金融周期对潜在经济增长率的影响——基于TVP-SV-VAR模型的实证分析  

Effect of Financial Cycle on Growth Rate of Potential Output:A Study Based on TVP-SV-VAR Model

作　　者：黎艳[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《未来与发展》2017年第6期48-52,68,共6页Future and Development

摘　　要：本文主要从配置效应和溢出效益梳理金融周期影响潜在经济增长的内在机理。在此基础上,基于美国2000年第1季度至2015年第4季度的数据,本文构建了包含潜在经济增长率、金融周期和金融风险的三变量的TVP-SV-VAR模型,对金融周期的潜在经济增长效应进行实证分析。实证结果表明:1)潜在经济增长率对金融周期和金融风险的响应值存在明显的时变特征和结构性突变,且其对金融风险冲击反映的敏感性早于金融周期;2)金融周期和金融风险对经济增长的影响具有明显的长期效应,但前者的影响程度高于后者;3)金融周期和金融风险对潜在经济增长的影响在国际金融危机前后存在"断崖式"下跌,这在一定程度上解释了经济体的长期停滞现象。In this paper, we summarize financial cycle＇s growth mechanisms as resource allocation effect and spillover effect. Then based on 2000Q1-2015Q4 data of U.S., we employ TVP-SV-VAR model including growth rate of potential output, financial cycle and financial risk to analyze the dynamic relationship among them. The empirical results indicate that： （1） the response of growth rate of potential output to financial cycle and financial risk has significant time-varying feature, and the response to financial risk is earlier than to financial cycle; （2） financial cycle and financial risk have a long-term effect on potential output, and the former is bigger than the latter; （3） the effects of financial cycle and financial risk on potential output have shrink massively after global financial crisis, which to some extent explains the secular stagnation.

关 键 词：金融周期 潜在经济增长率 TVP-SV-VAR模型 

分 类 号：F831[经济管理—金融学]