摘要
本文将动态模型平均思想纳入时变因子扩展向量自回归模型,进而从金融脆弱性、金融体系发展以及国际金融形势等方面构建动态变化的金融压力指数(FSI)体系,并探索了金融压力对主要宏观经济变量冲击反应的时变特征。研究结果表明:相比其它因子模型,本文同时考虑参数时变、变量动态选择和模型维度时变的TVP-FA-VAR-DMA模型不仅能够提高FSI预测模型参数估计的效率,且能够较好地反映出中国金融压力情况和金融特殊事件;通过马尔科夫模型识别出我国金融压力具有明显的三区制转移特征,样本区间内FSI大多时间处于金融平稳时期,并且金融失衡时期与国内外重大特殊事件较为吻合;通过时变参数模型经验分析发现了金融压力的上升对经济增长主要表现为短期负向传导效应,对物价水平和消费水平的冲击均表现为由强到弱的短期负向效应,对投资水平的负向冲击效应呈递增趋势。此外还发现在重大金融事件发生的高风险时期,金融压力的上升会对宏观经济的负向冲击更为强烈。
We take the idea of dynamic model averaging into the Factor-augmented Vector Autoregressive with Time-Varying Parameters model,and use the model to construct China’s financial stress index system from aspects of financial stability,financial fragility,financial system development and international financial situation.After that,we use the model to test the time-varying characteristics of the impact of financial stress on main macroeconomic variables.The results show that:compared with other factor models,the FSI estimated by TVP-FA-VAR-DMA,which takes into account both time-varying parameters,dynamic selection of variables and time-varying model dimensions,can not only improve the efficiency of parameter estimation of FSI prediction model,but also reflect the financial stress and financial special events in China.Through the MS-AR model,we find that the financial stress of our country has obvious characteristics of three-zone system transfer.Most of the FSIs in the sample interval are in a relatively stable financial period,and the period of financial imbalance coincides with major special events both at home and abroad.The empirical analysis of the TVP-SV-VAR model shows that the rise of financial stress on the economic growth is mainly manifested in the short-term negative conduction effect,the impact on the price level and consumption level both from strong to weak short-term negative effect,the negative impact of financial pressure on the investment level showed an increasing trend.In addition,we find that the rise of financial pressure will have a more negative impact on the macro-economy in the high-risk period of major financial incidents.
作者
任爱华
刘玲
REN Ai-hua;LIU Ling(Center for Financial Innovation and Risk Management.Hebei Finance University,Baoding 071051,China;School of Economic and International Trade,Hebei Finance University,Baoding 071051,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2022年第3期17-32,共16页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
河北省高等学校人文社会科学重点研究基地经费资助项目(JDKF2022006)
河北省高等学校人文社会科学研究重点项目(SD201052)。
