数字金融、货币政策与系统性金融风险——基于TVP-VAR-SV模型的实证研究  

Digital Finance,Monetary Policy,and Systemic Financial Risk:An Empirical Study Based on TVP-VAR-SV Model

作　　者：梁洪 李树[1] 王雨 Liang Hong;Li Shu;Wang Yu

机构地区：[1]西南政法大学经济学院

出　　处：《统计研究》2023年第11期68-79,共12页Statistical Research

基　　金：国家自然科学基金面上项目“利率市场化视角下金融发展、货币政策对网络借贷的影响研究”(71873104);重庆市社会科学规划博士项目“数字金融、货币政策对系统性金融风险的影响研究”(2021BS060)。

摘　　要：在数字金融快速发展背景下,研究数字金融发展影响货币政策与系统性金融风险的作用机制,具有一定的理论和实践意义。本文运用TVP-VAR-SV模型检验数字金融、货币政策与系统性金融风险的动态关系,分析在数字金融监管强度差异下该动态关系的非对称性,并进一步检验数字金融对经济增长的驱动作用,以及数字金融对宏观风险收益率的冲击效应。研究发现,数字金融的发展加剧系统性金融风险,而紧缩型货币政策有助于抑制系统性金融风险;数字金融的发展显著影响货币政策调控效果,紧缩型货币政策促进数字金融发展;数字金融发展能够有效促进经济增长并提高经济体系单位风险效益。进一步,本文从规范数字金融市场发展,优化货币政策传导机制和强化数字金融市场投资者教育等方面给出政策建议。With the rapid development of digital finance,the research on how the digital finance affects monetary policy and systemic financial risk has significant theoretical and practical implications.We use the TVP-VAR-SV model to examine the dynamic relationship between the digital finance,monetary policy and systemic financial risk,and then analyze the asymmetric dynamic relationship with different regulatory intensities of digital finance.Furthermore,we examine the driving role of the digital finance on economic growth and its shock effect on macro risk-return ratio.The findings of this paper are as follows:The development of digital finance exacerbates systemic financial risk,but a contractionary monetary policy helps to reduce systemic financial risk.The development of digital finance significantly affects the effectiveness of monetary policy and the contractionary monetary policy promotes the development of digital finance.The development of digital finance effectively stimulates economic growth and enhances the economic benefits of risk-bearing in the economic system.Furthermore,this article provides policy suggestions from the aspects of regulating the development of the digital financial market,optimizing the monetary policy transmission mechanism,and strengthening investor education in the digital financial market.

关 键 词：数字金融 货币政策 系统性金融风险 

分 类 号：F830.9[经济管理—金融学]