中国金融稳定性的度量及其与主要宏观经济变量的关系

The Financial Soundness and Its Relationship with Main Macroeconomic Variables in China

金融不稳定是引起和放大宏观经济波动的重要因素。本文通过考察中国上市公司破产距离的分布特征和变动规律,度量并分析了1996~2013年之间中国金融稳定性的波动态势,分析表明,本文度量的金融稳定性指数不仅反映了金融市场的波动现实,而且包含了重要的宏观经济信息。进一步,本文通过构建TVP-VAR模型深入分析了中国金融稳定性与通货膨胀率、经济增长率之间的时变影响动态。结果表明宏观经济冲击对金融稳定性的影响较为稳定,而金融稳定性变动对宏观经济目标变量的冲击具有明显的时变特征,且金融稳定的“价格效应”明显大于“产出效应”。

This paper measures the financial soundness in China in the years of 1996-2013,based on analyzing the distribution characteristics listing Corporation s distance to insolvency.Analysis results show that,the financial soundness index measured in this paper contains future macroeconomic information.Furthermore,this paper analyzes the time-varying interactive effects between financial soundness and main macroeconomic variables by structuring the TVP-VAR model.The results show that the impacts of macroeconomic shocks on the financial soundness are relatively stable,while the impacts of the financial soundness changes on macroeconomic target variables have obvious time-varying characteristics,and the“price effect”of financial stability is obviously larger than the“output effect”.