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本文应用面板门槛模型,研究了2005-2017年间我国31个省(市、自治区)金融波动对经济增长的影响。研究发现,随着金融周期所处阶段的变化,金融波动对经济增长会产生显著的非对称性双重门槛效应,主要体现为如下两点:首先,金融周期处于膨胀期、平稳期和萧条期时金融波动对经济增长会产生负向影响,但从影响系数值的大小来看,处于膨胀期时最大,是后两者的2倍之多,处于平稳期时最小且并不显著;其次,分区域的稳健性检验表明,金融发展水平高的区域双重门槛值出现得早,且两个门槛值间的区间要比金融发展水平低的区域宽28%。这些结论说明,经济增长对于金融波动的容忍弹性会随着金融周期所处的阶段而变化,金融发展水平的提高会放大经济增长对金融波动的容忍区间,但也会加速金融周期处于膨胀期时爆发金融危机的可能性,这使得当前我国存在着进一步发展金融水平和严控金融风险的矛盾,对此本文也提出了相应的政策建议。
Abstract：This paper studies the impact of financial volatility on economic growth in 31 provinces(municipalities and autonomous regions) of China between 2005 and 2017 using the panel threshold model. The study finds that with the change of the stage of financial cycle, financial fluctuation will have a significant asymmetric double threshold effect on economic growth, which is mainly reflected in the following two aspects: firstly, when the financial cycle is in the periods of inflation, stability and depression, the financial fluctuation will have a negative impact on economic growth, but from the magnitude of the impact coefficient, when the financial cycle is in the period of inflation, it is twice as much as that of the latter two, and when the financial cycle is in the period of stability, it is the smallest and not significant; secondly, the robustness test shows that the double thresholds of regions with high level of financial development appear early, and the interval between the two thresholds is 28% wider than that of regions with low level of financial development. These conclusions show that the resilience of economic growth to financial fluctuation will change with the stage of financial cycle, and be affected by the level of financial development; the improvement of financial development level will enlarge the tolerance range of economic growth to financial fluctuation, but will also accelerate the possibility of financial crisis when the financial cycle is in the inflation stage, which leads to the conflict between further financial development and strict control of financial risks in China. For this we also put forward corresponding policy suggestions.
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(1)Demyanyk和Hemert(2011)[13]认为金融周期是一种金融系统的中周期波动,即剔除了短期的金融波动和长期的趋势项。由于一般的文献都不研究时间序列的趋势项,因此本文将金融周期定义为金融系统变量中相对于短期金融波动的长期波动成分。
(2)除特殊说明,本文所采用的数据皆来源于wind数据库和国家统计局网站。
(3)在进行主成分分析时综合考虑了样本总方差以及特征值的相对大小,选取了Creditit、Hpriceit和CGRit等三个指标的前m个主成分进行加权得到各省份的FPCAit,即FPCAit=αi*Creditit+βi*Hpriceit+γi*CGRit,其中αi、βi和γi为第i个省份的加权系数,所取的m使得累积贡献率达到85%以上。关于应用主成分分析提取金融周期的方法可以参见范小云等(2017)[19]的研究。
(4)波动频率ω取值区间为(0,π],完成一个周期波动需要的时期数为2π/ω。如果ω取值靠近0表示波动周期很长,为低频波动分量;而靠近π值表示波动周期很短,如果ω取值π时表示2个时期完成一个周期波动,为最高频的波动周期分量。
(5)波动周期为2年对应着最高频的波动分量,频率为π,波动周期为8年对应着波动频率ω为π/4。此处选定金融波动的频率范围为[π/4,π]具有一定的主观性,下文将改变该范围以进行稳健性检验。
(6)本文关于金融周期阶段的划分与已有文献有所区别。已有文献一般根据波峰和波谷等拐点将金融周期划分为下行期和上升期,主要强调金融系统的动态走势,而本文关于金融周期的划分主要强调的是从长期来看金融系统所处的状态区间。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2019.10.006
中图分类号:F832;F124.8
引用信息:
[1]刘尧成,李想.金融周期、金融波动与中国经济增长——基于省际面板门槛模型的研究[J].统计研究,2019,36(10):74-86.DOI:10.19343/j.cnki.11-1302/c.2019.10.006.
基金信息:
国家社会科学基金一般项目“金融周期对中国经济波动的影响机制与应对策略研究”(19BJL020)的阶段性成果
2019-10-25
2019-10-25