中国的金融稳定及其产出与通货膨胀效应检验

China’s Financial Stability and the Test for Its Output and Inflation Effect

基于风险视角,从金融机构、金融市场以及宏观经济金融状况三个维度选取指标,结合主成分分析法与动态CRITIC赋权法构建了具有时变权重的中国金融稳定指数。选取带有随机波动率的时变参数向量自回归模型,对金融稳定的产出效应与通货膨胀效应进行了实证检验,研究结果表明:(1)货币政策的滞后性会导致金融稳定的"顺周期"现象产生,从而放大金融冲击的影响;(2)金融脆弱冲击对实际产出的抑制作用强于其促进作用,而金融稳定冲击对通货膨胀的抑制作用则要强于金融脆弱冲击对其的促进作用;(3)除了新常态时期金融稳定、脆弱冲击对通货膨胀影响差异较小外,在经济繁荣期、收缩期和新常态时期,保障金融稳定均为占优策略。鉴于此,应继续加强金融体系稳健性建设,防范金融"顺周期"的不良影响,加强金融风险防控与监管建设,在保障金融稳定的基础上实现经济稳定。

From the perspective of risk,the present study selects indicators from such three dimensions as financial institution,financial market,and macroeconomic and financial condition,combining a principal component analysis and a dynamic CRITIC weighting method to construct China’s financial stability index.Based on the time-varying parameter vector autoregressive model with stochastic volatility,the study empirically tests the output effect and the inflation effect of financial stability.The results show that:(1) the lag of monetary policy will lead to the "pro-cyclical" phenomenon of financial stability and therefore amplify the impact of financial shock;(2) the restraining effect of financial fragility shock on the actual output is stronger than the promoting effect of financial stability shock while the restraining effect of financial stability shock on inflation is stronger than the promoting effect of financial fragility shock;(3) with the exception that financial stability and fragility shocks show little difference in their impacts on inflation in the new normal period,guaranteeing financial stability is the dominant strategy in the period of economic boom,recession and the new normal period.In view of this,departments concerned should strengthen the construction of a robust financial system,guard against the adverse effects of the "pro-cyclical" financial system,and reinforce the prevention and control of financial risks as well as the supervision to achieve the stability of both economy and finance.