系统性金融风险动态测度及其非线性经济效应研究  

Research on Dynamic Measurement of Systemic Financial Risk and Its Nonlinear Economic Effect

作　　者：沈悦[1] 孟万山 张龙[2] SHEN Yue;MENG Wan-shan;ZHANG Long(School of Economics and Finance,Xi'an Jiaotong University,Xi'an 710049,China;School of Business and Management,Jilin University,Changchun 130012,China)

机构地区：[1]西安交通大学经济与金融学院,陕西西安710049 [2]吉林大学商学与管理学院,吉林长春130012

出　　处：《经济体制改革》2023年第4期131-140,共10页Reform of Economic System

基　　金：国家社会科学基金重大项目“防止资本无序扩张风险研究”(22ZDA053)。

摘　　要：科学准确地进行系统性金融风险动态测度与经济效应评估,是防范化解金融体系重大风险的重要前提。本文将TVP-FAVAR模型进一步拓展,加入混合创新因子(MI),并使用新构建MITVP-FAVAR模型对系统性金融风险进行动态测度,在此基础上探讨系统性金融风险的非线性经济效应。结果表明:基于MI-TVP-FAVAR模型动态测度的系统性金融风险指数走势可识别重大风险事件,对现实情况拟合较好;经济收缩时期,系统性金融风险对宏观经济的影响程度比经济扩张时期更大;低风险时期系统性金融风险可以促进经济增长,而高风险时期系统性金融风险则会抑制经济增长。因此,应根据经济金融周期的阶段性特征,实行差异化管理手段,实现“稳增长”与“防风险”目标之间的平衡。Scientific and accurate dynamic measurement of systematic financial risk and economic effect evaluation are important prerequisites for preventing and resolving major risks in the financial system.This paper further expands TVP-FAVAR model by adding a mixed innovation factor(MI),and uses the newly constructed MI-TVP-FAVAR model to dynamically measure systemic financial risk.Based on this,the nonlinear economic effects of systemic financial risk are explored.The results show that the trend of systematic financial risk index based on the dynamic measurement of MI-TVP-FAVAR model can identify major risk events and fit the reality well.In the period of economic contraction,the impact of systemic financial risk on the macro-economy is greater than that in the period of economic expansion.The systemic financial risk in low risk period can promote economic growth,while the systemic financial risk in high risk period can inhibit economic growth.Therefore,we should implement differentiated management methods based on the phased characteristics of the economic and financial cycle,achieve a balance between “stable growth” and “risk prevention” goals.

关 键 词：MI-TVP-FAVAR模型 局部投影法 分位数脉冲响应 系统性金融风险 

分 类 号：F832.51[经济管理—金融学]