中国金融状况与实体经济的动态互动关系研究
Research on the Dynamic Interaction between China's Financial Conditions and the Real Economy
刘伟 1周东海 2刘晓星1
作者信息
- 1. 东南大学经济管理学院
- 2. 东南大学网络空间安全学院 南京,211189
- 折叠
摘要
本文基于TVP-FAVAR-SV模型方法,从股票市场等9个类别市场中选取代表性指标构建我国金融状况指数FCI,结合系列金融风险事件,研究我国金融状况与实体经济的时变脉冲响应与风险溢出效应.研究发现,实体经济与金融状况间存在显著双向互动关系,金融状况宽松对实体经济有正向拉动作用,对消费者信心、物价、工业增加值等经济指标有长期正向影响.实体经济增长对房地产市场、汇率和利率有长期正向影响,对房地产市场的正面效应尤为显著.
Abstract
Based on TVP-FAVAR-SV model,this paper selects representative indicators from nine categories of mar-kets,including the stock market,to construct China's financial conditions index(FCI).Combined with a series of financial risk events,this paper studies the time-varying impulse response and risk spillover effect between China's financial condi-tion and the real economy.The results show that there is a significant bidirectional interaction between the real economy and financial conditions,and the easing of financial conditions has a positive pulling effect on the real economy and a long-run positive impact on economic indicators such as consumer confidence,consumer prices and industrial value added.The growth of the real economy has a long-term positive effect on the real estate market,exchange rates and interest rates,and the positive effect of such growth on the real estate market is particularly significant.
关键词
金融状况/实体经济/时变脉冲响应/风险溢出效应Key words
financial conditions/real economy/time-varying impulse responses/risk spillovers引用本文复制引用
出版年
2024
NETL
NSTL
万方数据