我国金融不稳定性及其对宏观经济非对称影响分析

Research on Financial Instability and Asymmetric Effect on China’s Economy

本文首先通过马尔科夫区制转移的多元动态因子模型,得到能够反映我国金融系统内在不稳定性的潜在不可观测因子,分析了我国金融系统在"金融不稳定区制"和"金融稳定区制"下的不同特征;其次,本文以"金融不稳定性假说"、"金融加速器理论"等研究为理论基础,通过一个特定的马尔科夫区制转移的自回归模型MSIAH(M)-ARX(P)研究了我国金融系统不稳定性对宏观经济的非对称影响。实证结果表明,我国金融系统具有内在的周期不稳定性,并且在不同的经济增长状态下这种金融不稳定性对宏观经济的影响具有非对称性,在"高速增长"阶段对经济具有显著的正向放大作用,而在"适速增长"阶段的影响不显著。

Based on the multivariate dynamic factor model with regime switching, this paper uses a single underlying, unobserved variable to capture the inherent instability of China＇s financial system and to analyze the characteristics of the financial instability in two different regimes, i.e., ＂ instable regime＂ and ＂ stable regime＂ . According to ＂ Financial Instability Hypothesis＂, ＂Financial Accelerator Theory＂ and other related research on the relationship between financial instability and economy, we analyze the asymmetric effect of financial instability on China＇s economy using a specific Markov-Switching Auto-regression model MSIAH （M）-ARX （P）. Empirical results show that Chinese financial system has cyclical instability and the effect of financial instability on economy is asymmetric with regard to different regimes of economic growth. Specifically, the effect is significant and positive in ＂high-speed growth＂ regime, but not significant in ＂low-speed growth＂ regime.