机构异质性风险对宏观经济稳定的阶段影响研究——基于股票市场的视角  

Research on the Impact of Institutional Heterogeneity Risk on Macroeconomic Stability——Based on the Perspective of the Stock Market

作　　者：刘柏[1,2] 张艾莲[1,2] 潘梦梦 Liu Bai;Zhang Ai-lian;Pan Meng-meng

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：《经济学家》2019年第8期90-101,共12页Economist

基　　金：国家社会科学基金一般项目“金融市场开放环境下的金融风险生成逻辑、风险测度和防范机制研究”（18BJY232）

摘　　要：机构异质情况下系统性风险对宏观经济稳定的影响存在差异性,经济政策实施的空间点和时间点在不同状态下各不相同。基于股票市场构建金融机构风险和非金融机构风险测度指标,采用分位数自回归方法,研究在经济增长不同阶段系统性风险指标对宏观经济发展的影响。实证结果表明,当经济处于高位或是低位运行时,无论是金融机构风险还是非金融机构风险对宏观经济发展的预测效果和影响能力都各不相同,非金融机构风险比金融机构风险包含的信息对宏观经济影响更大.因此在风险防范过程中,不应忽略非金融机构所引发的风险。在风险预测过程中,对金融机构与非金融机构需要差异区分,同时识别源自金融领域和实体经济的风险并兼顾经济发展阶段,避免二者同方向作用造成叠加效果,从而超出政策措施的预期范围。There are differences in the impact of systemic risk on macroeconomic stability under institutional heterogeneity. The spatial and temporal points of economic policy implementation vary from state to state. Based on the stock market to construct financial institution risk and non-financial institution risk measurement indicators, the quantile autoregressive method is used to study the impact of systemic risk indicators on macroeconomic development in different stages of economic growth. The empirical results show that when the economy runs at a high or low level, both financial institution risk and non-financial institution risk have different predictive effects and influences on macroeconomic development. Non-financial institution risks have greater impact on the macro economy than information contained in financial institution risks. Therefore, in the risk prevention process, the risks caused by non-financial institutions should not be ignored. In the risk prediction process, financial institutions and non-financial institutions need to be differentiated, and at the same time we should identify the risks originating from the financial sector and the real economy, and take into account the stage of economic development, so as to avoid the superposition effect of the two directions in the same direction, thus exceeding the expectations range of policy measures.

关 键 词：系统性风险 金融机构 非金融机构 宏观经济 分位数回归 

分 类 号：F832[经济管理—金融学]