中国安全金融资产短缺的测度与影响因素研究

A Study on the Measurement and Influencing Factors of China’s Safe Financial Assets Shortage

本文在资产短缺C—I指数的基础之上构建了SAR指数，即安全资产占据整体金融资产的比例。基于2001年第一季度至2016年第三季度的数据，通过C—I指数和SAR指数测度了中国资产短缺的程度和安全资产占比的变化趋势，并分别通过协整检验和VEC模型分析两种指数的长期影响因素和短期影响因素。研究结果显示：（1）中国安全资产短缺的状况持续加剧。（2）长期来看，同业拆借率的下降会恶化资产短缺和安全资产短缺；资产短缺和安全资产短缺都会导致房地产行业过热；金融发展程度和实际利率的上升会缓解资产短缺，但是会造成安全资产占比下滑。（3）短期来看，房地产景气指数和实际利率对于C—I指数的短期影响均与长期影响相反，金融发展程度和同业拆借率对C—I指数的短期影响仅在滞后1期的情况下与长期影响相反；房地产景气指数和同业拆借率对于SAR指数的短期影响与长期影响相反。

Based on the asset shortage C -I index, this paper constructs the SAR index, which is the proportion of security assets in the overall financial assets. Based on the data from the first quarter of 2001 to the third quarter of 2016, the C -I index and the SAR index were used to meas- ure the degree of China＇ s asset shortage and the trend of the proportion of safe assets. The two inde- xes were analyzed by cointegration test and VEC model respectively. Long - term influencing factors and short -term influencing factors. The results show that： （1） China＇ s security asset shortage continues to increase. （2） In the long run, the decline in interbank lending rate will worsen asset shortages and shortage of security assets; asset shortages and shortage of security assets will lead to overheating of the real estate industry; The increase in development level and real interest rate will alle- viate the asset shortage, but it will lead to a decline in the proportion of safe assets. （3） In the short term, the short -term impact of the real estate sentiment index and real interest rate on the C -I index is opposite to the long -term impact, the degree of financial development and the short - term impact of interbank lending rate on C - I index is only opposite to long- term impact in the case of lagging one phase; the short -term impact of real estate sentiment index and interbank lending rate on SAR index is opposite to long - term impact.