金融冲击对劳动市场波动的时变效应——基于TVP-SV-VAR模型的实证研究

The Time-varying Effect of Financial Shocks on Labor Market:Empirical Study Based on TVP-SV-VAR Model

本文基于金融市场与劳动市场联动的视角,构建中国金融状况指数,并利用时变参数随机波动向量自回归模型(TVP-SV-VAR)研究金融冲击对劳动市场的影响及时变特征。结果表明,金融冲击显著引发劳动市场的供需失衡。金融状况恶化会提升失业率、降低工资水平并进一步引起宏观经济中的通货紧缩。机制分析表明,企业杠杆对金融冲击的负面影响有放大作用,金融条件紧缩经由企业杠杆的负向调整会进一步导致劳动需求萎缩与失业率上行。对跨境金融冲击和境内金融冲击效果的比较分析揭示,相较于传导渠道,冲击规模是金融冲击对我国劳动市场影响差异的主导因素。据此,本文建议在跨周期调节的同时注意防范化解金融风险,以提升金融支持“稳主体”和“稳就业”的政策效果。

We examine the impact of financial shocks on the labor market from the perspective of the interconnected dynamics between financial and labor markets by constructing a Financial Conditions Index(FCI)for China.Utilizing a Time-Varying Parameter Stochastic Volatility Vector Autoregression(TVP-SV-VAR)model,we study the effects and time-varying characteristics of these shocks.Our findings indicate that financial shocks significantly disrupt the supply-demand balance in the labor market.Worsening financial conditions lead to higher unemployment rates,lower wage levels,and further macroeconomic contraction.Mechanism analysis reveals that corporate leverage amplifies the negative effects of financial shocks,tightened financial conditions result in adverse leverage adjustments,exacerbating labor demand contraction and increasing unemployment rates.A comparative analysis of cross-border and domestic financial shocks shows that the magnitude of the shocks,rather than the transmission channels,is the primary factor driving differences in their impacts on China's labor market.Based on these insights,we recommend mitigating financial risks alongside counter-cyclical adjustments to enhance the effectiveness of policies aimed at stabilizing key entities and employment.