【摘要】 本文利用基于期望最大化（EM）算法的混频动态因子模型，从职能发挥能力和冲击抵御能力两个方面实现对我国金融稳定的混频测度，综合运用时变Granger因果检验和条件动态溢出指数方法，考察6类输入性风险因素对我国金融稳定的影响效应，并进一步检验宏观审慎政策在助力金融体系应对输入性风险因素方面的有效性。研究表明：“双循环”背景下，我国金融体系职能发挥能力及其在突发事件冲击中表现出的韧性显著增强，冲击抵御能力呈现短时小幅波动态势，总体来看我国金融稳定并未受到公共卫生事件、地缘政治对抗等经济金融事件的持续影响，整体呈现稳中向好态势；随着我国金融体系的健全优化，输入性风险因素对金融稳定的溢出影响虽仍表现出显著的时变性特征，但整体上渐趋平稳；宏观审慎政策工具组合对职能发挥能力和冲击抵御能力的调控效果均存在阶段性和针对性特征，其能够助力我国金融体系有效应对全球金融周期和公共卫生事件冲击所造成的溢出效应。本文研究结论为统筹国内国际两个大局、在全面扩大金融开放过程中更好维护国家金融安全提供有益参考。更多还原

【Abstract】 This paper makes a measure of China’s financial stability index through a mixed-frequency dynamic factor model based on the EM algorithm from the function-exerting ability and shock resistance ability. Using a combination of time-varying Granger causality test and conditional dynamic spillover index method, we examine the impact of six input risk factors on China’s financial stability and test the effectiveness of macroprudential policies in dealing with the transmission of input risk factors. The study shows that: Firstly, against the background of the “dual circulation”, China’s financial system function exerting ability and its resilience in the face of unexpected shocks have significantly increased, and shock resistance ability has shown small fluctuations in the short term. China’s financial stability has not been continuously affected by economic and financial events such as public health emergency and geopolitical confrontation, and generally shows a stable and positive trend. Secondly, with the sound optimization of China’s financial system, although the spillover effects of input risk factors on financial stability still show significant time-varying characteristics, they are gradually stable on the whole. Thirdly, there are phased and target-specific features in the regulatory effects of macroprudential policy instruments on the function-exerting ability and shock resistance ability of the financial system, which can help China’s financial system to effectively cope with the spillover effects of global financial cycle and public health emergency. These findings provide useful references for coordinating the situations at home and abroad, and for better safeguarding national financial security in the process of comprehensively expanding financial openness.更多还原