商业研究

商业研究

• 商经理论 • 上一篇    下一篇

我国金融稳定状况的混频测度与时变驱动

李鹏1，张润驰2,3，毛德勇4   

  1. （1.郑州航空工业管理学院 经济学院，郑州 450046；2. 南京大学 博士后流动站，南京 210093； 3.江苏银行 博士后工作站，南京 210006；4.南京大学 商学院，南京 210093）
  • 收稿日期:2019-04-17 出版日期:2019-11-12
  • 作者简介:李鹏（1977-），男，河南洛阳人，郑州航空工业管理学院经济学院副教授，经济学博士，研究方向：系统性风险与金融稳定；张润驰（1990-），男，南京人，南京大学博士后流动站/江苏银行博士后工作站联合培养博士后，研究方向：信用风险管理；毛德勇（1977-），男，湖南邵阳人，南京大学商学院博士研究生，研究方向：金融风险管理。
  • 基金资助:
    国家社会科学基金项目“互联网金融引致我国系统性金融风险的演化机理及综合管控研究”，项目编号：16BJY179。

Mixing Measure and Time-varying Drive of China′s Financial Stability

LI Peng1，ZHANG Run-chi2,3，MAO De-yong4   

  1. (1.School of Economics，Zhengzhou University of Aeronautics; Zhengzhou 450046，China； 2. Postdoctoral Research Station, Nanjing University, Nanjing 210093,China; 3.Postdoctoral Workstation, Bank of Jiangsu, Nanjing 210006, China； 4. School of Business, Nanjing University, Nanjing 210093,China)
  • Received:2019-04-17 Online:2019-11-12

摘要： 金融稳定是宏观经济平稳运行的重要前提。基于2006年至2017年宏观经济金融运行数据，采用混频向量自回归模型（MFVAR）构建我国金融稳定状况指数（FSCI），对我国金融稳定状况进行测度和评估，并利用时变参数向量自回归模型（TVP-VAR）分析其隐含的驱动因素。研究显示：总体上我国金融体系运行呈现趋稳态势，但2010年第3季度之前金融体系运行波动剧烈，在金融失衡和金融不稳定状态之间不断转换，之后则趋向相对稳定；同时也发现，股票市场为我国金融不稳定的主要风险策源地，而银行体系则成为维护金融稳定的压舱石；进一步研究表明，社会融资总规模在短期内对金融稳定冲击较大，而货币供给量则无论短期和长期均对金融稳定持续施加影响。以上结论的含义是，维护我国金融稳定，确保股票市场稳定运行至关重要，金融政策短期内应盯住社会融资总规模、长期内则应同时锚定货币供应量。

关键词: 金融稳定, MFVAR模型, FSCI, 社会融资规模, TVP-VAR模型

Abstract: Financial stability is an important prerequisite for the stable operation of macro-economy. Based on the macro-economic and financial operation data from 2006 to 2017, the financial stability index(FSCI) of China is constructed by using the mixing vector autoregression model(MFVAR) to measure and evaluate the financial stability of China, and the implicit driving factors are analyzed by using the time-varying parameter vector autoregression model(TVP-VAR).The results show that: in general, the operation of China′s financial system tendes to be stable, but before the third quarter of 2010, the operation of the financial system fluctuated violently, constantly changing between financial imbalance and financial instability, and then tended to be relatively stable;at the same time, it is also found that the stock market is the main source of financial instability in China, while the banking system is the ballast of maintaining financial stability; further research shows that the total scale of social financing has a great impact on financial stability in the short term, while the amount of money supply has a sustained impact on financial stability in both the short and long term.The meaning of the above conclusions is that it is very important to maintain the financial stability of our country and ensure the stable operation of the stock market. The financial policy should focus on the total scale of social financing in the short term and anchor the money supply in the long term.

Key words: financial stability, MFVAR Model, FSCI, social financing scale, TVP-VAR model