我国金融市场压力对宏观经济的非线性效应——基于子市场内部压力及跨市场压力溢出双视角

Financial Market Stresses’s Non-linear Effects on Macro Economy in China:Based on Internal Market Stresses and Cross-market Stresses Spillover

为了揭示我国金融压力对宏观经济的影响,本文构建了我国金融子市场的压力指数,并运用溢出指数法度量了市场间压力溢出的大小和变化,然后采用T-SVAR方法检验了金融市场压力、压力溢出对宏观经济的非线性效应。结果显示,股市和楼市是跨市场压力的主要输出者,而信贷和债市是跨市场压力的主要接受者;金融压力与宏观经济的关联存在显著的非对称性和市场差异性,并呈现出自我修复和恶性循环两种现象,其中恶性修复和恶性循环分别为市场内部压力与宏观经济、跨市场压力溢出与宏观经济关联中最为普遍的现象。这些研究能够为宏观经济调控和系统性风险监测提供更为精准的经验依据,以便更好地在实践中平衡"稳增长"与"防风险"的关系。

This paper constructs the financial stress indexes of five major financial sub-markets in China,including stock market,bond market,foreign exchange market,real estate market and credit market.Then,it analyzes the time-varying stresses spillover effect among financial markets by using the generalized spillover index model,and further discusses how financial stresses have a impact of macro economy via the T-SVAR method.Some results are achieved as followed:stock market and real estate market are the main contagion centers,while bond market and credit market are the main victims;The relation between financial stresses and macro economy are asymmetric and market-different,which can be represented in two forms:self-repair and vicious circle;The vicious self-repair is the most common phenomena in the relation between internal market stresses and macro economy,while cross-market stresses and macro economy are easy to get caught in a vicious cycle.On this basis,this paper can provide more accurate empirical evidence for macroeconomic management and financial stresses supervision,contributing to maintain steady growth and prevent risk.