经济政策不确定性、金融结构与系统性金融风险关系研究  

Research on the Relationship Between Economic Policy Uncertainty,Financial Structure and Systemic Financial Risk

作　　者：崔惠颖 郭奥 CUI Huiying;GUO Ao(School of Economics and Business Administration,Heilongjiang University;School of Business and Management,Jilin University;China Merchants Bank Beijing Branch)

机构地区：[1]黑龙江大学经济与工商管理学院 [2]吉林大学商学与管理学院 [3]招商银行股份有限公司北京分行

出　　处：《金融经济》2024年第12期3-16,共14页Finance Economy

基　　金：国家社会科学基金一般项目“低碳转型目标下搁浅资产风险传导与最优监管机制研究”(23BJL023)。

摘　　要：守住不发生系统性风险底线是党的二十大对金融工作提出的明确要求。本文结合我国经济金融实际情况构建系统性金融风险指标体系,在理论分析的基础上,运用具备随机波动率的时变参数向量自回归模型,检验经济政策不确定性、金融结构与系统性金融风险之间的动态演进过程,同时考察了重要经济事件对三者关系的时变影响,并将系统性金融风险细化为四个维度进行异质性分析。实证结果发现,经济政策不确定性与系统性金融风险主要呈现正向动态时变关系;金融结构在二者之间发挥着一定的传导作用,且明显受到国内外宏观经济环境和金融周期的影响;当金融结构表现出更强的“银行主导型”时,系统性金融风险相对较低;分维度来看,经济政策不确定性和金融结构主要影响的是国内市场和银行业金融风险。充分认识金融风险各维度与经济政策环境、金融系统之间的动态效应,能够为防范化解系统性金融风险提供更有效的政策指引。The bottom line against systemic risk is a clear requirement for financial work of the 20th CPC National Congress.This paper constructs the index system of systemic financial risk in China,based on the actual situation of economy and finance.On the basis of theoretical analysis,we use the time-varying parameter vector autoregression model with random volatility to test the dynamic evolution process among economic policy uncertainty,financial structure and systemic financial risk,and examine the time-varying impact of important economic events on the relationship among the three.Moreover,we conduct heterogeneous analysis by refining systemic financial risk into four dimensions.The empirical results show that the relationship between economic policy uncertainty and systemic financial risk is mainly positive;the financial structure plays a certain transmission role between the two,and is obviously affected by the domestic and international macroeconomic environment and financial cycle.When the financial structure shows a stronger"bank-dominated"characteristic,the systemic financial risk is relatively lower.In terms of dimensions,economic policy uncertainty and financial structure mainly affect domestic market and banking financial risks.Thus,a comprehensive understanding of the dynamic effects among various dimensions of financial risk,the economic policy environment and the financial system can provide more effective policy guidance for preventing and resolving systemic risks.

关 键 词：经济政策不确定性 金融结构 系统性金融风险 TVP-SV-VAR模型 时变传导机制 

分 类 号：F832.1[经济管理—金融学]