[文萃]马勇 王芳：金融开放、经济波动与金融波动之间的内生性关系

    原文标题：金融开放、经济波动与金融波动
    摘要：迄今为止，关于金融开放与宏观经济和金融稳定之间关系的研究，不仅缺乏微观基础，而且经验结果也充满了争论。本文通过将金融开放因素引入动态随机一般均衡模型，为考察金融开放、经济波动和金融波动之间的内生性关系提供了明确的微观基础。基于模型模拟分析的结果显示：金融波动会随着金融开放度的提高而出现明显上升，而产出波动的上升则非常微弱。基于中国1998-2015年季度数据的经验分析进一步证实了上述模型推断，并且该结论在多种稳健性检验下均是成立的。
    关键词：金融开放 经济波动 金融波动
    Financial Openness, Economic Volatility, and Financial Volatility
    Ma Yong; Wang Fang
    Abstract: Up till now, the literature on the relationship between financial openness and macroeconomic and financial stability not only lacks micro foundations but also yields mixed empirical results. This paper introduces financial openness into the Dynamic Stochastic General Equilibrium (DSGE) model, which aims to provide a micro-founded framework for analyzing the endogenous relationship between financial openness, economic volatility and financial volatility. Our model simulation analysis shows that, as the level of financial openness increases, financial volatility would be significantly larger while the increase in output volatility is very small. This conclusion is further confirmed by the empirical analysis based on quarterly data of the Chinese economy over the period 1998-2015: while there is a significantly positive relationship between financial openness and financial volatility, the positive relationship between financial openness and output volatility turns out to be not significant. This result is proved to be valid across various robustness tests, giving additional credibility of the main conclusion of the paper.
    Key words: financial openness, economic volatility, financial volatility
    JEL code: E32, E44, F36
    作者及简介：马勇：中国人民大学财政金融学院中国财政金融政策研究中心、国际货币研究所;王芳（通讯作者）：中国人民大学财政金融学院。
    项目：本研究得到北京市哲学社会科学基金项目“金融周期、金融波动与宏观政策应对”（16LJB006）和国家自然科学基金项目“DSGE宏观金融建模及政策模拟分析”（71403277）资助。
    期刊责任编辑：曹永福、李元玉
    【文摘】
    大量研究表明，稳步有序的金融开放对推动金融发展和经济增长具有重要意义，因此，自二十世纪七八十年代以来，许多国家都将金融开放战略作为金融改革一揽子计划的重要支柱甚至是核心支柱之一。

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