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基于TVP-SVAR和MS-VAR模型分析的新双周期发展模式和系统性金融风险的特征
Haifeng Zha1, Sumei Ruan2, Wei Li2
1Graduate School of Anhui University of Finance and Economics, Bengbu, 233030, China.
Heliyon
|August 19, 2024
概括
中国新的双周期发展模式显著降低了系统性金融风险,国内周期和短期影响更具影响力. 这种关系是非线性的,在风险积累和释放阶段有所不同.
科学领域:
- 经济学 经济学 经济学
- 金融风险管理 金融风险管理
- 中国经济政策 中国经济政策
背景情况:
- "双周期"发展模式是中国政府解决复杂经济转变的关键战略.
- 了解其对系统性金融风险的影响对于经济稳定至关重要.
研究的目的:
- 调查中国双周期发展模式与系统性金融风险之间的时间变化,非线性关系.
- 在这种模式中分析国内和国际周期的不同角色.
主要方法:
- 使用随机波动向量自回归 (TVP-SVAR-SV) 和马尔科夫切换向量自回归 (MS-VAR) 模型的时间变化参数.
- 进行冲动反应分析以评估动态相互作用,并确定了不同的风险制度.
主要成果:
- 双周期模式和系统性金融风险之间存在显著的负面关系,国内周期和短期影响更为强大.
- 这种关系是非线性的,其特点是有明确的金融风险释放和积累阶段,而积累阶段较长.
- 国内和国际周期表现出相互增强的效应,两者都抑制了系统性金融风险,特别是在风险释放阶段.
结论:
- 双周期发展模式有效地减轻了系统性金融风险.
- 政策应考虑非线性动态和金融风险的不同阶段.
- 加强国内和国际周期对于金融稳定和高质量的市场发展至关重要.
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