金融机构脆弱性与经济增长的区制关联性研究  

A Study on the Correlation between Financial Institution Fragility and Economic Growth in Different Regimes

作　　者：刘金全[1] 刘达禹[2] 付卫艳 

机构地区：[1]吉林大学商学院 [2]吉林大学数量经济研究中心

出　　处：《南京社会科学》2015年第2期19-26,共8页Nanjing Journal of Social Sciences

基　　金：国家社科基金重大项目"‘十二五’期间我国经济周期波动态势与宏观经济调控模式研究"(10ZD&006)的阶段性成果

摘　　要：美国次贷危机和欧债危机的接踵爆发使得金融机构脆弱性成为了金融经济领域研究的重要议题。金融机构脆弱性受多方面因素共同影响,其中,宏观经济形势与其密切相关。本文采用滚动相关系数与区制转移模型探究了金融机构脆弱性与经济增长间的关联机制,研究结果表明:金融机构脆弱性与经济增长之间存在两种相反的相关区制;经济繁荣时,过度经济增长会使金融机构脆弱性水平上升,经济紧缩时,适度的经济增长反而有利于金融稳定;此外,金融机构脆弱性处于高波动区制时,其持续期往往较长。With the outbreak of subprime crisis and European debt crisis in succession, finan- cial institution stability has become an important issue in financial and economic research. A great many factors influence financial institution stability, and macroeconomic situation affects a lot. In this paper, we use rolling correlation coefficient and regime switching model to research the correla-tion between financial institution fragility and economic growth. The results show that there are two kinds of converse correlation regime between financial institution fragility and economic growth. Eco- nomic growth can improve financial institution fragility during a boom and it may weaken the finan- cial institution fragility when suffering the recession. Moreover, financial institution fragility may maintain for a long time in a high fluctuation regime.

关 键 词：金融机构脆弱性 经济增长 滚动相关 区制转移模型 

分 类 号：F832.3[经济管理—金融学]