粤港澳大湾区金融失衡指数的构建及其应用

The construction and application of Guangdong-Hong Kong-Macao greater bay area financial imbalance index

以粤港澳大湾区为对象,基于商品房售价、股票市场、投资形势、融资情况、银行利差五个方面构建区域金融失衡指数,通过Granger因果关系检验、建立VAR模型和脉冲响应函数分析对其有效性进行检验,并对粤港澳大湾区整体及其中的一线城市,二线城市,港澳城市四个维度进行实证分析对比研究,结果表明:该区域金融失衡指数具有有效性和领先性,金融失衡主要产生于房地产领域及社会融资行为,其中港澳维度波动更为剧烈,为宏观调控决策提供参考信息。

Taking Guangdong-Hong Kong-Macao Greater Bay Area(GHMGBA) as the object,the regional financial imbalance index is constructed by five aspects:the selling price of commercial housing,the stock market,the investment situation,the financing situation and the bank interest rate difference.Granger causality test,VAR model and impulse response function analysis are established to test the effectiveness of the regional financial imbalance index,and compare the four dimensions of GHMGBA and its first-tier cities,second-tier cities,Hong Kong and Macao cities.The results show that the regional financial imbalance index is effective and leading,and financial imbalance is mainly caused by the real estate sector and social financing behaviors,among which the fluctuation of Hong Kong and Macao dimension is more severe,providing reference information for macro-control decisions.