我国金融发展与经济增长之间的非线性关联研究
发布时间：2018-08-03 09:41
【摘要】：金融发展与经济增长之间具有怎样的关联一直是经济学中热议的话题。许多学者对于这一问题从不同角度进行了研究，得出了许多宝贵的结论。早期的研究普遍认为金融发展与经济增长之间存在线性关联。在这一前提假设的基础上，学者们采用不同的计量方法对于经济增长与金融发展之间的关联进行了实证研究。进入21世纪以来，，在世界范围内爆发了比较严重的金融危机，这使得人们不得不重新审视金融发展与经济增长之间的关联。随着金融理论与研究方法的不断完善，越来越多的学者发现金融发展与经济增长之间的关联并不一定是线性的，这两者之间的关联很有可能是非线性的，甚至是非单调的。因此最近一段时期，世界各个国家的学者们开始研究金融发展与经济增长之间的非线性关联，由此产生了大量关于金融发展与经济增长之间非线性关联的模型，其中以马尔可夫区制转移模型(markov regime switching model)与门限模型(threshold models)最为典型。 改革开放以来，我国的经济取得了举世瞩目的成就。与此同时，我国的金融业也在最近几年里蓬勃发展，为我国新一轮的经济增长提供了源源不断的动力。然而对于这样一个在世界经济中举足轻重的国家，关于它经济增长与金融发展之间关联的研究却是少之又少，仅有的研究大部分也是将金融发展与经济增长之间的关联假定为线性的。因此，本文将在国外相关研究的基础上，采用门限模型(threshold models)来对我国金融发展与经济增长之间的非线性关联机制进行研究。 首先，本文在综合国内外研究的基础上，通过实际GDP增长率、实际投资增长率、实际进出口总额增长率、金融机构贷款增长率以及政府实际财政支出增长率构建了本文所要研究的基本经济模型。本文所采用的样本区间是从1993年第一季度至2013年第四季度。 然后，本文对原有的基本经济模型进行了变形，在模型中引入了门限变量，将基本经济模型变为门限模型(threshold models)。关于门限变量的选取，本文选取的变量是通货膨胀率与收入增长率。通货膨胀率与收入增长率是国外研究经济增长与金融发展之间非线性关联常用的门限变量，而国内针对通货膨胀率的门限效应研究得出的结论不一致，针对收入增长率的门限效应尚无此方面的研究。因此，本文选取了通货膨胀率与收入增长率作为门限变量对金融发展与经济增长之间的非线性关联进行研究。 最后，我们对通货膨胀率与收入增长率的门限效应进行了估计。实证结果表明上述两者对于金融发展与经济增长之间的关联均存在显著的门限效应。我们进一步分别估计出通货膨胀率与收入增长率的门限值，并根据门限值将样本进行了分割，然后对每一个子样本进行最小二乘估计。关于通货膨胀率的估计结果表明，当通货膨胀率低于门限值时，金融发展对于经济增长具有显著的正向影响效应。反之当通货膨胀率高于门限值时，金融发展对于经济增长的正向影响效应十分不显著。关于收入增长率的估计结果表明，当收入增长率高于门限值时，金融发展对于经济增长具有显著的正向影响效应。但是当收入增长率低于门限值时，金融发展对于经济增长的正向作用很不显著。 结合本文的实证结果，本文认为政策制定者在关注金融发展对于经济增长具有正向效应的同时，应该设法将通货膨胀率控制在门限值以下，而将收入增长率控制在门限值以上，这样才能保证金融发展对于经济增长的促进作用，从而确保我国经济又好又快的发展。
[Abstract]:The relationship between financial development and economic growth has been a hot topic in economics. Many scholars have studied this problem from different angles and drew many valuable conclusions. Early research generally believed that there was an online relationship between financial development and economic growth. In the twenty-first Century, there has been a serious financial crisis in the world, which has made people have to reexamine the relationship between financial development and economic growth. With the financial theory and research methods, the people have to reexamine the relationship between financial development and economic growth. More and more scholars have found that more and more scholars have found that the relationship between financial development and economic growth is not necessarily linear. The relationship between the two is likely to be nonlinear and even non monotonous. Therefore, in the recent period, scholars from various countries in the world have begun to study the nonlinear relationship between financial development and economic growth. A large number of nonlinear models of financial development and economic growth have been created, in which the Markov regime switching model and the threshold model (threshold models) are the most typical.
Since the reform and opening up, China's economy has made remarkable achievements. At the same time, China's financial industry has also flourished in recent years, providing a constant source of impetus for a new round of economic growth in China. However, for such a country that is very important in the world economy, its economic growth and financial development There are few studies on interrelation, and the only research is that the association between financial development and economic growth is assumed to be linear. Therefore, on the basis of foreign related research, this paper will use the threshold model (threshold models) to study the nonlinear association mechanism between China's financial development and economic growth.
First, on the basis of the comprehensive domestic and foreign research, the basic economic model is constructed by the actual GDP growth rate, the actual investment growth rate, the actual import and export growth rate, the growth rate of financial institutions' loan and the growth rate of the government's actual financial expenditure. The sample interval adopted in this paper is from the first quarter of 1993. To the fourth quarter of 2013.
Then, the original basic economic model is deformed, the threshold variable is introduced in the model, and the basic economic model is transformed into the threshold model (threshold models). With regard to the selection of threshold variables, the variable is the rate of inflation and the increase of income. The inflation rate and the growth rate of income are the economic growth of foreign countries. The threshold variable commonly used in the nonlinear association with the financial development, and the conclusion of the threshold effect on the inflation rate is inconsistent. There is no research on the threshold effect on the income growth rate. Therefore, this paper chooses the inflation rate and the income growth rate as the threshold variable to the financial development and economic growth. The nonlinear correlation between them is studied.
Finally, we estimate the threshold effect of the inflation rate and the income growth rate. The empirical results show that there is a significant threshold effect on the relationship between financial development and economic growth. We further estimate the threshold value of the inflation rate and the income growth rate respectively, and carry out the samples according to the threshold value. The results of the inflation rate show that the financial development has a significant positive effect on economic growth when the inflation rate is lower than the threshold value. On the other hand, when the inflation rate is higher than the threshold value, the positive effect of financial development on economic growth is effective. The results of the income growth rate show that financial development has a significant positive effect on economic growth when the income growth rate is higher than the threshold value. But when the income growth rate is lower than the threshold value, the positive effect of financial development on economic growth is not significant.
On the basis of the empirical results of this paper, it is believed that the policymakers should try to control the rate of inflation under the threshold value while paying attention to the positive effect of financial development on economic growth, and control the growth rate above the threshold value so as to ensure the promotion of financial development to economic growth, thus ensuring the effect of the financial development on economic growth. China's economic development is good and fast.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832;F124.1;F224
本文编号：2161345
[Abstract]:The relationship between financial development and economic growth has been a hot topic in economics. Many scholars have studied this problem from different angles and drew many valuable conclusions. Early research generally believed that there was an online relationship between financial development and economic growth. In the twenty-first Century, there has been a serious financial crisis in the world, which has made people have to reexamine the relationship between financial development and economic growth. With the financial theory and research methods, the people have to reexamine the relationship between financial development and economic growth. More and more scholars have found that more and more scholars have found that the relationship between financial development and economic growth is not necessarily linear. The relationship between the two is likely to be nonlinear and even non monotonous. Therefore, in the recent period, scholars from various countries in the world have begun to study the nonlinear relationship between financial development and economic growth. A large number of nonlinear models of financial development and economic growth have been created, in which the Markov regime switching model and the threshold model (threshold models) are the most typical.
Since the reform and opening up, China's economy has made remarkable achievements. At the same time, China's financial industry has also flourished in recent years, providing a constant source of impetus for a new round of economic growth in China. However, for such a country that is very important in the world economy, its economic growth and financial development There are few studies on interrelation, and the only research is that the association between financial development and economic growth is assumed to be linear. Therefore, on the basis of foreign related research, this paper will use the threshold model (threshold models) to study the nonlinear association mechanism between China's financial development and economic growth.
First, on the basis of the comprehensive domestic and foreign research, the basic economic model is constructed by the actual GDP growth rate, the actual investment growth rate, the actual import and export growth rate, the growth rate of financial institutions' loan and the growth rate of the government's actual financial expenditure. The sample interval adopted in this paper is from the first quarter of 1993. To the fourth quarter of 2013.
Then, the original basic economic model is deformed, the threshold variable is introduced in the model, and the basic economic model is transformed into the threshold model (threshold models). With regard to the selection of threshold variables, the variable is the rate of inflation and the increase of income. The inflation rate and the growth rate of income are the economic growth of foreign countries. The threshold variable commonly used in the nonlinear association with the financial development, and the conclusion of the threshold effect on the inflation rate is inconsistent. There is no research on the threshold effect on the income growth rate. Therefore, this paper chooses the inflation rate and the income growth rate as the threshold variable to the financial development and economic growth. The nonlinear correlation between them is studied.
Finally, we estimate the threshold effect of the inflation rate and the income growth rate. The empirical results show that there is a significant threshold effect on the relationship between financial development and economic growth. We further estimate the threshold value of the inflation rate and the income growth rate respectively, and carry out the samples according to the threshold value. The results of the inflation rate show that the financial development has a significant positive effect on economic growth when the inflation rate is lower than the threshold value. On the other hand, when the inflation rate is higher than the threshold value, the positive effect of financial development on economic growth is effective. The results of the income growth rate show that financial development has a significant positive effect on economic growth when the income growth rate is higher than the threshold value. But when the income growth rate is lower than the threshold value, the positive effect of financial development on economic growth is not significant.
On the basis of the empirical results of this paper, it is believed that the policymakers should try to control the rate of inflation under the threshold value while paying attention to the positive effect of financial development on economic growth, and control the growth rate above the threshold value so as to ensure the promotion of financial development to economic growth, thus ensuring the effect of the financial development on economic growth. China's economic development is good and fast.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832;F124.1;F224
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