摘要
构建了中国金融压力指数(FSI),建立MS-VAR模型识别中国金融压力期,研究宏观杠杆率、房地产价格的区制特征,并选择具有代表性的时点构建TVP-VAR模型,从居民和企业的角度分析变量间的动态传导效应。研究表明:第一,中国金融压力表现出明显的三区制特征,且样本区间段多处在中压力区制,表明中国金融体系运行较平稳;第二,从长期来看,房地产价格上升通过推高杠杆率增加金融压力,但具有明显的非线性特征;第三,在一段时期内,企业杠杆率上升会降低金融压力。因此,现阶段应稳定中国企业杠杆率水平;第四,居民杠杆率会推高金融压力,应该警惕居民杠杆率的提高;第五,房地产价格上升会在一定时期降低居民杠杆率,同时降低金融压力,说明应该稳定房地产市场,避免房价大幅度波动。
The financial stress index(FSI)is construct,the MS-VAR model is established to identify the financial stress period in China,and the regional characteristics of macro-leverage ratio and real estate price is studied.The representative time points are selected to build the TVP-VAR model,and the dynamic transmission effect among variables is analyzed from the perspective of residents and enterprises.The results show that:China's financial pressure shows obvious characteristics of three area system,and the sample interval is mostly in the middle pressure area system,which shows that China's financial system operates stably;In the long run,the rise of real estate price increases the financial pressure by pushing up the leverage ratio,but it has obvious non-linear characteristics;In a period of time,the rise of the leverage ratio of enterprises will reduce the financial pressure,so the leverage ratio level of enterprises in China should be stabilized;The leverage ratio of residents will push up the financial pressure,the increase of the leverage ratio should be alert;The rise of real estate price will reduce the leverage ratio of residents in a certain period of time and reduce the financial pressure,which indicates that the real estate market should be stabilized to avoid large fluctuations in house prices.
作者
李程
刘媛嫄
母波
李波
LI Cheng;LIU Yuan-yuan;MU Bo;LI Bo(School of Economics and Management,Tiangong University,Tianjin 300387,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2020年第10期70-80,共11页
Journal of Statistics and Information
基金
国家社会科学基金后期资助项目“异质性视角下的杠杆率结构优化与风险防范研究”(19FJYB009)
天津市教育科学“十三五”规划课题“京津冀高校绩效评价、空间溢出效应与协同路径研究”(HE3006)。
