中国金融发展对宏观经济波动的平抑效应——基于EGARCH模型的经验分析

随着中国金融发展在最近十余年取得重要进展，大量相关文献讨论了中国金融发展对经济增长的促进作用，但少有文献注意到中国金融发展与宏观经济稳定的可能联系。金融发展除了能够促进经济增长外，是否还会产生平抑宏观经济波动的红利？尽管存在若干金融发展平抑宏观经济波动的理论机制，但相关经验证据却少见。基于中国2001-2012年月度时间序列数据，可利用含外生变量的EGARCH模型对中国金融发展的宏观经济波动平抑效应进行实证检验。我们发现，金融发展具有显著的宏观经济波动平抑效应。这一经验证据表明，金融发展能够从降低经济增长波动层面提高中国经济增长的质量。进一步加快金融改革步伐从而提升金融发展水平，应该成为中国提高经济增长质量的一个长期战略选择。

Financial Development Dampening Macroeconomic Fluctuation in China --Empirical Analysis Based on EGARCH Model

With China＇ s financial development in recent ten years, a large number of relevant liter- ature discusses that China＇ s financial development plays an important role in promoting economic growth, but little literature notes that China＇ s financial development and macroeconomic stability may be linked. In addition to promoting economic growth, could financial development produce benefits in the form of smoothing macroeconomic fluctuation？ There are a number of theoretical mechanisms on financial devel- opment smoothing macroeconomic fluctuation, but relevant empirical evidence is scarce. Using monthly time series data from 2001 to 2012 in China, the present paper examines the nexus of economic growth fluctuations and financial development. Based on an exponential generalized auto regressive conditional heteroskedasticity （EGARCH） model with exogenous variables, the present paper suggests that financial development has statistically significantly reduce economic growth fluctuation. The empirical evidence shows that financial development can improve the quality of China＇ s economic growth through smoothing fluctuation of economic growth. To further accelerate financial reform in order to enhance the level of fi- nancial development, should become a long-term strategic choice to improve the quality of economic growth in China.