我国金融市场独立性及对实体经济的非对称效应研究

China’s Financial Market Independence and Its Asymmetric Effect on Real Economy

了解金融系统与实体经济间的联动关系及金融市场周期性波动对实体经济的影响,有助于合理防范化解金融风险并促进经济增长。本文基于时变协整模型及非线性格兰杰因果关系检验,从动态视角证明金融市场并非独立于实体经济存在;从整体水平、增长趋势和周期波动三个维度,应用NARDL模型并结合动态乘数响应图从短期、长期、持续性方面深入剖析了金融条件指数FCI对实体经济的作用机制。研究发现:金融市场发展状况良好虽然能够带动实体经济发展,但并非经济增长的动力来源,无法引导经济增长趋势发生根本性变化;金融市场短期或暂时的状况恶化对实体经济存在显著负向影响,但长期来看,这种影响效应并不持续,若金融市场状况持续恶化形成显著的下行趋势,则会阻碍实体经济的长期增长。

Understanding the linkage between the financial system and the real economy and the impact of the cyclical fluctuations in the financial market on the real economy can help prevent and resolve financial risks and promote economic growth.Based on the time-varying co-integration model and the non-linear Granger causality test,this paper,from a dynamic perspective,proves that the financial market is not independent of the real economy;from the three dimensions of overall level,growth trend and cyclical fluctuation,the NARDL model and dynamic multiplier response graph are used to deeply analyze the mechanism of the financial condition index FCI on the real economy from the short-term,long-term and sustainability aspects.The study found that although the development of the financial market can drive the real economy,it is not the source of economic growth and cannot lead to fundamental changes in the economic growth trend;the short-term or temporary deterioration of the financial market has a significant negative impact on the real economy.However,in the long run,this effect does not last.If the financial market conditions continue to deteriorate and form a significant downward trend,it will hinder the long-term growth of the real economy.