightedness and effectiveness of the macro-control policies. In view of this,this paper measures financial stress of China from exchange market pressure,banking system pressure and financial bubble pressure respectively,incorporates all financial sub-markets into a unified framework,and then synthesizes China＇s financial stress index（CFSI） based on the dynamic CRITIC method. The analysis shows that the CFSI constructed in this paper is highly coupled with the operation of China＇s
作者
邓创
赵珂
Deng Chuang;Zhao Ke(Center for Quantitative Economics,Jilin University,Changchun 130012,China;School of Business,Jilin University,Changehun 130012,China)
出处
《财经研究》
CSSCI
北大核心
2018年第7期86-98,113,共14页
Journal of Finance and Economics
基金
教育部哲学社会科学研究重大课题攻关项目(17JZD016)
教育部人文社科重点研究基地重大项目(16JJD790014)
国家社科基金项目(15BJY174)
中央高校青年学术骨干支持计划(2015FRGG09)
