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运用金融压力来刻画系统性金融风险日益受到学术界和政策决策层的重视。本文从经济主体非理性行为范式出发,通过探讨金融压力的度量及其对宏观经济运行的影响机制,以此考察系统性金融风险的测度及其宏观经济效应。首先,运用复合式系统压力指标方法,通过设置时变权重从纵向和横向维度构建金融压力指数展开测度,试图反映经济主体心理与行为偏差引致的风险溢出和传染效应,进而体现系统性金融风险的内生性特征;然后,将金融压力进一步视为经济主体情绪过程的反映,并借鉴行为金融学领域中"情绪加速器机制"探讨和解释不同压力状态下金融压力影响宏观经济的非线性效应,在此基础上,建立Logistic平滑转换向量自回归模型进行检验。研究显示,各个金融子系统本身的压力状况及其关联程度,共同推动了金融压力总体状况在高低状态之间的转换;而且,"高压力"状态与"低压力"状态相比,金融压力对产出和价格的影响效应会更为显著,这意味着,系统性金融风险处于较高状态时,风险的积聚和释放会加剧宏观经济的波动。
Abstract：Finance stress is widely applied to depict systemic financial risk in academics and policy makers circle. Starting from the irrational behavior paradigm of economic subjects,this paper studies the measurement of finance stress and its macroeconomic effects by discussing the measurement of financial stress and its influence mechanism on macroeconomic operation. First,we apply composite indicator of systemic stress method to build financial stress index from the vertical and parallel dimension so as to reflect endogenous nature of risk. Second,we apply the sentiment acceleration to analyze its nonlinear effect on macroeconomic activity and establish the Logistic STVAR model in order to give empirical test. The result shows that the stress state of financial subsystem and the interaction jointly push the conversion between high and low stress. Compared to low stress state,finance stress has more significant effect on output and price in high stress state. This also means that the accumulation and release of risk can aggravate macroeconomic fluctuation in state of high systemic financial risk.
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(1)现有文献采用固定权重方法得到的金融压力指数,可以视为完全不相关情形下的指数。不难看出,该指数在金融压力状况平稳时被高估,而在金融压力状况显著时被低估。
(2)当子系统指数之间表现为负相关关系时,由CISS方法计算得到的压力指数会低于完全不相关的情形,尤其是在2009年之后表现更为明显。
(3)只有当子系统压力状况较高并且其关联程度较强时,才会导致金融压力出现极端高值,这也意味着金融体系可能全面爆发系统性风险。图2主要是指2008年8月至12月期间,金融压力指数分别达到了0.127、0.283、0.331、0.398和0.187。
(1)由图3所示,银行压力指数占总压力指数的比重从10.81%不断攀升至33.86%。
(1)不难看出,这一模型发现的金融压力与产出、价格存在的负相关关系,并非完全否认理性行为范式下的观点。
(1)事实上,Akerlof和Shiller(2009)指出,经济主体情绪还可以解读为超越理性的信心,而且,信心对收入的影响效应会在经济衰退时期更为显著,可见,这一观点与本文结论是一致的。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2017.01.007
中图分类号:F832.5
引用信息:
[1]张勇,彭礼杰,莫嘉浩.中国金融压力的度量及其宏观经济的非线性效应[J].统计研究,2017,34(01):67-79.DOI:10.19343/j.cnki.11-1302/c.2017.01.007.
基金信息:
教育部长江学者和创新团队发展计划资助项目“经济转型背景下稳定物价的货币政策”(IRT13020);教育部人文社会科学重点研究基地重大项目“人民币汇率制度弹性的测度、影响因素及其经济绩效研究”(15JJD790028)的资助;; 国家自然科学基金项目“中国金融压力、宏观经济波动与最优货币政策规则研究”(71473090)
2017-01-15
2017-01-15