中国实体经济与金融的互溢效应及其政策应对  

Spillover Effect of Real Economy and Finance in China and Policy Response

作　　者：王冰冰 赵树宽[2] Bingbing Wang;Shukuan Zhao(School of Economics and Management,Shanghai University of Political Science and Law,Shanghai 201701,China;School of Business and Management,Jilin University,Changchun Jilin 130012,China)

机构地区：[1]上海政法学院经济管理学院,上海201701 [2]吉林大学商学与管理学院,吉林长春130022

出　　处：《会计与经济研究》2023年第3期125-140,共16页Accounting and Economics Research

基　　金：国家自然科学基金项目(72174073)。

摘　　要：双支柱政策在应对实体经济和金融之间的复杂关系及多调控目标方面发挥重要作用。文章使用Diebold-Yilmaz溢出指数方法,分析我国实体经济和金融之间的动态溢出效应。在此基础上,构建TVP-SV-FAVAR模型,将实体经济和金融的关系划分为紧耦合溢出区制和松耦合溢出区制,实证研究双支柱政策对实体经济和金融的调控效果。研究发现,我国实体经济和金融之间表现出显著的双向溢出效应,在松耦合溢出区制下,双支柱政策对实体经济和金融的调控效果更强,货币政策对实体经济和金融的调控效果均强于宏观审慎政策,我国双支柱政策对实体经济和金融的逆周期调控效果良好。文章归纳了稳增长、防过热、防风险、防收缩相互组合的不同政策目标下货币政策和宏观审慎政策的最优政策组合形式。现阶段,我国政策目标总体属于“稳增长+防风险”的范畴,应当采取力度适中的宽松货币政策和力度适中的从紧宏观审慎政策组合,为经济高质量发展提供实体经济支撑和稳定的金融环境。The dual-pillar policy plays an important role in addressing the complex relationship between the real economy and finance and achieving the multiple regulatory objectives.We use the Diebold-Yilmaz spillover index to analyze the dynamic spillover effects between the real economy and finance in China.On this basis,we construct the TVP-SV-FAVAR model to classify the relationship between the real economy and finance into tightly coupled spillover regimes and loosely coupled spillover regimes,and empirically test the regulatory effects of the dual-pillar policy on the real economy and finance.The results show that China's real economy and finance are characteristic of significant two-way spillover effects.Under the loosely coupled spillover regime,the regulatory effect of the dual-pillar policy on the real economy and finance is stronger,and the regulatory effect of monetary policy on both the real economy and finance is stronger than that of macroprudential policy.The effect of China's dual-pillar policy on pro-cyclical regulatory of both the real economy and finance is good.We summarize the optimal policy combination of monetary policy and macroprudential policy under different policy objectives of stable growth,preventing overheating,preventing phoenix risk and preventing contraction.At this stage,China's policy objectives generally belong to the paradigm of maintaining steady growth and guarding against risks,and a combination of moderately loose monetary policy and moderately tight macroprudential policy should be adopted to provide real economic support and a stable financial environment for the high-quality economic development.

关 键 词：实体经济 金融周期 双支柱调控 货币政策 宏观审慎政策 

分 类 号：F822.1[经济管理—财政学]