摘要
利用PVAR模型将通货紧缩风险、银行风险和房地产风险纳入地方政府隐性债务风险的研究框架,探索地方政府隐性债务风险的传染性。研究表明,整体上,隐性债务风险会向三类风险蔓延,且各类风险会循环传染。具体而言,地方政府隐性债务风险会产生通货紧缩风险,同时刺激银行风险,引起房地产下行风险,而银行风险叠加通货紧缩风险会进一步加剧房地产市场下行,并且各类风险也会反向刺激债务风险暴露。风险传染在各地区间表现出异质性,东部地区债务的通货紧缩风险不明显,债务风险对房地产风险的刺激作用较其他地区弱,中部地区债务风险加大会产生房地产市场泡沫,中部和西部地区均呈现房地产泡沫强化债务风险。
This paper explores the infectivity of local government implicit debt risk by using PVAR model to integrate deflation risk,bank risk and real estate risk into the research framework of local government implicit debt risk.The results show that,overall,implicit debt risks will spread to three types of risks,and there will be a cycle of contagion among all kinds of risks.Specifically,the implicit debt risk of local government will generate deflation risk,stimulate bank risk and lead to the downside risk of real estate,while the combination of bank risk and deflation risk will further aggravate the downside of real estate,and various risks will reverse stimulate the exposure of debt risk.It shows heterogeneity in various regions.The deflation risk of debt in the eastern region is not obvious,the stimulus effect of debt risk on real estate risk is weaker than that in other regions,the increase of debt risk in the central region will produce real estate market bubble,and the real estate bubble in both central and western regions will strengthen debt risk.
作者
周孝华
杨益
聂晶
Zhou Xiaohua;Yang Yi;Nie Jing(School of Economics and Business Administration,Chongqing University,Chongqing 400030;Custodian Operation Center,China Construction Bank,Hefei,Anhui 230051)
出处
《宁夏社会科学》
北大核心
2025年第4期110-120,共11页
NingXia Social Sciences
基金
国家社会科学基金西部项目“新时代我国金融高水平开放背景下国际金融市场极端风险溢出、传染与应对研究”(项目编号:22XJY007)
中央高校基本科研业务费项目“国际金融市场极端风险度量与管控研究”(项目编号:2023CDJSKJJ24)。
作者简介
周孝华(1965-),男,湖南武冈人,重庆大学经济与工商管理学院教授,博士生导师,主要研究方向为金融风险与资产定价;通讯作者:杨益(1990-),男,重庆壁山人,重庆大学经济与工商管理学院博士研究生,主要研究方向为金融风险与公司金融;聂晶(2000-),女,安徽安庆人,中国建设银行托管运营中心职员,主要研究方向为风险控制。
