摘要
在构建度量我国系统性金融风险指标体系的基础上,应用SV-TVP-VAR模型分别从时间和时点维度来分析比较"价格型"和"数量型"货币政策对我国系统性金融风险的冲击效应,研究发现:在"价格型"货币政策的调控下,扩张性货币政策使流动性在短期内得到释放,同时也造成了金融风险的急剧增长;货币政策的调整对于系统性金融风险的冲击影响存在响应速度的差异,系统性金融风险受到"价格型"货币政策的单位正向冲击时衰减速度更快,而受到"数量型"货币政策的单位正向冲击时衰减速度较慢。因此,综合运用货币政策来降低系统性金融风险,有利于达到宏观经济和金融系统稳定发展的目标。
Based on the indicators of financial systemic risk of China,this paper utilizing the SV-TVP-VAR model empirically studied the time varying characteristics from time and point dimension of the regulation effect of price-and-quantity monetary policy. The results show that under the regulation of price monetary policy, the expansionary policy releases the liquidity in short, but results a sharp increase of financial risk. The financial systemic risk affected by the monetary policy is different: under the positive impact of price, it decreases faster; and under the positive impact of quantity, it decreases slower. Therefore,using the monetary policy integrated to reduce financial systemic risk is conductive to achieve the goal of stabilizing the macroeconomic and financial systems.
出处
《学术研究》
CSSCI
北大核心
2018年第3期106-114,178,共9页
Academic Research
基金
教育部人文社会科学重点研究基地重大项目"新常态下我国资本市场与经济增长的长期协调发展研究"(16JJD790016)
教育部哲学社会科学研究重大课题攻关项目"资本市场的系统性风险测度与防范体系构建研究"(17JZD016)的阶段性成果
国家自然科学基金面上项目"现代金融理论和金融实践的二重分歧及解决路径的理论与方法"(71273112)
