金融周期对自然利率的影响:金融失衡视角  

The Influence of Financial Cycle Factors on the Natural Rate of Interest: From the Perspective of Financial Imbalance

作　　者：王博 陈开璞 WANG Bo;CHEN Kaipu(Nankai University,Tianjin,China)

机构地区：[1]南开大学金融学院

出　　处：《经济学动态》2019年第10期38-49,共12页Economic Perspectives

基　　金：国家社会科学基金重大项目“基于结构性数据分析的我国系统性金融风险防范体”（17ZDA074）;国家社会科学基金重大专项“我国债务危机风险的防范治理与有效缓解对策研究”（18VFH007）;国家自然科学基金“基于大数据的中国金融系统性风险测度及演化规律研究”（71873070）资助

摘　　要：本文以Krustev(2018)的框架为基础,在自然利率的估算中加入金融周期因子,构建状态空间模型,对中国的自然利率进行估算,并考察金融失衡对自然利率的影响。研究发现,金融周期对自然利率的显著影响表征为金融“加杠杆”和“去杠杆”的金融失衡都会使自然利率偏离其长期趋势。通过分析产出缺口的估计结果发现,产出缺口受金融周期的显著影响,金融杠杆率越高产出缺口越大,相应的趋势产出越低。同时,自然利率还受风险溢价、政策不确定性的影响,但全球储蓄对中国自然利率的影响不显著。Based on the framework of Krustev(2018), this paper adds financial cycle into the estimation of the natural rate of interest, estimates China s natural rate of interest with a state space model, and examines the impact of financial imbalance on the natural rate of interest. It is found that financial cycle has a significant impact on the natural rate of interest, and financial imbalance characterized by financial leverage and deleveraging tend to deviate the natural rate of interest from its long-term trend. Through the analysis of the estimated results of the output gap, this paper finds that the output gap is significantly affected by financial cycle. The higher the financial leverage ratio is, the bigger the gap is and the lower the corresponding trend output is. At the same time, the natural rate of interest is also significantly affected by risk premium and policy uncertainty, but the impact of global savings on China s natural rate of interest is not significant.

关 键 词：自然利率 金融周期 半结构化模型 

分 类 号：F832[经济管理—金融学]