实体经济杠杆率、影子银行规模与系统性金融风险——基于TVP-VAR模型的实证研究

防范系统性金融风险、维持金融体系的稳定是中国经济工作的重中之重.通过时变参数向量自回归模型(TVP-VAR)分析实体经济杠杆率、影子银行规模对系统性金融风险的时变影响.研究发现,实体经济杠杆率与影子银行规模之间存在相互促进的关系,并且两者对系统性金融风险的冲击响应具有时变性和实滞效应.鉴于此,应加强实体经济部门去杠杆、影子银行监管,注重各金融风险防范政策之间的联动反应,以维护金融体系的稳定.

Real Economy Leverage Ratio,Shadow Banking Scale and Systemic Financial Risks: Empirical study based on TVP-VAR model

Preventing systemic financial risks and maintaining the stability of the financial system are the top priorities of China''s economic work. By using time-varying parameter vector autoregressive model (TVP-VAR), the time-varying influence of real economy leverage ratio and shadow banking scale on systemic financial risk is analyzed. It is found that the leverage ratio of real economy and the scale of shadow banking promote each other, and the impact response of the two to systemic financial risks has time-varying and lag effects. Based on the study result, we should strengthen the deleveraging of real economy sectors and supervision over shadow banking, and pay attention to the coordinated response of various financial risk prevention policies to maintain the stability of the financial system.