信贷波动、生产网络与股市风险——基于完善宏观审慎监管的视角  

Credit Fluctuation,Production Network,and Stock Market Risk——A Perspective on Improving Macro-Prudential Supervision

作　　者：孙一菡 林仕伟 Sun Yihan;Lin Shiwei

机构地区：[1]南京财经大学国际经贸学院 [2]复旦大学经济学院

出　　处：《财经科学》2024年第7期1-16,共16页Finance & Economics

基　　金：国家自然科学基金面上项目“流动性压力、信息交互与价格联动——基于中国股票和债券市场多层复杂网络的风险交叉传播机制与控制修复策略研究”(71873039,71573051)的资助。

摘　　要：探索信贷波动如何透过生产网络影响股市变动,对监测金融风险至关重要。本文构建包含生产网络的一般均衡模型,将全球信贷波动纳入统一分析框架,研究了2002—2022年20个主要国家的信贷波动对股市回报的直接效应与网络效应,以监测货币政策有效性、信贷跨境溢出效应及货币政策自主性。研究发现,各国股市变动不仅受自身信贷波动的直接影响,还有62%来自他国信贷波动经由生产网络所产生的影响。具体地,俄罗斯、中国及美国的直接效应占比更大,货币政策自主性较强。比较两次降息周期,美国次贷危机时期的大幅度信贷波动引发了强烈的跨境溢出效应;三次升息周期中,通胀严峻抑制了货币政策有效性及信贷跨境溢出效应;对比两次量化宽松,防范全球系统性风险是保障本国货币政策有效性的关键。我国货币政策自主性有明显提升,但有效性仍需加强。建议从生产网络视角完善宏观审慎监管,降低外源性金融风险跨境传染的可能性,提升内源性货币政策校准的及时性。It is crucial to explore how credit fluctuations impact stock market through production networks.This paper constructs a production network based static general equilibrium model to study the direct and network effects of credit fluctuations on stock re-turns in 20 major countries during 20022022.It is found that the movements of stock market in various countries are not only di-rectly affected by the fluctuation of domestic credit.About 62%of the stock market movements is caused by the fluctuation of foreign credit through the production network.Specifically,Russia,China,and the United States have a larger share of direct effects,indicat-ing stronger monetary policy autonomy.The main findings during different financial cycle of The Fed are summarized as follows.First,the significant credit fluctuations in the United States during the subprime crisis leads to strong credit spllover effects.Second,we compare interest rate lift cycles among the three periods,severe inflation inhibited the effectiveness of monetary policy and credit spillover effects.Third,compared with two quantitative easing periods,the stability of the financial system is vital to ensuring the ef-fectiveness of domestic monetary policy.While China's monetary policy autonomy has significantly improved,its effectiveness still needs enhancement.It is recommended to improve macro-prudential supervision from the perspective of production network,which will help reduce the possibility of external financial risks spreading to China and enhance the timeliness of internal monetary policy adjustments.

关 键 词：信贷波动 生产网络 股票市场 金融周期 宏观审慎监管 

分 类 号：F832.5[经济管理—金融学]