金融异质性、金融调整渠道与中国外部失衡短期波动——基于G20国家数据的门限效应分析

Financial Heterogeneity,Financial Channel and the Short-term Fluctuation of China's External Imbalances: a Threshold Effect Analysis Based on G20 Data

本文基于Hansen提出的面板门限回归模型,在构造包括经常项目和资本项目差额的短期外部失衡指标基础上,利用G20国家面板数据从国家间金融异质性视角检验了金融渠道调节外部失衡的非线性影响,结果发现:代表金融市场结构差异的国内私营部门银行信贷/GDP、权益证券组合投资净流入/GDP和银行贷存比指标,及代表金融干预水平差异的总储备资产/GDP指标,会使金融渠道调节失衡产生门限效应,而代表金融开放度的指标在短期内门限效应不显著。这也是导致中美两国金融渠道调节失衡效果出现差异的原因之一。中国应通过调整金融市场结构、降低对银行间接融资依赖、提升对外投资收益率、在保证充足调控能力基础上适当减少官方储备等,提升金融渠道调节外部失衡效用。

Based on the panel threshold model by Hansen, this paper studies on the non - linear effects of financial channel from the perspective of heterogeneity with short - term imbalance index and G20 data. The results show that：the domestic private sector bank credit/GDP,equity investment net inflow/GDP and bank loan -to- deposit ratio, which represent the differences in financial market structure, and the total reserves/GDP that represents differences in financial interventions, these four cause a threshold effect about financial channel regulating imbalance, but the effect caused by financial openness is non - significant. Conclusion above can be used to explain the differences of financial channel utility between China and the U.S. China should adjust the financial market structure, lower financing of banks, improve return on outflow investment, appropriately reduce official reserves, to enhance the effectiveness of financial channels.