调查收入不平等对南非和选定新兴市场金融脆弱性的不对称影响:一种具有层次先验的贝叶斯方法

IF 2.7 4区 管理学 Q2 BUSINESS
L. T. Zungu, L. Greyling
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引用次数: 1

摘要

目的本研究旨在测试1975年至2019年期间,Rajan理论在南非和其他选定的新兴市场(智利、秘鲁和巴西)的有效性。设计/方法/方法在本研究中,研究人员使用时间序列数据来估计具有分层先验的贝叶斯向量自回归(BVAR)模型。BVAR技术的优点是能够在不耗尽自由度的情况下容纳宽截面的变量。它还能够通过先验信息和形成程度的最优选择,通过将结构强加给模型系数来处理密集参数化。调查结果除秘鲁外,所有国家的调查结果都证实了拉詹假说,表明不平等导致了高负债,导致了金融脆弱性。然而,对于秘鲁来说,这项研究发现这与理论相矛盾。这项研究控制了货币政策冲击,发现不同国家的结果不同。原始性/价值研究结果表明,不平等程度的加剧会导致金融脆弱性,这意味着政策制定者在努力遏制金融脆弱性风险时应谨慎对待过度的不平等,通过实施健全的结构改革政策,吸引符合这些国家创造就业、发展和增长的投资。政策制定者在实施政策工具(再分配政策、健全的货币政策)时也应谨慎,因为它们似乎会增加信贷过度增长和金融脆弱性的风险,他们需要将收入不平等视为与宏观经济总量和金融脆弱度相关的重要因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Investigating the asymmetric effect of income inequality on financial fragility in South Africa and selected emerging markets: a Bayesian approach with hierarchical priors
PurposeThis study aims to test the validity of the Rajan theory in South Africa and other selected emerging markets (Chile, Peru and Brazil) during the period 1975–2019.Design/methodology/approachIn this study, the researchers used time-series data to estimate a Bayesian Vector Autoregression (BVAR) model with hierarchical priors. The BVAR technique has the advantage of being able to accommodate a wide cross-section of variables without running out of degrees of freedom. It is also able to deal with dense parameterization by imposing structure on model coefficients via prior information and optimal choice of the degree of formativeness.FindingsThe results for all countries except Peru confirmed the Rajan hypotheses, indicating that inequality contributes to high indebtedness, resulting in financial fragility. However, for Peru, this study finds it contradicts the theory. This study controlled for monetary policy shock and found the results differing country-specific.Originality/valueThe findings suggest that an escalating level of inequality leads to financial fragility, which implies that policymakers ought to be cautious of excessive inequality when endeavouring to contain the risk of financial fragility, by implementing sound structural reform policies that aim to attract investments consistent with job creation, development and growth in these countries. Policymakers should also be cautious when implementing policy tools (redistributive policies, a sound monetary policy), as they seem to increase the risk of excessive credit growth and financial fragility, and they need to treat income inequality as an important factor relevant to macroeconomic aggregates and financial fragility.
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来源期刊
CiteScore
5.90
自引率
14.80%
发文量
206
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