金融冲击对中国实体经济的动态影响

Dynamic Effect of Financial Shocks on Real Economy in China——Empirical Evidence from TVP-VAR Model

根据中国金融体系的特征,本文利用时变参数向量自回归(TVP-VAR)模型,选取银行贷款、影子银行、银行间7天回购利率、房地产价格、上证综指和企业债信用价差等六个变量刻画中国金融部门和资本市场,考察金融冲击对实体经济短期波动的影响及其动态变化。实证结果表明:2010年1月至2019年6月期间,金融冲击对中国GDP增速波动的影响程度是随时间不断变化的;金融冲击对GDP增速的时变性是金融冲击自身大小及其向经济波动传导关系两方面的时变性共同作用的结果;市场自身波动、监管政策变动等是导致金融冲击对实体经济冲击程度变化的重要因素。

This paper investigates the dynamic contribution of banking loan,shadow banking,7-day repo rate in interbank market,housing price,stock market price and credit spread of corporate bonds to China gross domestic product growth based on a time-varying parameter vector autoregressive(TVP-VAR)model.We have following empirical findings.Firstly,there was non-negligible time variation in the contribution of financial shocks to GDP growth over the period 2010-2019.Secondly,the time-varying effects could be attributed to changes in the size of financial shocks as well as changes in the transmission mechanism of financial shocks to GDP growth.Thirdly,the share of GDP growth variance explained by the financial shock tended to increase when the corresponding market experienced higher stress or harsher regulatory policy.