全球金融发展与经济增长的结构性关联效应——基于金融周期和金融稳定机制的分析  

Research on the Structural Correlation Effect of Global Financial Development and Economic Growth——Analysis Based on the Financial Cycle and Financial Stability Mechanism

作　　者：马永谈 鲁静怡 林萍 谢权斌 Ma Yongtan;Lu Jingyi;Lin Ping;Xie Quanbin

机构地区：[1]西南石油大学经济管理学院 [2]中信证券股份有限公司

出　　处：《财经科学》2021年第10期1-14,共14页Finance & Economics

基　　金：西南石油大学青年教师“过学术关”项目(201899010110);四川石油天然气发展研究中心2021年度课题(川油气科SKB21-07)资助。

摘　　要：本文基于全球82个国家和地区的1981Q1-2018Q2的季度样本数据,运用向量自回归(VAR)模型框架下的广义预测误差方差分解(FEVD)方法,在测度多维度金融发展与经济增长间关联效应基础上,分析了金融周期和金融稳定机制。结果表明,金融发展与经济增长间存在明显的结构性关联效应差异,且受到金融周期和金融稳定因素的影响。在金融周期繁荣期和衰退期,经济对信贷市场的影响更突出,而房地产市场和债券市场则表现出相反的效应,股票市场的这一效应受金融周期因素的影响较弱。经济平稳运行更有利于信贷市场的良好发展,发展中国家和地区房地产市场发展对经济产生积极作用的同时,也可能伴随着金融危机的出现。监管当局应认识到金融周期和金融稳定因素的差异性效应,密切关注房地产市场发展,重视债券市场发展的经济影响,主动实施宏观政策的结构性调整机制。Based on the quarterly sample data from 1981 Q1 to 2018 Q2 in 82 countries and regions around the world,this paper uses the generalized forecast error variance decomposition(FEVD)method under the vector autoregressive(VAR)model framework to measure the correlation effect between multi-dimensional financial development and economic growth.Based on the analysis of the financial cycle and financial stability mechanism.The results show that there is a clear structural correlation effect difference between financial development and economic growth,and is affected by financial cycles and financial stability factors.During the boom and recession periods of the financial cycle,the economy has a more prominent influence on the credit market,while the real estate market and the bond market show the opposite effect.This effect of the stock market is less affected by financial cycle factors.The stable operation of the economy is more conducive to the sound development of the credit market.The development of the real estate market in developing countries and regions has a positive effect on the economy.At the same time,it may also be accompanied by the emergence of a financial crisis.Regulatory authorities should recognize the differential effects of the financial cycle and financial stability factors,pay close attention to the development of the real estate market,pay attention to the economic and economic impact of the development of the bond market,and actively implement the structural adjustment mechanism of macroeconomic policies.

关 键 词：金融发展 经济增长 结构性关联效应 广义预测误差方差分解 金融稳定机制 

分 类 号：F831[经济管理—金融学]