经济政策不确定性对系统性金融风险的影响研究——基于TVP-SV-VAR模型的实证分析  

The Impact of Economic Policy Uncertainty on Systemic Financial Risk:An Empirical Analysis Based on TVP-SV-VAR Model

作　　者：严超超 周海林[1] YAN Chaochao;ZHOU Hailin(School of Finance,Anhui University of Finance and Economics,Bengbu,Anhui 233000)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233000

出　　处：《上海立信会计金融学院学报》2021年第3期30-42,共13页Journal of Shanghai Lixin University of Accounting and Finance

基　　金：安徽财经大学研究生科研创新基金项目“经济政策不确定性、宏观杠杆率与系统性金融风险的时变效应研究”(ACYC2020132)。

摘　　要：文章选取30个宏观经济指标度量系统性金融风险,构建TVP-SV-VAR模型研究经济政策不确定性、宏观杠杆率和系统性金融风险的动态关联和时变特征。实证研究发现:经济政策不确定性、宏观杠杆率和系统性金融风险的关系具有时变特征。经济政策不确定性的提高在短期、中期和长期显著提高了宏观杠杆率。经济政策不确定性的提高在短期、中期和长期在整体上提高了系统性金融风险。宏观杠杆率的正向冲击在短期、中期和长期显著提高了系统性金融风险。因此,我国应该稳定经济政策预期,完善宏观调控跨周期设计和调节机制,实现经济平稳发展和防范金融风险。The authors select 30 macroeconomic indicators to measure systemic financial risk,and constructs TVP-SV-VAR model to study the dynamic correlation and time-varying characteristics of economic policy uncertainty,macro leverage ratio and systemic financial risk.The empirical study finds that the relationship between economic policy uncertainty,macro leverage ratio and systemic financial risk has time-varying characteristics.The increase of economic policy uncertainty has significantly increased the macro leverage ratio and enhanced systemic financial risk in the short,medium and long term.The positive impact of macro leverage ratio significantly improves the systemic financial risk in the short,medium and long term.Therefore,China should stabilize economic policy expectations,improve the cross-cycle design and regulation mechanism of macro-control,realize stable economic development and prevent financial risks.

关 键 词：系统性金融风险 经济政策不确定性 宏观杠杆率 动态关联 时变特征 

分 类 号：F832[经济管理—金融学] F120