姚雯,唐爱迪

• 1:清华大学经济管理学院

摘要(Abstract)：

随着全球化的逐步深入,国家间金融市场的紧密联系为经济周期的跨国传导提供了重要渠道。本文通过构建1978—2018年31个国家的面板数据,考察了世界主要经济体之间经济周期协同性与金融市场一体化的关系。我们的研究发现,金融一体化对经济周期的传导主要取决于经济周期的类型:在金融危机期间,较高的金融一体化程度会加强经济周期在国家之间的传导;而在其他时期,较高的金融一体化会减弱经济周期在国家之间的传导。我们的这一结论不仅适用于发达国家,也适用于发展中国家。

关键词(KeyWords)： 金融一体化;经济周期协同性;危机传导

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金青年项目(71603144);; 清华大学自主科研计划(2019THZWJC21)的资助

作者(Author): 姚雯,唐爱迪

DOI: 10.16513/j.cnki.cje.2020.02.003

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• (1)为了解决内生性问题,Kalemli-Ozcan et al.(2013b)基于欧盟金融服务行动计划(Financial Service Action Plan)构建了一个反映欧盟各国金融服务立法监管协调政策的金融一体化指数作为工具变量。他们的研究结果显示,反向因果关系并不重要。由于该指标截止到2006年,并不涵盖本文研究侧重的2007—2009年金融危机,因此本文无法采用他们的工具变量。基于同样的原因,Kalemli-Ozcan et al.(2013a)也没有使用这个工具变量。
• (2)数据来源:https://www.nber.org/cycles/cyclesmain.html。
• (3)Kalemli-Ozcan et al.(2001)使用1977—1994年OECD的数据研究并发现金融一体化可以帮助各国分担个体风险,资本的跨国流动会引起资源转移和重配,促进了国家之间的专业化分工,由此减弱了经济周期协同性。
• (4)学者们尝试从不同视角解释该分歧。Kose and Yi(2001)认为如果行业冲击比较显著,那么国家之间经济周期协同性变化的具体情况将取决于贸易性质。产业内贸易能够使经济周期的协同程度提高;而当产业间贸易主导时,贸易会促进各国生产的专业化分工,因而减弱经济周期协同性。Huo et al.(2019)则采用将两国GDP协方差进行分解的方法,发现国际贸易不仅会影响一国对国际冲击的敏感程度,同时还会导致国家经济部门的权重发生调整,因此对经济周期的影响方向并不确定。
• (5)附录中给出了双边贸易水平指标的详细定义和数据说明。我们还使用了按照两国贸易总额(或国内生产总值之和)进行标准化的贸易强度指标作为稳健性检验,结果列示在表11中。
• (6)各指标的详细说明参见附录。