金融资产结构与经济波动关联性的实证研究——基于VAR模型的分析

An Empirical Study on the Relevance between Financial Asset Structure and Economic Fluctuation——Analysis Based on VAR Model

金融资产结构与宏观经济波动是关联的,金融资产结构的变化会冲击实体经济,从而形成经济周期波动。基于中国时序数据的脉冲响应函数检验和方差分解结果显示,金融资产结构的变化不仅会冲击宏观经济,而且这种冲击作用将会持续7～10年的时间。短期和长期的冲击作用有可能是截然相反的。

Financial asset structure is closely related with macro-economic fluctuation.Changes in the financial asset structure will impact the real economy and lead to economic fluctuation.The impulse response function and variance decomposition based on time series data show that the changes of financial asset structure will impact macro-economy for more than seven to ten years.The short-term impact and long-term impact may be contrary to each other.