金融效率、金融开放与消费波动
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摘要
本文使用面板计量方法对70个国家的私人消费波动进行研究。用系统GMM方法研究发现:扩大金融开放会提高私人消费波动,提高金融效率能降低私人消费波动。金融效率对金融开放的消费波动效应有影响。进一步使用面板门槛模型研究,发现金融效率对金融开放的消费波动效应影响存在单一门槛。当一国的金融效率小于0.69时,扩大金融开放提高私人消费波动的效应接近于0;当一国的金融效率大于0.69时,扩大金融开放提高私人消费波动的效应显著增强。
This paper applies national panel data to study the fluctuation of private consumption in 70 countries. The systematic GMM regression shows that the expansion of financial openness can increase the fluctuation of private consumption,and the improvement of financial efficiency can reduce the fluctuation of private consumption. Financial efficiency has influence on the consumption fluctuation effect of financial opening. Further using panel threshold model,it is found that there is a single threshold for the influence of financial efficiency on the consumption fluctuation effect of financial openness. When a country financial efficiency is less than 0.69,the effect of expanding financial openness to increase private consumption volatility is close to 0.When a country financial efficiency is greater than 0.69,the effect of expanding financial openness to increase private consumption volatility is significantly enhanced.
This paper applies national panel data to study the fluctuation of private consumption in 70 countries. The systematic GMM regression shows that the expansion of financial openness can increase the fluctuation of private consumption,and the improvement of financial efficiency can reduce the fluctuation of private consumption. Financial efficiency has influence on the consumption fluctuation effect of financial opening. Further using panel threshold model,it is found that there is a single threshold for the influence of financial efficiency on the consumption fluctuation effect of financial openness. When a country financial efficiency is less than 0.69,the effect of expanding financial openness to increase private consumption volatility is close to 0.When a country financial efficiency is greater than 0.69,the effect of expanding financial openness to increase private consumption volatility is significantly enhanced.
引文
[1]郭桂霞,彭艳.我国资本账户开放的门槛效应研究[J].金融研究,2016,No.429(03):46-62
[2]Buch,Claudia M.,Yener,etc. Consumption volatility and financial openness[J].applied economics,2010,42:3635-3649.
[3]邱华炳,刘宏.我国开放格局下的金融效率与金融风险[J].经济研究,1999,(08):58-63.
[4]Era Dabla Norris,Narapong Srivisal. Revisiting the Link Between Finance and Macroeconomic Volatility[J].IMF Working Papers,2013,WP:13-29
[5]王广谦.经济发展中金融的贡献与效率[J].中国人民大学学报,1999,(06):128-129.
[6]Kaminsky G L,Reinhart C M. The Twin Crises:The Causes of Banking and Balance-Of-Payments Problems[J]. International Finance Discussion Papers,1999,89(3):473-500.
[7]Easterly W. The Lost Decades:The Developing Countries Stagnation in Spite of Policy Reform[J]. Journal of Economic Growth,2001,6(2):135-57.
[8]Buch C M,Yener S. Consumption volatility and financial openness[J]. Applied Economics,2010,42(28):3635-3649.
[9]Bekaert G,Harvey C R,Lundblad C. Growth volatility and financial liberalization[J]. Journal of International Money&Finance,2006,25(3):370-403.
[10]Philippe Aghion,Philippe Bacchetta,Abhijit Banerjee. Financial development and the instability of open economies[J].Journal of Monetary Economics,2004,51(6):1077-1106.
[11]Borja Larrain. World betas,consumption growth,and financial integration[J].Journal of International Money&Finance,2011,30(6):999-1018
[12]Aghion P,Bacchetta P,Banerjee A. Financial Development and the Instability of Open Economies[J]. Journal of Monetary Economics,2004,51(6):1077-1106.
[13]Bacchetta,P,Caminal,etc. Do capital market imperfections exacerbate output fluctuations?[J].European Economic Review,2000,44(3):449-468.
[14]白钦先,丁志杰.论金融可持续发展[J].国际金融研究,1998,(05):28-32.
[15]王振山.金融效率论——金融资源优化配置的理论与实践[D].沈阳:东北财经大学,1999.
[16]云鹤,胡剑锋,吕品.金融效率与经济增长[J].经济学(季刊),2012,11(2):595-612.
[17]王锦慧,蓝发钦.开放条件下的金融效率与经济增长[J].征信,2008,26(2):91-95.
[18]徐思远,洪占卿.信贷歧视下的金融发展与效率拖累[J].金融研究,2016,(05):51-64.
[19]张华平.基于Sto NED方法区域金融效率的测算[J].统计与决策,2016,(14):145-148.
[20]Agustin S. Bénétrix a,Philip R. Lane a,b,etc. International currency exposures,valuation effects and the global financial crisis[J].Journal of International Economics,2015,96:98-109.
[21]Bruce E. Hansen. Threshold effects in non-dynamic panels:Estimation,testing and inference[J].Journal of Econometrics,1999,93:345-368.
(1)本文私人消费波动的异常值处理方法:记录私人消费波动最大与最小1%的值,然后采用前三年平均值代替这些值。其中有一个异常值是在2001年,难以向前取三年平均值,于是删除了这个值。
[2]Buch,Claudia M.,Yener,etc. Consumption volatility and financial openness[J].applied economics,2010,42:3635-3649.
[3]邱华炳,刘宏.我国开放格局下的金融效率与金融风险[J].经济研究,1999,(08):58-63.
[4]Era Dabla Norris,Narapong Srivisal. Revisiting the Link Between Finance and Macroeconomic Volatility[J].IMF Working Papers,2013,WP:13-29
[5]王广谦.经济发展中金融的贡献与效率[J].中国人民大学学报,1999,(06):128-129.
[6]Kaminsky G L,Reinhart C M. The Twin Crises:The Causes of Banking and Balance-Of-Payments Problems[J]. International Finance Discussion Papers,1999,89(3):473-500.
[7]Easterly W. The Lost Decades:The Developing Countries Stagnation in Spite of Policy Reform[J]. Journal of Economic Growth,2001,6(2):135-57.
[8]Buch C M,Yener S. Consumption volatility and financial openness[J]. Applied Economics,2010,42(28):3635-3649.
[9]Bekaert G,Harvey C R,Lundblad C. Growth volatility and financial liberalization[J]. Journal of International Money&Finance,2006,25(3):370-403.
[10]Philippe Aghion,Philippe Bacchetta,Abhijit Banerjee. Financial development and the instability of open economies[J].Journal of Monetary Economics,2004,51(6):1077-1106.
[11]Borja Larrain. World betas,consumption growth,and financial integration[J].Journal of International Money&Finance,2011,30(6):999-1018
[12]Aghion P,Bacchetta P,Banerjee A. Financial Development and the Instability of Open Economies[J]. Journal of Monetary Economics,2004,51(6):1077-1106.
[13]Bacchetta,P,Caminal,etc. Do capital market imperfections exacerbate output fluctuations?[J].European Economic Review,2000,44(3):449-468.
[14]白钦先,丁志杰.论金融可持续发展[J].国际金融研究,1998,(05):28-32.
[15]王振山.金融效率论——金融资源优化配置的理论与实践[D].沈阳:东北财经大学,1999.
[16]云鹤,胡剑锋,吕品.金融效率与经济增长[J].经济学(季刊),2012,11(2):595-612.
[17]王锦慧,蓝发钦.开放条件下的金融效率与经济增长[J].征信,2008,26(2):91-95.
[18]徐思远,洪占卿.信贷歧视下的金融发展与效率拖累[J].金融研究,2016,(05):51-64.
[19]张华平.基于Sto NED方法区域金融效率的测算[J].统计与决策,2016,(14):145-148.
[20]Agustin S. Bénétrix a,Philip R. Lane a,b,etc. International currency exposures,valuation effects and the global financial crisis[J].Journal of International Economics,2015,96:98-109.
[21]Bruce E. Hansen. Threshold effects in non-dynamic panels:Estimation,testing and inference[J].Journal of Econometrics,1999,93:345-368.
(1)本文私人消费波动的异常值处理方法:记录私人消费波动最大与最小1%的值,然后采用前三年平均值代替这些值。其中有一个异常值是在2001年,难以向前取三年平均值,于是删除了这个值。