摘要
结合CRITIC权重法构建中国金融压力指数,作为金融不稳定的代理变量,利用Diebold和Yilmaz设计的动态溢出指数方法,分析金融不稳定对主要宏观经济变量的溢出效应。实证结果发现,金融不稳定对各个宏观经济变量均产生明显的溢出效应,但是溢出程度各不相同,金融不稳定对固定资产投资、广义货币供给量以及政府支出的总溢出效应相对较小。定向波动性溢出指数表明,金融不稳定与单一宏观经济变量的定向波动性溢出会随着时间的推移,存在显著双向性和非对称性。此外,伴随中国经济开放程度的加深,金融不稳定冲击逐渐扮演净溢出传递者的角色,而非净溢出接受者。研究表明,政府需构建金融风险预警系统,对金融不稳定进行早期识别,减少系统性危机发生概率。
Dynamic spillover index method which designed by Diebold and Yilmaz is used to analyze the spillover effect of financial instability on major macroeconomic variables through constructing China financial stress index with CRITIC weighting method and taking it as a proxy variable of financial instability.Empirical results show that financial instability has obvious spillover effect on all macroeconomic variables,but the degree of spillover effect is different.The total spillover effect is relatively small between financial instability and fixed asset investment,broad money supply and government expenditure.Directional volatility spillover index shows that directional volatility spillover of financial instability and single macroeconomic variable have significant bi-directional and asymmetric characteristics over time.In addition,financial instability has clearly played a role as a net spillover transmitters with the deepening of China's economic openness,not a net spillover recipients.The conclusion shows that government require to construct early warning system of financial risk to identify financial instability early,reducing the probability of systematic crisis.
作者
钟意
刘家鹏
ZHONG Yi;LIU Jia-peng(School of Economics and Management,China Jiliang University,Hangzhou 310018,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2020年第8期35-44,共10页
Journal of Statistics and Information
基金
中国博士后科学基金“金融稳定目标下的货币政策有效性研究”(2016M600132)
浙江省自然科学基金青年基金项目“经济政策不确定性影响浙江区域金融稳定的机理及对策研究”(LQ17G030008)
国家社会科学基金项目“基于多源信息融合技术的精准扶贫与防贫机制研究”(18BGL224)。
关键词
金融不稳定
公共因子扩展模型
金融压力指数
溢出指数
financial instability
common factor augmented model
financial stress index
spillover index
