中国金融发展与经济增长的再思考:基于变量结构变化的多元VAR分析

近年来,学者们开始认识到研究变量间关系时考虑经济中结构变化的重要性.本文采用结构断点单位根检验对我国银行发展、股市发展和经济增长的季度指标进行了研究,发现所有指标均为围绕着多个结构断点的分段趋势平稳.进而,本文采用多元Near-VAR分析了消除趋势后的指标间的因果关系,结果显示在样本期内,银行发展已经成为经济增长的一个源泉,而股市发展对经济增长的促进作用很弱.脉冲反应和预测方差分解亦证实了上述结论.股市发展的替代度量指标是分段趋势平稳以及股市发展尚未成为我国经济增长源泉的研究结论对于实施政策主导下的长期股市发展战略和短期股市稳定政策具有重要启示.

Reflection on China Financial Development and Economic Growth: VAR Analysis based on Multi-variation

Recent literature has stressed the importance of economic structure changes in variable relationships. This paper adopts structural disconnection unit root test to research indicators of banks, stock market and economic growth and finds that all indicators show stable trend against structural disconnection. We then use multi-variate Near-VAR analysis to eliminate cause-effect of indicators. The results show that in the sample period bank development is a source of economic growth but stock market has weak effect on economic growth. The pulse response and variation resolution also support the above results. The research has important policy implications for China stock market development.