金融摩擦、金融波动性及其对经济的影响

Financial Friction, Financial Volatility and Their Economic Effects

2007年国际金融危机的爆发使人们逐渐认识到传统的将金融部门简化处理方式的局限性,政府和学界都开始着手于金融部门与经济关系的研究。通过银行和其储户建立的委托代理人模型显示,金融波动性能够反映金融摩擦的变动,而金融摩擦又直接决定了经济的整体效率。利用向量自回归模型对金融波动性和中国其他主要宏观经济变量进行实证检验,研究结果表明经济波动的一个重要的来源是金融摩擦。由金融摩擦引致的金融波动性的变化与实际经济变化是正相关的,将金融摩擦纳入模型能够改善模型的预测能力。

The 2007 international financial crisis made people realize the limitation of the traditional simplified treatment of financial departments. Both the government and academic cycle have begun to research the relationship between finance and economy. The principal-agent model of bank and depositor shows that financial volatility can represent the financial friction, and the whole economic efficiency depends on financial friction. By conducting an empirical test on financial volatility and other primary macroeconomic variables by VAR, we find that a main resource of economic volatility is financial friction, and that putting financial friction in the model can improve the models prediction ability.