中国区域金融周期的时变特征及区域溢出联动性——基于LASSO-VAR模型的研究

Time-varying Characteristics of Regional Financial Cycles and Regional Spillover Linkages in China——Based on LASSO-VAR Model

本文将金融周期的研究拓展到一国区域内,从理论、制度背景以及特征事实视角论证了中国区域金融周期的存在性。研究发现:(1)中国区域金融周期波动存在非同步性,衰退期金融发达地区表现更差,土地财政是强化区域金融周期顺周期的关键性制度背景;(2)中国区域金融周期波动溢出具有阶段性特征,不同时期和不同地区在金融周期波动溢出中发挥的作用不同,特别是在受到极端风险事件影响时,溢出方向会发生改变;(3)从驱动因素看,省际间财政赤字压力差距、产业结构相似性、数字金融发展差异、人口流动是区域金融周期波动溢出的主要因素。因此,中国宏观审慎政策的实施要关注区域金融周期波动的网络关联性,因时因地"对症下药"才能阻断跨区域风险传染,达到有效防范和化解区域金融风险的效果。

This paper expands the study of the financial cycle to regions within a country,and demonstrates the existence of regional financial cycles from the perspectives of theory,institutional background and stylized facts.The research finds:(1)The fluctuations of regional financial cycles in China are asynchronous,and the performance of financially developed areas in recession is even worse.Land finance is the key institutional background to strengthen the procyclicality of regional financial cycles;(2)Spillover of the volatility of China’s regional financial cycles has staging characteristics,with different regions playing different roles in financial cycle volatility spillover in different periods and spillover may change its direction in the occurrence of extreme risk events;(3)From the perspective of driving factors,gaps among provinces in fiscal deficit pressure,similarities in industrial structure,and differences in digital financial development,and population mobility are the main factors of spillover of regional financial cycle fluctuations.The implementation of macro-prudential policies should pay attention to the network correlation of regional financial cycles.Only by“prescribing the right medicine”according to time and place can cross-regional risk contagion be blocked and regional financial risks be prevented and resolved effectively.