我国宏观经济波动的金融加速器效应研究

发布时间：2018-07-15 17:48

【摘要】：大量的事实证明，金融系统对于宏观经济波动影响很强，金融系统能够对经济冲击产生加速和放大的作用。目前，金融市场的变化对宏观经济的加速与放大效应不断增强，全球经济货币化的程度逐步加深，宏观经济对信贷与货币冲击的敏感度逐渐提高，货币与信贷因素对各国经济的运行的冲击越来越强。传统的经济理论不能够充分合理地解释这种效应的内在机理。为保障我国经济的平稳、快速运行，需要深入了解和掌握我国金融加速器效应的特征与规律，发掘金融变量的变化对宏观经济的影响程度。如何准确、合理地利用金融加速器效应，发挥其对宏观经济的提升和拉动效应，并抑制负面冲击对宏观经济的破坏和拉低效应，是迫切需要解决的问题。为解决上述问题，需要从以下三个方面入手：第一，我国的金融系统是否能够放大和加速宏观经济波动；第二，我国各个金融变量对宏观经济波动的金融加速器效应的差异与不同的特征；第三，金融冲击的产生的正面与负面的金融加速器效应是否存在非对称性，我国应如何采取措施保障我国宏观经济平稳、快速运行。针对以上问题，本文介绍了金融加速器的相关理论、阐述了金融加速器的研究历程及其应用，并详细分析了金融加速器的作用渠道，以及影响金融加速器效应的因素。在实证方面，本文主要做了如下三方面的研究：第一，验证了我国金融加速器效应的存在性。本文采用VEC模型，分别研究分析了在引入金融加速器之前和引入金融加速器之后各类冲击对我国宏观经济的不同影响。结果表明，货币与信贷冲击能够对我国宏观经济产生加速与放大作用，而股票市场不存在金融加速器效应。第二，研究了各个因素对我国宏观经济的金融加速器效应。本文采用非参数模型，分别估计了各个金融变量对我国各个宏观经济变量的影响，比较分析了各类冲击的不同的金融加速器效应。结果表明，我国货币、信贷以及企业资产的变化均能够通过金融加速器传导机制对宏观经济变量产生影响，企业资产的影响作用较货币与信贷冲击更为明显。第三，验证了我国金融加速器效应的非对称性。本文采用ARCH、GARCH模型对数据进行处理，然后采用TARCH模型验证了不同冲击的非对称性。结果表明，货币与信贷冲击对产出的影响存在不对称性特征，，负向冲击的影响更强；企业资产对其融资的成本的影响也存在不对称性，负向冲击的影响更强；企业融资成本对其资产的影响存在不对称性，正向冲击的影响较正向冲更强。最后，根据本文的理论与实证研究结果，为合理运用金融加速器效应，保障我国经济平稳快速发展，分别从改善企业融资环境、提高企业融资能力；完善信贷市场、建设社会信用体系；以及准确把握我国宏观经济形势、准确合理地实施宏观政策调控等方面提出了建议。
[Abstract]:A large number of facts have proved that the financial system has a strong impact on macroeconomic fluctuations, and the financial system can accelerate and amplify economic shocks. At present, the acceleration and amplification effects of the changes in financial markets on the macro-economy have been continuously strengthened, the degree of monetization of the global economy has gradually deepened, and the sensitivity of the macro-economy to credit and currency shocks has gradually increased. The impact of monetary and credit factors on the operation of national economies is getting stronger and stronger. Traditional economic theory can not fully and reasonably explain the internal mechanism of this effect. In order to ensure the smooth and rapid operation of our economy, we need to deeply understand and master the characteristics and laws of the financial accelerator effect in our country, and explore the influence degree of the change of financial variables on the macro economy. How to make use of the financial accelerator effect accurately and reasonably, to exert its promotion and pull effect to the macro economy, and to restrain the negative shock from destroying and pulling down the macro economy, is an urgent problem that needs to be solved. In order to solve the above problems, we need to start from the following three aspects: first, whether our financial system can amplify and accelerate macroeconomic fluctuations; second, The differences and different characteristics of the financial accelerator effects of various financial variables on macroeconomic fluctuations in China; third, whether the positive and negative financial accelerator effects of financial shocks are asymmetric, How should our country take measure to guarantee our country macroscopical economy smooth, fast operation. In view of the above problems, this paper introduces the relevant theories of financial accelerator, expounds the research course and application of financial accelerator, and analyzes in detail the action channel of financial accelerator and the factors influencing the effect of financial accelerator. In the empirical aspect, this paper mainly does the following three aspects of research: first, it verifies the existence of financial accelerator effect in China. Using the VEC model, this paper analyzes the different impacts of various shocks on China's macro economy before and after the introduction of the financial accelerator. The results show that the monetary and credit shocks can accelerate and amplify the macro economy of China, but there is no financial accelerator effect in the stock market. Secondly, the financial accelerator effect of various factors on the macro-economy of our country is studied. Based on the nonparametric model, this paper estimates the effects of various financial variables on the macroeconomic variables in China, and compares and analyzes the different financial accelerator effects of various shocks. The results show that the change of money, credit and enterprise assets can influence the macroeconomic variables through the financial accelerator transmission mechanism, and the influence of enterprise assets is more obvious than that of currency and credit. Thirdly, it verifies the asymmetry of the financial accelerator effect in China. In this paper, the Arch GARCH model is used to process the data, and the TARCH model is used to verify the asymmetry of different shocks. The results show that the influence of monetary and credit shocks on output is asymmetric, and the negative impact is stronger, and the influence of enterprise assets on its financing costs is also asymmetric, and the negative impact is stronger. The influence of financing cost on assets is asymmetric, and the impact of positive impact is stronger than that of positive impact. Finally, according to the theoretical and empirical results of this paper, in order to make use of the financial accelerator effect and ensure the steady and rapid economic development of our country, we should improve the financing environment of enterprises, improve the financing ability of enterprises, perfect the credit market. Some suggestions are put forward from the aspects of constructing social credit system, accurately grasping the macroeconomic situation of our country and carrying out the macro-policy regulation and control accurately and reasonably.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832;F124.8

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