摘要
文章在国际货币基金组织(IMF)金融稳健性指标体系的基础上,运用TVP-FAVAR模型构建我国金融稳定指数,进而以2009—2020年为时间序列,量化我国金融稳定水平,并考察“双支柱”政策对我国金融稳定指数的调节效应。得到以下结论:(1)我国金融稳定指数频繁高低交替,但整体相对平稳,具有抵御外部冲击和维持自身系统稳健的能力;(2)我国金融稳定指数不存在显著的季度特征,但区域金融稳定指数呈箱体波动,空间分布不均衡;(3)货币政策与动态准备金政策的协调配合,对金融稳定指数的调节效果最优。因此,“双支柱”政策工具调节金融稳定指数时,货币政策的运用应结合宏观经济环境与金融风险来源,避免“大水漫灌”式金融震荡;宏观审慎政策的运用要实时寻求政策框架的修正空间;“双支柱”政策工具的综合运用要结合经济金融环境相机调控,以求营造稳定的金融环境。
Based on the financial robustness index system of IMF,this paper uses TVP-FAVAR model to construct China’s financial stability index,then quantifies China’s financial stability level from 2009 to 2020,and investigates the moderating effect of“double pillar”policy on China’s financial stability index.The paper comes to the following conclusions:(1)China’s financial stability index fluctuates frequently,but the overall trend is relatively stable,which has the ability to resist external shocks and maintain its own system robustness.(2)The financial stability index does not have significant quarterly characteristics,but the regional financial stability index shows box fluctuation,the spatial distribution is unbalanced.(3)The coordination between monetary policy and dynamic reserve policy has the best moderating effect on financial stability index.Therefore,when the“double pillar”policy adjusts the FSI,the implementation of monetary policy should be combined with macroeconomic environment and financial risk sources to avoid the financial shock of“flooding”.In the application of macro-prudential policies,it is necessary to find room for revising the policy framework in real time.The comprehensive application of“double pillar”policy tools should be adjusted and controlled according to the economic and financial environment in order to create a stable financial environment.
作者
李书
解瑶姝
Li Shu;Xie Yaoshu(School of Economics and Management,Changchun University of Science and Technology,Changchun 130022,China;School of Economics and Management,Northeast Normal University,Changchun 130117,China)
出处
《统计与决策》
CSSCI
北大核心
2022年第22期124-129,共6页
Statistics & Decision
基金
国家社会科学基金青年项目(20CJY003)。
