摘要
基于46个国家(地区)2000—2019年的面板数据,以金融发展程度为门槛变量,通过构建门槛回归模型对金融杠杆与经济发展的非线性关系进行了研究。实证结果表明,金融杠杆对经济发展存在门槛效应,即随着门槛区制的变化,金融杠杆产生的效应呈现异质性。扩展分析中,将经济波动率作为经济增长的代理变量,选择系统GMM方法进一步讨论了金融杠杆波动与经济波动之间的关系。结果显示,杠杆波动水平和经济波动水平之间存在正相关关系,经济增长的稳定性受到金融杠杆波动的显著影响。
Based on the panel data of 46 countries(regions) from 2000 to 2019, this paper set financial development degree as the threshold variable, and constructed a threshold regression model, aiming to explore the nonlinear relationship between financial leverage and economic growth. Empirical results revealed that, financial leverage had a threshold effect on economic growth, that is,the effect of financial leverage showed the characteristic of heterogeneity with the changes of threshold system. Extended analysis selected economic volatility as the proxy variable of economic growth, and further chose systematic GMM method to discuss the relationship between financial leverage volatility and economic volatility. The results revealed that, there was a positive correlation between leverage volatility level and economic volatility level. Besides, the stability of economic growth has been significantly affected by financial leverage volatility.
作者
张焕明
马昭君
马瑞祺
ZHANG Huan-ming;MA Zhao-jun;MA Rui-qi(School of Statistics and Applied Mathematics,Anhui University of Finance and Economics,Bengbu 233030;School of Economics,University of Chinese Academy of Social Sciences,Beijing 102488,China)
出处
《统计学报》
2021年第6期1-12,共12页
Journal of Statistics
关键词
金融杠杆
经济增长
金融发展
门槛效应
系统GMM方法
financial leverage
economic growth
financial development
threshold effect
systematic GMM method
