利率冲击、汇率波动与金融安全——基于宏观稳定视角的研究

Interest rate shocks,exchange rate volatility and financial security:a study based on macro-stability perspective

通过利用TVP-SV-VAR模型,选取2006年至2018年的月度数据,分析人民币利率冲击和汇率波动对金融安全的时变效应。研究发现,三者之间的联动关系具有明显的时变特征,并且在不同政策和不同时期背景下的影响程度有所变化。利率冲击对金融安全的影响有限,说明我国的利率市场化的结构完善程度不高,且与金融市场的传导机制效应不明显。利率冲击和利率波动对金融安全的冲击在经济危机时期影响最强,在经济新常态时期影响较弱;汇率冲击对金融安全的影响更为显著,但整体上呈现出下降趋势。

This paper analyzes the time-varying effects of RMB interest rate shocks and exchange rate fluctuations on financial security by using a TVP-SV-VAR model with monthly data selected from 2006 to 2018.It is found that the linkage between the three has obvious time-varying characteristics,and that the degree of impact varies in the context of different policies and periods.The impact of interest rate shocks on financial security indicates that the structure of interest rate marketization in China is not robust,and the effect of transmission mechanism with financial market is not obvious.The impact of interest rate shocks and interest rate fluctuations on financial security is the strongest during the economic crisis but becomes weaker during the new economic normal.The impact of exchange rate shocks on financial security is more significant but shows a downward trend in general.