中国经济金融化的宏观效应研究

Research on the Macroscopic Effect of China’s Economic Financialization

文章基于主成分分析法度量经济金融化的综合性指数来描述中国金融化的波动特征,同时运用TVP-VAR模型分析其对中国宏观经济的影响,结果表明:(1)金融化的波动具有明显的区制特征和非对称性。(2)金融化冲击对产出缺口和通货膨胀都有显著的时变影响。短期金融化冲击会迅速导致产出缺口扩大和通货膨胀加剧,经济的波动效应和通货膨胀压力比较明显,长期随着金融体系和金融制度的完善,金融化冲击导致的经济波动效应和通货膨胀效应会显著弱化,最终起到抑制作用。(3)金融化冲击的"价格效应"比"产出效应"更显著。

Based on principal component analysis(PCA),this paper measures a comprehensive index of economic financialization to describe the fluctuation characteristics of China’s financialization.The paper also uses TVP-VAR model to analyze its impact on China’s macro economy.The research results go as follows:(1)The fluctuation of financialization has obvious regional characteristics and asymmetry.(2)The shock of financialization has significant time-varying effects on output gap and inflation;short-term financialization shock will quickly lead to a widening of output gap and rising inflation;economic fluctuation effects and inflationa pressures are more apparent;with the development and improvement of financial system in the long term,the economic fluctuation effect and inflation effect caused by financialization shock will be significantly weakened,and ultimately play a suppressive role.(3)The"price effect"of financialization shock is more obvious than the"output effect".