宏观分析新范式下的金融风险与经济增长——兼论新型冠状病毒肺炎疫情冲击与在险增长

Financial Risk and Economic Growth under the New Paradigm of Macro-analysis on the Impact of the Covid-19 Pandemic and Growth at Risk

本文通过在险增长模型将金融风险与经济增长置于统一的分析框架中,从当期风险概率分布及跨期风险替代两个角度分析了金融环境(风险)对经济增长的影响。本文利用大量基础指标合成的金融条件和宏观金融脆弱性指数反映中国宏观金融的周期性特征。在险增长经验结果显示:(1)金融环境偏紧和宏观金融脆弱性上升都会对经济增长都产生显著的负面影响;(2)基于2008年全球金融危机的政策应对及始于2015年的供给侧结构性改革的分析表明,宽松(收紧)政策虽然促进(抑制)短期经济增长,但会抑制(促进)长期增长潜力;(3)新型冠状病毒肺炎疫情的负面冲击效果主要体现在短期,长期影响较小。这意味着,面临当前疫情冲击,必须处理好稳增长与防风险的动态平衡。

Summary:“Bring the finance back in”is the mission of the new paradigm of macro analysis.From the study of the financial cycle emphasized by the Bank for International Settlements,the research of the financial network promoted by the European Central Bank,and the macro-financial linkage framework established by the International Monetary Fund,all aim to better explore the correlation and propagation effects between macroeconomy and finance,in order to build the“financial pillar”of macroeconomics.Although these studies lack the support of more mature theoretical models,their application in policy analysis has made practice ahead of the theory,thus preparing conditions for the formation of a new theoretical paradigm.The enlightenment of the global financial crisis to policy makers is that the financial environment can provide valuable information for future growth risk,thus laying the foundation for taking precise preventive measures.Macro-financial linkage analysis,especially the indicator of Growth at Risk(GaR),actually provides a new approach for discussing stable growth and risk prevention in a unified framework.This paper discusses the relationship between China s financial environment(risk)and economic growth using the GaR model.We first construct indexes reflecting financial conditions,macro-financial vulnerability,and external environment with a large number of basic indicators.We further examine the impact of these indexes on the probability distribution of economic growth,including both growth expectations and tail risks of growth.The empirical analysis shows that:(1)China s financial environment and macro-financial vulnerability both have significant negative effects on economic growth.Either in short-term or in long-term,the negative impact of macro-financial vulnerability is more severe and more significant than that of financial conditions.(2)The empirical analysis based on the policy response to the 2008 global financial crisis and the supply-side structural reforms starting in 2015 show that although loosening(tightening)policies promote(suppress)short-term economic growth,they will inhibit(promote)the growth potential in the long-term,which is mainly due to the increased financial imbalances and macro-financial vulnerabilities caused by short-term loosening policy.(3)Under the current exogenous impact of the covid-19 pandemic,the short-term growth is expected to decline significantly,while the long-term growth is not much affected.The previous supply-side structural reforms also provide a large space for the current countercyclical policy.Based on the above findings and against the backdrop of the covid-19 pandemic,we should maintain the dynamic balance between steady growth and risk prevention.First,taking“to be or not to be”issue as the top priority,and never forgetting the risk of the“surging floods”of unlimited QE.Second,the indicator of Growth at Risk can be introduced to provide a new perspective and reference benchmark for stabilization policy.Third,since more risk accumulated in the public sector,it is necessary to promote the market-based risk sharing mechanism,among which the development of private sector is crucial.