中国金融市场对实体经济冲击的非对称性分析

Asymmetry Analysis of the Impact of China’s Financial Market on Real Economy

文章通过构建混频时变参数因子扩展向量自回归(TVP-FAVAR)模型,测度动态金融状况指数(FCI)。然后利用动态FCI表征金融市场,基于马尔科夫区制转换向量自回归(MS-VAR)模型分析金融市场的变动对实体经济冲击的非对称性。实证结果表明:金融市场对实体经济的单向溢出作用较大,实体经济对金融市场的带动作用有限。此外,金融市场通过股票、利率、汇率以及货币等多种渠道影响实体经济,而且随着经济金融状态的不同,金融市场对实体经济的冲击存在差异性。因此,FCI作为实体经济的预警指数,能更有效地表征金融市场对实体经济冲击的非对称性特征。

This paper measures the dynamic financial condition index(FCI) by constructing the mixed frequency time-varying parameter factor extended vector autoregressive(TVP-FAVAR) model. Then, the dynamic FCI is used to characterize the financial market, and the asymmetry of the impact of financial market changes on the real economy is analyzed based on the Markov switching vector autoregressive(MS-VAR) model. The empirical results show that the one-way spillover effect of the financial market on the real economy is great, while the driving effect of the real economy on the financial market is limited. In addition, the financial market influences the real economy through various channels, such as stocks, interest rates, exchange rates and currencies. Moreover, with the different economic and financial states, the impact of financial markets on the real economy is different.Therefore, as an early warning index of the real economy, FCI can more effectively represent the asymmetric characteristics of the impact of financial markets on the real economy.