金融结构对产业结构影响的时变特征研究——基于SUR和TVPSS模型的实证检验

金融结构与产业结构的关系一直是学术界的研究热点.文章利用中国1998—2017年的年度数据,构建似不相关回归模型从金融结构规模、效率及深化的角度分析金融结构对产业结构合理化和高级化的影响,建立时变参数状态空间模型描绘了金融结构对产业结构合理化和高级化的动态冲击.实证分析结果表明:金融结构规模提高产业结构合理化水平,促进了产业结构高级化;金融结构效率提高产业结构合理化水平,抑制了产业结构高级化;金融结构深化降低产业结构合理化水平,促进了产业结构高级化.金融结构规模、金融结构效率及金融结构深化对产业结构合理化和高级化的冲击均呈现出时变特征;金融结构对产业结构合理化的影响滞后于其对产业结构高级化的影响.金融结构对产业结构的冲击波幅呈现出前期波动大、后期较为平缓的状态,部分金融结构变量对产业结构的动态冲击呈现出"长尾"现象.当前的中国金融结构已经不适合当前的产业结构,需调整金融结构,以提升产业结构合理化水平和高级化水平.

Study on the time-varying characteristics of financial structure impact on industrial structure: Empirical test based on the SUR and TVPSS model

The relationship between financial structure and industrial structure has been a hot topic in academic circles. Based on the annual data of China from 1998 to 2017, this paper constructs the seemingly unrelated regression model (SUR) to analyze the influence of financial structure on the rationalization and upgrading of industrial structure from the perspective of financial structure scale, efficiency and deepening and builds Time-varying Parameter State Space Model(TVPSS) to describe the dynamic impact of financial structure on the rationalization and upgrading of industrial structure. The empirical analysis results as follows:1) The scale of financial structure improves the rationalization level of industrial structure and promotes the upgrading of industrial structure. The efficiency of financial structure improves the rationalization level of industrial structure and inhibits the upgrading of industrial structure. The deepening of the financial structure reduces the rationalization level of the industrial structure and promotes the upgrading of the industrial structure.2) The impact of the scale, the efficiency, and the deepening of financial structure on the rationalization and upgrading of industrial structure presents time-varying characteristics. The influence of financial structure on industrial structure lags behind that of industrial structure upgrading.3)The impact of financial structure on industrial structure presents a large fluctuation in the early stage and a relatively gentle state in the later stage, and the dynamic impact of some financial structure variables on industrial structure shows a "long tail" phenomenon. The current financial structure in China is no longer suitable for the current industrial structure, so it needs to adjust the financial structure to improve the level of rationalization and upgrading of the industrial structure.