中国的金融压力及其对宏观经济景气的影响动态

文章从外汇市场、银行体系和资产泡沫三个方面分别测度了中国金融市场面临的压力,并基于动态CRITIC赋权法构建出中国金融压力总指数,分析了中国金融压力变动特征在不同时期特别是金融危机前后的典型差异,以及金融压力变动对经济景气波动的时变影响.研究表明:(1)金融压力积聚对经济景气的抑制效应比金融压力释放的促进效应更加显著;(2)货币政策的滞后性和局限性会引发金融压力与经济景气的"顺周期"现象,继而可能放大金融压力对经济景气的影响;(3)各金融子市场压力对经济景气的影响均具有显著的状态依赖特征,且表现出不同的时变动态.文章认为,政策制定者应在密切关注金融压力演变动态的基础上,灵活运用多种政策工具对重点领域和薄弱环节进行预调微调,充分发挥宏观审慎政策在平抑金融顺周期波动、防范风险跨市场传播等方面的重要作用,以实现宏观经济与金融体系的双重稳定.

Financial Stress and Its Impact on the Business Cycle in China

Summary: Financial stress is the state of the financial system when it is affected by its own vulnerabil-ity,uncertainty and various external shocks. Rationally measuring financial stress and exploring the impact of financial stress on the business cycle,is one of the core issues in the "new economics" theory which is based on financial stability,and it is also a hot topic that academia and decision-making departments pay close atten-tion to. However,in the related research on financial stress,domestic and foreign scholars have always faced two problems:Firstly,how to accurately measure financial stress under the complex and volatile economic and financial situation? Secondly,how to reasonably portray the relationship between financial stress and the busi-ness cycle in different periods? In recent years,with the continuous advancement of economic globalization and financial integration,the potential stress of the financial system has gradually emerged,and has been con-tinuously accumulating and spreading through the financial accelerator effect and pro-cyclical effect of the fin-ancial system. Financial stress not only has a significant impact on the operation of the macro economy,but also poses serious challenges to macro-prudential supervision and financial risk prevention and control. There-fore,solving the above two problems not only helps to understand the operating laws of China's macroeco-nomic and financial systems from the perspective of financial stress,but also has an important practical signi-ficance for improving the foresightedness and effectiveness of the macro-control policies. In view of this,this paper measures financial stress of China from exchange market pressure,banking system pressure and financial bubble pressure respectively,incorporates all financial sub-markets into a uni-fied framework,and then synthesizes China's financial stress index (CFSI) based on the dynamic CRITIC method. The analysis shows that the CFSI constructed in this paper is highly coupled with the operation of China's financial system and can reasonably reflect the stress conditions of the financial system. On this basis, this paper analyzes the typical differences in the evolution of CFSI during different periods,especially before and after the financial crisis. The empirical results obtained by using the MSAR model show that after the crisis,China's financial stress changes show a series of asymmetric features such as rapid accumulation and slow release. Furthermore,based on the TVP-VAR model,this paper empirically explores the nonlinear im-pact of financial stress changes on the business cycle in China from the perspectives of the financial sub-mar-ket and the entire financial system. The results show that:firstly,the suppression effect of financial stress accu-mulation on the business cycle is more significant than the promotion effect of financial stress relief on the business cycle;secondly,the time lag and the limitation of monetary policy may lead to a "pro-cyclical" phe-nomenon of financial stress and the business cycle,and then may amplify the impact of financial stress on the business cycle;finally,the suppression effects of all sub-markets' financial stress on the business cycle show different time-varying dynamics,but all show obvious state-dependent characteristics. These findings not only help to further understand China's macroeconomic and financial system operat-ing conditions in the new era,but also provide useful empirical references and policy implications for the per-fection of the financial regulatory system and macroeconomic control policies. This paper argues that,on the basis of paying close attention to the evolution of China's financial stress,on the one hand,policy-makers should improve the framework of regulation underpinned by monetary policies and macro-prudential policies, and give full play to the role of macro-prudential policies in suppressing the pro-cyclical volatility of the finan-cial system and preventing cross-market infections of risks. On the other hand,they should innovate means of macro control,use various policy tools in a flexible and appropriate fashion to carry out timely and moderate pro-cyclical fine-tuning of key areas and weak links,so as to achieve key targets for the dual stability of eco-nomics and finance.