基于分位数回归的系统性风险和经济增长关系研究  

A Study of the Relationship between Systemic Risk and Economic Growth Based on Quantile Regression

作　　者：胡毅 李瑞[1] 张希 李建平 Hu Yi;Li Rui;Zhang Xi;Li Jianping(School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190;Laboratory of Big Data Mining and Knowledge Management,University of Chinese Academy of Sciences,Beijing 100190;School of Economics,Beijing Technology and Business University,Beijing 100048;Business School,Hunan First Normal University,Changsha 410205;Institute of Science and Development,Chinese Academy of Sciences,Beijing 100190)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中国科学院大数据挖掘与知识管理重点实验室,北京100190 [3]北京工商大学经济学院,北京100048 [4]湖南第一师范学院商学院,长沙410205 [5]中国科学院科技战略咨询研究院,北京100190

出　　处：《管理评论》2019年第12期3-14,共12页Management Review

基　　金：北京市共建项目专项资助;湖南省自然科学基金项目(2016JJ4026)

摘　　要：立足于经济新常态背景,本文基于分位数回归研究我国系统性风险和经济增长的关系,以此反映经济增长本身的动态效应及其与系统性风险之间关系在整个样本分布上的异质性结构。实证结果发现:其一,在经济增长水平较低的时候,系统性风险和经济增长有较显著的负向关系,其中代表金融系统波动率、流动性及金融机构脆弱性的系统性风险指标对于未来经济增长的下降有指示作用;其二,金融机构之间紧密的联系在经济衰退时期会加深经济的衰退,在经济繁荣时期则会推动经济的快速增长;其三,普通线性回归得出的系数低估了低经济增长水平时期系统性风险对于经济增长的负面效应,在经济增长温和时期和繁荣时期,普通线性回归和分位数回归得出的系数则区别不大;其四,利用主成分分析构建的系统性风险指数具有较大的系统性风险预警指示意义。Under the background of new normal economy,this paper studies the relationship between systemic risk and economic growth in China based on quantile regression.Quantile regression can reflect the dynamic effect of economic growth itself and the heterogeneity structure of the relationship between systemic risk and economic growth in the whole sample distribution.The empirical results show th at:firstly,when the level of economic growth is low,there is a significant negative relationship between systemic risk and economic growth.And the indicators of systemic risk,which represent the volatility,liquidity and vulnerability of financial institutions in the financial system,have an indicative effect on the decline of economic growth in the future.Second,strong links between financial institutions deepen recessions during recessions,and boost rapid growth during booms.Third,the coefficients obtained by ordinary linear regression underestimate the negative effects of systemic risk on economic growth in the period of low economic growth.During periods of moderate growth and prosperity,the coefficients obtained by ordinary linear regression and quantile regression are not significantly different.Fourthly,the systemic risk index constructed by principal component analysis is of great significance for the early warning systemic risk.Since 2017,systemic risk in China has been on the rise.

关 键 词：系统性风险 经济增长 分位数回归 经济新常态 

分 类 号：F83[经济管理—金融学]