金融环境变化对预期经济下行风险的影响——宏观金融脆弱性的再探讨  

Impact of Changes in Financial Environment on the Downside Risk of Expected Economic Growth--Reanalysis of Macro-Financial Vulnerabilities

作　　者：胡潇滢 耿丽平[2] 滕兆岳 Hu Xiao-ying;Geng Li-ping;Teng Zhao-yue

机构地区：[1]辽宁大学国际经济政治学院 [2]辽宁大学金融与贸易学院 [3]辽宁大学经济学院

出　　处：《经济学家》2024年第9期98-108,共11页Economist

基　　金：辽宁省社会科学规划基金项目“辽宁省中小银行数字化转型风险防范研究”(L23CJY004)。

摘　　要：金融环境的变化能为预期经济增长提供强有力的信号。本文选取43个国家和经济体在1995—2021年的季度面板数据,利用在险增长模型研究了金融环境的变化对预期经济下行风险的影响。研究发现,紧缩的金融条件在短期会增加下行风险,宏观金融脆弱性几乎在未来三年内都会增加下行风险,外部冲击对下行风险的影响因预测期不同而异。进一步对宏观金融脆弱性分类分析发现,宏观金融失衡和借款人资产负债表失衡几乎在整个预测期内都会显著增加下行风险,而金融部门资产负债表失衡对下行风险的影响只在前5个季度显著,并通过异质性分析发现各类因素对发达经济体和新兴市场经济体有着不同的影响。Changes in the financial environment can have a significant impact on economic growth.This paper selects the quarterly panel data of 43 countries and economies from 1995 to 2021,and uses the at-risk growth model to study the impact of changes in the financial environment on the expected economic downside risk.The study finds that tighter financial conditions increase downside risks in the short term,macro-financial vulnerabilities increase downside risks almost in the next three years,and the impact of external shocks on downside risks varies with different forecast periods.Further analysis of macro-financial vulnerability classification shows that macro-financial imbalances and borrower balance sheet imbalances significantly increase downside risks almost throughout the forecast period,while the impact of financial sector balance sheet imbalances on downside risks is only significant in the first five quarters,and heterogeneity analysis finds that various factors have different impacts on advanced economies and emerging market economies.

关 键 词：在险增长 金融条件 宏观金融脆弱性 外部冲击 下行风险 

分 类 号：F831[经济管理—金融学]