金融区制、经济不确定性和居民消费

Financial Regimes,Economic Uncertainty Shocks and Consumption

金融危机和新冠疫情等事件的发生导致宏观经济充满不确定性,并通过多种途径影响到居民消费。文章主要考虑这种不确定性向消费传导过程中金融因素的作用;并提出一个基于随机波动率的时变权重金融状况指数,用以描述中国金融状况的变化;同时将其作为划分金融区制的门限变量,基于门限回归和引入内生不确定性机制的含共同均值波动率的门限向量自回归(TVAR-CSVM)模型,分析不同金融区制下不确定性冲击对居民消费的非线性影响。结果表明:在金融扩张区制,居民消费受到一单位经济不确定性冲击后会在短期内略微下降,但是在良好的金融状况下由于宽松的信贷条件、充足的流动性、消费者的信心以及预期等因素的作用,经济不确定性对消费的抑制效应会出现反转,在中长期内刺激消费的增加;而在金融紧缩区制,不确定性冲击对居民消费产生显著的抑制作用。文章认为,保持良好的金融状况有助于缓解经济不确定性对消费的负向影响。

Recently,due to the shocks from financial crisis and well as the attack of COVID-19 pandemic,the whole world is full of uncertainty,which significantly influences the household consumptions via various channels.In this paper,we study how financial factors may affect such transmission of uncertainty to consumption.This paper proposes a novel index for financial conditions based on the stochastic volatility models.Based on this constructed index,the economy is classified into those with different financial regimes.Based on the threshold regression method as well as the newly-proposed TVAR-CSVM model,we analyze how uncertainty may have differentiated impacts on household’s consumption under different financial regimes.The empirical results indicate that,when the economy is under financial expansion,the consumption slightly decreases on the impact of the uncertainty shock,while increasing in the long run due to loose credit ration,ample liquidity,as well as consumer’s confidence and optimistic expectation.On the contrary,during the period of financial contraction,uncertainty significantly depresses household’s consumption.The policy implication of this paper is that,a better financial condition may greatly offset the negative impacts from the uncertainty on the consumption.