中国系统性金融风险与价格型货币政策传导效应研究——基于DMA-TVP-FAVAR模型和MS-VAR模型的实证分析

Research on the Transmission Effect of Systematic Financial Risk on Price Based Monetary Policy in China:-An Empirical Analysis Based on DMA-TVP-FAVAR Model and MS-VAR Model

监测系统性金融风险以及识别该风险对货币政策操作效果的影响,对于平衡稳增长与防风险具有重大现实价值。创新性地应用DMA-TVP-FAVAR模型从动态视角搭建中国系统性金融风险指数,并借助MS-VAR模型评估金融风险对价格型货币政策产出效应、价格效应的非线性影响。研究发现:货币市场在中国金融体系中具有重要地位,防范金融风险离不开货币市场平稳运行,银行业、股票市场、房地产业、外汇市场在中国系统性金融风险指数中虽占比有限,但相对重要性上升。中国系统性金融风险具有明显的两区制特征,并且维持高风险区制的持续性更强。在系统性金融风险作用下,价格型工具的操作效果呈现非对称性,金融风险的存在大幅削弱了货币政策有效性,为实现宏观调控目标,中央银行有必要加大货币政策操作力度。研究工作有助于建立起具有中国特色的系统性金融风险应对机制。

Monitoring systemic financial risk and identifying the impact of this risk on the operational effects of monetary policy have significant practical value in balancing growth stabilization and risk prevention.The study innovatively applies the DMA-TVP-FAVAR model to build China’s systemic financial risk index from a dynamic perspective and evaluates the nonlinear impact of financial risk on the output and price effects of price-based monetary policy with the help of the MS-VAR model.The study finds that:the money market has an important position in China’s financial system,and the prevention of financial risks cannot be separated from the smooth operation of the money market,and the banking industry,stock market,real estate industry,and foreign exchange market account for a limited proportion of China’s systemic financial risk index,but their relative importance has risen.China’s systemic financial risk is characterized by a clear two-zone system and maintains a higher persistence of high-risk zones.Under the role of systemic financial risk,the operational effect of price-based tools shows asymmetry and the existence of financial risk substantially weakens the effectiveness of monetary policy,so it is necessary for the central bank to increase the intensity of monetary policy operations in order to realize the macroeconomic control objectives.The research helps to establish a systemic financial risk response mechanism with Chinese characteristics.