金融机构脆弱性与经济增长的区制关联性研究

A Study on the Correlation between Financial Institution Fragility and Economic Growth in Different Regimes

美国次贷危机和欧债危机的接踵爆发使得金融机构脆弱性成为了金融经济领域研究的重要议题。金融机构脆弱性受多方面因素共同影响,其中,宏观经济形势与其密切相关。本文采用滚动相关系数与区制转移模型探究了金融机构脆弱性与经济增长间的关联机制,研究结果表明:金融机构脆弱性与经济增长之间存在两种相反的相关区制;经济繁荣时,过度经济增长会使金融机构脆弱性水平上升,经济紧缩时,适度的经济增长反而有利于金融稳定;此外,金融机构脆弱性处于高波动区制时,其持续期往往较长。

With the outbreak of subprime crisis and European debt crisis in succession, finan- cial institution stability has become an important issue in financial and economic research. A great many factors influence financial institution stability, and macroeconomic situation affects a lot. In this paper, we use rolling correlation coefficient and regime switching model to research the correla-tion between financial institution fragility and economic growth. The results show that there are two kinds of converse correlation regime between financial institution fragility and economic growth. Eco- nomic growth can improve financial institution fragility during a boom and it may weaken the finan- cial institution fragility when suffering the recession. Moreover, financial institution fragility may maintain for a long time in a high fluctuation regime.