中国系统性金融风险及其对金融周期、经济周期的影响动态

China’s Systemic Financial Risk and Its Dynamic Impact on Financial and Business Cycles

基于“市场活性”和“谐振强度”两个方面,本文提出系统性金融风险指数SFRI构建方法。在考察1998年1月至2019年9月我国金融风险变动态势的基础上,运用非线性动态计量模型进一步分析我国金融风险变动对金融周期、经济周期的影响机理。研究发现:(1)本文构建的系统性金融风险指数不仅反映了我国金融风险“快积聚、慢消融”的非对称性特征,而且与宏观经济和金融形势存在密切的关联动态。(2)金融风险变动对金融周期、经济周期的非对称性影响存在明显差异,金融风险上升对金融周期的负向影响强于金融风险下降对金融周期的正向影响;而其对经济周期的影响相对较弱且存在时变性。(3)金融风险对金融周期、经济周期的影响存在区制效应,在高金融风险区制内金融风险上升对金融周期、经济周期的负向影响显著强于低金融风险区制,而在所有区制下金融风险对金融周期的负向影响均显著强于其对经济周期的影响。上述结论为建立金融风险防范预警体系、进一步完善宏观审慎政策提供了新的经验依据和有益的政策启示。

In this article, a new financial risk measurement, Systemic Financial Risk Index(SFRI) was proposed. Further, on the basis of measuring China’s systemic financial risk in recent decades, the dynamic impact of financial risk on business and financial cycles are empirically analyzed with non-linear models. It is revealed that(1) China’s systemic financial risk gathers rapidly and scatters rather slowly, and is closely connected with financial system and macroeconomy;(2) the change of financial risk affects financial market and macroeconomy in a non-symmetric way, the increasing of SFRI draws negative impact on finance cycle which is significantly stronger than that of the positive impact drawn by its decreasing, while it affects business cycle in a much weaker as well as time-varying pattern;(3)the growth of financial risk exerts non-linear impact on financial market and macroeconomy, negative impact observed in the high regime is far more severe than that in low regime, besides, its impact on financial cycle is stronger than business cycle in all regimes. The mentioned results could provide new empirical basis and beneficial policy enlightenment for the establishment of financial risk alarming system and probable improvement of macro-prudential policy.