摘要
资产价格大幅波动和宏观杠杆率攀升易引发系统性金融风险,防范系统性金融风险的发生,维持金融体系稳定是我国经济工作的重点。本文选取2007年第一季度至2022年第二季度的数据,运用主成分分析法构建系统性金融风险指数,进一步采用TVP-SV-VAR模型探讨资产价格、宏观杠杆率在不同时期下对系统性金融风险的动态影响。研究发现:资产价格和宏观杠杆率之间存在相互影响的关系;资产价格对系统性金融风险的影响呈现短期负向效应和长期正向效应,杠杆率对系统性金融风险的影响呈现经济不平稳期负向效应、经济平稳期正向效应。
Large fluctuations in asset prices and rising macro leverage are prone to triggering systemic financial risks,and preventing the occurrence of systemic financial risks and maintaining the stability of the financial system are the focus of China’s economic work.This paper selects the data from the first quarter of 2007 to the second quarter of 2022,constructs the systemic financial risk index using principal component analysis,and further uses TVP-SV-VAR model to explore the dynamic impact of asset prices and macro leverage on systemic financial risk in different periods.The study finds that:there is an interactive relationship between asset prices and macro leverage;the impact of asset prices on systemic financial risk shows a short-term negative effect and a long-term positive effect,and the impact of leverage on systemic financial risk shows a negative effect during the period of economic instability and a positive effect during the period of economic stability.
作者
宋长青
黄碧洁
冯天琦
SONG Changqing;HUANG Bijie;FENG Tianqi(School of Economics,Xi’an University of Finance and Economics,Xi’an 710100,China)
出处
《商业研究》
CSSCI
北大核心
2024年第2期65-73,共9页
Commercial Research
基金
国家社会科学基金西部项目“后疫情时代系统性金融风险监测、预警及防控研究”,项目编号:21XJY016。
