金融稳定与物价稳定、经济增长的动态关联性

The Dynamic Relationship between Financial Stability,Price Stability and Economic Growth

本文基于2002年第1季度至2014年第4季度的数据,构建中国金融稳定综合指数,并采用带有随机波动的时变参数向量自回归模型,对金融稳定与物价稳定、经济增长之间的动态关联性进行实证考察。结果表明:(1)自2002年第1季度以来,中国金融稳定性不断提升。(2)总体而言,各经济变量的脉冲响应强度随着滞后期的延长而逐渐减弱。(3)短期内,经济增长和物价稳定有利于金融稳定;中长期内,经济持续过热不利于金融稳定,物价上涨对金融稳定的负向影响强度逐渐减弱,并可能由负转正。(4)金融稳定对经济增长和物价稳定的影响随着经济环境的变化而发生变化。(5)与金融稳定对经济增长和物价稳定的影响相比,经济增长和物价稳定对金融稳定的影响强度更大、持续时间更长。

In this paper, we develop an aggregate financial stability index （AFSI） for China using quarterly data over the period March 2002 to December 2014. Then we empirically study the dynamic relationship be- tween financial stability, price stability and economic growth using the time - varying parameter VAR model with stochastic volatility. The empirical results indicate that： （1） since the fLrst quarter of 2{X}2, China＇s financial stability is being improved; （2） in general, the impulse response intensity of the three economic variables gradually decreases with the extension of lag periods; （3） economic growth and price stability conducive to financial stability in the short term, in the medium and long term, continued fast economic growth affects financial stability negatively, the negative impact of price increase on financial stability has gradually weakened, and even has a positive impact on the financial stability; （4） the influence of financial stability on economic growth and price stability changes along with the economic environment; （5） compared with the effect of finan- cial stability on economic growth and price stability, economic growth and price stability can affect financial sta- bility more significantly and persistently.