金融深化、金融结构与行业资本配置效率--基于状态空间模型的经验证据  

Financial Deepening,Financial Structure and Capital Allocation Efficiency in China:Empirical Evidence Based on State Space Model

作　　者：苑西恒[1] 王雨 YUAN Xi-heng;WANG Yu(Institute of World Economics and Politics,Chinese Academy of Social Sciences,Beijing 100005,China)

机构地区：[1]中国社会科学院世界经济与政治研究所,北京100005

出　　处：《西安财经学院学报》2018年第6期30-36,共7页Journal of Xi’an University of Finance & Economics

基　　金：国家社会科学基金重大项目“培育具有全球影响力的先进制造基地和经济区研究”(15ZDC021)。

摘　　要：基于实体经济运行的视角,采用2000—2015年37个工业行业样本数据,运用具备时变参数的状态空间模型,实证研究金融深化、金融结构与行业资本配置效率之间的动态关系。研究得出:(1)中国行业间资本配置效率整体水平较低,年平均值为0.33,且波动率较高;(2)金融危机之前,金融结构和金融深化对行业资本配置效率较为明显,但金融危机之后,其影响逐渐弱化,呈弱相关关系。Based on the perspective of the real economy,the paper uses the data of 37 kinds of industries between 2000 and 2015,and uses the state space model of time-varying parameters regression to empirical test the dynamic relationship between the financial development and capital allocation efficiency.The study shows that:(1)The overall level of capital allocation efficiency among Chinese industries is low,with an annual average of 0.33 and high volatility;(2)Before the financial crisis,the influence between the financial development and capital allocation efficiency is more obvious,but after the financial crisis,its impact gradually weakened,and the correlation becomes weaker.

关 键 词：资本配置效率 金融结构 状态空间模型 

分 类 号：F832[经济管理—金融学]