金融不确定性对我国系统性金融风险的影响机制及其时变性研究

Research on the Influence Mechanism and Time Variability of Financial Uncertainty on Systemic Financial Risk in China

金融不确定性从理论和实践上都会增大一国的系统性金融风险,但其作用效果在不同的经济金融环境下具有时变性和门限效应。本文从理论上厘清了金融不确定性对系统性金融风险的影响机制,构建了能够充分反映现阶段中国金融资产结构特征的金融不确定性指数,进而采用包含潜在门限因子的LT-TVP-VAR模型进行实证检验和时变性研究。研究发现:(1)与预期相反,金融不确定性带动我国资产价格上涨,对经济增长的负面影响也逐渐降低。因此,其影响系统性风险的传导机制受到严重制约,作用逐渐减弱。(2)我国房地产金融化加剧,导致传统货币政策促进经济增长和防范系统性金融风险的作用受限,需要结构型工具对金融不确定性的影响进行精准调控。

Financial uncertainty will increase a country*s systemic financial risk in theory and practice,but the effect is time-varying and nonlinear in different economic and financial environments.This paper clarifies the in fluence mechanism of financial uncertainty on systemic financial risk,and constructs a financial uncertainty index that can fully reflect the characteristics of China's financial asset structure currently;then adopts the Latent Threshold Time-Varying Parameter Vector Auto-Regression Model to test the impact mechanism and time variability of financial uncertainty on China's systemic financial risk.The main conclusions include:(1)Contrary to expectations,financial uncertainty will drive the rise of asset prices.Its negative impact on economic growth is also gradually decreasing.Therefore,its transmission mechanism affecting systemic financial risk is seriously restricted,and its in fluence is gradually weakened.(2)With the intensification of real estate financialization,traditional monetary policy plays a limited role in promoting economic growth and preventing systemic financial risks.So structural instruments are needed to accurately regulate the impact of financial uncertainty.