摘要
本文基于TVP-FAVAR-SV模型方法,从股票市场等9个类别市场中选取代表性指标构建我国金融状况指数FCI,结合系列金融风险事件,研究我国金融状况与实体经济的时变脉冲响应与风险溢出效应。研究发现,实体经济与金融状况间存在显著双向互动关系,金融状况宽松对实体经济有正向拉动作用,对消费者信心、物价、工业增加值等经济指标有长期正向影响。实体经济增长对房地产市场、汇率和利率有长期正向影响,对房地产市场的正面效应尤为显著。
Based on TVP-FAVAR-SV model,this paper selects representative indicators from nine categories of markets,including the stock market,to construct China’s financial conditions index(FCI).Combined with a series of financial risk events,this paper studies the time-varying impulse response and risk spillover effect between China’s financial condition and the real economy.The results show that there is a significant bidirectional interaction between the real economy and financial conditions,and the easing of financial conditions has a positive pulling effect on the real economy and a long-run positive impact on economic indicators such as consumer confidence,consumer prices and industrial value added.The growth of the real economy has a long-term positive effect on the real estate market,exchange rates and interest rates,and the positive effect of such growth on the real estate market is particularly significant.
作者
刘伟
周东海
刘晓星
LIU Wei ZHOU;Dong-hai;LIU Xiao-xing
出处
《现代金融研究》
CSSCI
北大核心
2024年第12期3-12,56,共11页
Journal of modern finance
基金
国家自然科学基金面上项目“流动性循环与金融系统安全:影响机制及其监控研究”(72173018)
国家重点研发计划(2021QY2100)的资助。
关键词
金融状况
实体经济
时变脉冲响应
风险溢出效应
financial conditions
real economy
time-varying impulse responses
risk spillovers
