摘要
随着全球金融一体化程度的逐渐加深,跨境贸易与资本流动的上升加剧了金融市场与宏观经济活动在经济体内和经济体之间的溢出效应。本文采用基于时变参数向量自回归模型的动态溢出指数(TVPVAR-DY)方法考察全球金融周期、中国金融周期与中国经济周期之间的动态关联,并与韩国进行对比分析。研究发现:(1)全球金融周期对中国金融周期和经济周期均具有显著的正向溢出效应,"危机时期"比"正常时期"的溢出指数更大。(2)来自中国经济、金融的冲击也可在一定程度上解释全球金融周期的波动。(3)中国的金融周期和经济周期之间存在双向溢出关系,但前者对后者的解释力度更大。(4)资本管制可以在一定程度上帮助中国减轻全球金融冲击带来的影响;更为自由的汇率浮动并未帮助韩国经济运行免受外部冲击的影响。
With the gradual deepening of global financial integration,rising cross-border trade and capital flows have intensified spillovers between financial markets and macroeconomic activities,both within and across economies.We establish a TVP-VAR-DY model to study the dynamic relationships between global financial cycle,China’s financial cycle and China’s business cycle.In addition,we do further analyses by comparing related spillover indices with those of South Korea.We find that:(1)The global financial cycle has significant positive spillover effects on China’s financial cycle and business cycle.The spillover indices appear to be larger in"crisis times",compared with"normal times".(2)China’s economic and financial shock can also explain the fluctuations of the global financial cycle to a certain extent.(3)There is a two-way spillover relationship between China’s financial cycle and China’s business cycle,but the former explains the latter more strongly.(4)Capital control policy can help China mitigate the impact of global financial shock to some extent.However,a more flexible exchange rate regime has not helped South Korea’s economic operations to be protected from external shocks.
作者
李想
施建淮
Li Xiang;Shi Jianhuai
出处
《经济问题探索》
CSSCI
北大核心
2021年第4期133-144,共12页
Inquiry Into Economic Issues
作者简介
李想(1995-),女,黑龙江哈尔滨人,北京大学经济学院博士研究生,研究方向:国际金融;施建淮(1962-),男,江苏南通人,北京大学经济学院教授、博士生导师,研究方向:国际金融理论、货币理论与政策。
