摘要
准确测算全球宏观杠杆周期、分析其对中国经济影响,对有效监控全球债务风险变化、应对外部金融冲击以及保障我国经济平稳运行具有重要意义。研究综合运用分层嵌套动态因子模型(DHFM)和因子扩展向量自回归模型(FAVAR),利用蒙特卡洛数值模拟和贝叶斯估计方法,测算全球宏观杠杆周期、分析其结构特征,同时结合周期外溢效应理论深入研究全球宏观杠杆周期对中国宏观杠杆与中国经济的影响。研究发现,全球宏观杠杆周期与各区域的宏观杠杆周期整体趋势一致,但各国宏观杠杆变化既展现了区域内的同步性,又呈现出组间的差异性;从同步性和波动性的角度来看,中国的宏观杠杆与全球及亚洲的宏观杠杆周期密切相关;宏观杠杆周期对我国经济具有显著的外溢效应,全球、亚洲宏观杠杆冲击带动各部门杠杆水平上升,同时刺激住房投资需求,导致投资增加,消费和产出明显下降。
Accurately calculating the global macro leverage cycle and analyzing its impact on China's economy is of great significance to effectively monitor the changes in global debt risk,deal with external financial shocks and ensure economic stability in China.This paper combines a dynamic hierarchical factor model(DHFM)with a factor-augmented vector auto regression(FAVAR),uses MCMC simulation and Bayesian estimation methods to calculate the global macro leverage cycle,analyze its structural characteristics and study in depth its spillover effects on China's macro leverage and economy.It is found that the overall trend of Global macro leverage cycle is consistent with that of regional macro leverage cycle,but the changes of macro leverage in various countries show both the synchronization within the region and the difference between groups;From the perspective of synchronicity and volatility,the global and Asian macro leverage cycles are closely in line with China's macro leverage.The global and Asian macro leverage cycle both have significant spillover effects on our economy.The shocks in both of them will drive up the leverage in each sector and boost the housing investment,which will in turn stimulate private investment,depress consumption and economic growth.
作者
梁骁
LIANG Xiao(Postdoctoral Work Station,Bank of Jiangsu Co.Ltd,Nanjing 210000,Jiangsu,China;Department of Planning and Finance,Bank of Jiangsu Co.Ltd,Nanjing 210000,Jiangsu,China;Postdoctoral Research Station of Applied Economics,Nanjing University,Nanjing 210000,Jiangsu,China)
出处
《徐州工程学院学报（社会科学版）》
2023年第3期83-95,共13页
Journal of Xuzhou Institute of Technology：Social Sciences Edition
基金
国家自然科学基金面上项目“多级政府框架下的财政政策短期波动与经济结构效应研究:基于理论模型与经验研究相结合的分析方法”(71873083)
江苏省卓越博士后计划阶段性成果“我国货币政策的量化识别与商业银行资产配置智能优化系统的国产化建设”(2023ZB751)。
