财政金融统一框架下的金融风险测度与分析——基于非线性网络关联的方法

Measurement and Analysis of Financial Risk within a Unified Fiscal/Financial Framework:Based on a Nonlinear Network Connectedness Approach

当下既往仅考虑货币政策的框架下的金融风险防范与治理思路面临诸多挑战,亟须在系统观念指导下,增强货币政策与财政政策的协同配合。在财政金融统一框架下,引入非线性网络关联方法测度发现,存在由财政政策变量到货币政策变量、再到金融风险变量的网络关联关系;使用脉冲响应分析方法检验发现,财政支出规模与政府债务增加额存在正向冲击关系,而地方债、城投债增加额也会对货币供应量增额产生正向冲击;基于非线性网络关联方法检验发现,由货币政策变量到系统关联成分的网络关联系数(0.15)大于其到尾部风险成分的网络关联系数(0.04),且同时存在尾部风险成分到货币政策变量的网络关联关系。这些发现为坚持系统观念,统筹发挥货币政策与财政政策在防范重大风险中的作用提供了经验支持。

The previous financial risk prevention measures of the independent monetary policy framework now face multiple challenges.We urgently need to be guided by a systemic approach in strengthening the coordination of monetary and fiscal policy.Within a unified fiscal/financial framework,measurements introducing the nonlinear network method have identified the existence of network connectedness going from fiscal to monetary policy variables and thence to financial risk variables.Using the impulse response method of analysis,we find a positive relationship between fiscal expenditure and government debt, with the growth of local debt and urban investment debt increasing money supply.Findings from the nonlinear network connectedness method show that the network connectedness coefficient from the monetary variable to the systemic connectedness factor(0.15)is greater than that of the tail risk component(0.04),and network connectedness exists between tail risk factors and monetary policy variables.These findings not only provide empirical evidence for maintaining a systemic approach,but also give a comprehensive role to monetary and fiscal policy in the prevention of major risks.