摘要
基于1952-2016年美国政府、居民、金融和企业四部门的信用规模数据,从多个视角实证考察了信用规模变动的部门间联动机理。实证结果表明:信用规模变动不仅存在于单部门之间,两部门或三部门的联合变动同样具有很强的传递效应。在四部门信用规模变动的联动机理中,金融在风险传递中处于核心地位,不易受其他部门影响,居民风险传递性最弱,政府最易受其他部门影响。在三个层次的信用风险传递过程中,信用规模变动的联动性依次增强。该研究对于中国的信用治理,特别是防范由信用规模无序变动导致的系统性风险具有借鉴意义。
Based on the credit scale data of the U.S. government, residents, finance and enterprises from 1952 to 2016, this paper empirically studies the inter sector linkage mechanism of credit scale change from multiple perspectives. The empirical results show that: the change of credit scale not only exists between single sectors, but also has a strong transmission effect in the joint change of two or three sectors. In the linkage mechanism of the change of credit scale of four sectors, the financial sector is in the core position in risk contagion, with the strongest transmission, and is not easily affected by other sectors;the residents’ risk transmission is the weakest;the government sector is most vulnerable to other sectors. In the three levels of credit risk transmission process, the first, second and third levels of the linkage of credit scale increases successively. This study is of great significance to China’s credit governance, especially for the prevention of systematic risks caused by disordered changes in credit scale.
作者
谢巧燕
XIE Qiao-yan(School of Finance,Henan University of Economics and Law,Zhengzhou 450046,China)
出处
《经济经纬》
CSSCI
北大核心
2019年第6期125-132,共8页
Economic Survey
基金
国家社会科学后期资助基金项目(18FJL001)
关键词
信用规模
内在联动
传染度
脆弱度
credit scale
internal linkage
contagion
vulnerability
