Wang Shengquan. Income Inequality and Systemic Banking Crises: A Nonlinear Nexus. Economic Systems, 2023, forthcoming. https://doi.org/10.1016/j.ecosys.2023.101123.
论文简介
Motivated by Rajan’s work, we propose that income inequality and systemic banking crises have a nonlinear nexus. In addition to examining the linear “Rajan effect,” we propose a “Kuznets effect” based on an assumption that income inequality has a nonlinear impact on growth, conditional on the stage of economic development, and thus plays a nonlinear role in modeling crises. We test the existence of this nexus using a sample covering 172 economies for a period of fifty years. We confirm that the relationship is U-shaped and identify the threshold level of income inequality that is beneficial for financial stability. Additionally, the U-test and area under the receiver operating characteristic (AUROC) statistics confirm that nonlinearity, and our model has good predictive performance of forecasting. Furthermore, the results of our panel regressions are consistent and are robust to several tests. We then identify the Rajan and Kuznets effects using a two-step test. We conclude that the impact of income inequality on the occurrence of systemic banking crises is U-shaped.
在拉詹研究的推动下，我们提出，收入不平等和系统性银行业危机之间存在非线性联系。除了考察线性的“拉詹效应”，我们还提出了一个“库兹涅茨效应”，其基础是假设收入不平等会对增长产生非线性影响，这取决于经济发展阶段，因此在建模危机时起到了非线性作用。我们用一个样本来检验这种联系的存在，样本涵盖172个经济体，为期50年。我们确认了这种关系是U型的，并确定了有利于金融稳定的收入不平等的阈值水平。此外，U型检验和AUROC统计数据下证实了这种非线性，我们的模型具有良好的预测性能。此外，我们的面板回归结果是一致的，对几个检验都是稳健的。然后，我们通过两步检验来识别拉詹和库兹涅茨效应。我们得出结论，收入不平等对系统性银行危机的影响是U型的。