摘要：

利用DMA-TVP-FAVAR模型从动态视角刻画系统性金融风险指数，并运用TVP-SV-VAR模型考察数字金融、居民消费与系统性金融风险的动态交互关系。研究发现，数字金融发展整体推升系统性金融风险，且影响呈非对称周期性特征，纳入监管后冲击增速有所放缓；数字金融对居民消费表现为短期促进、中长期抑制的时际非对称特征，且短期促进作用时变增强；数字金融对消费波动的贡献度具有周期性，可统计预测系统性金融风险；居民消费扩张与系统性金融风险存在双向反馈机制。应构建动态适配的数字金融监管框架，引导数字金融与消费良性互动，建立消费与风险双向联动的政策协调机制。

Abstract：

This study employs a DMA-TVP-FAVAR model to dynamically characterize the systemic financial risk index. Using a TVP-SV-VAR model to investigate the dynamic interactions among digital finance, household consumption, and systemic risk. The findings reveal that digital finance development overall elevates systemic risk, with an asymmetric cyclical impact that moderated post-regulation. Moreover, digital finance boosts household consumption in the short run but suppresses it in the medium-to-long term, a time-asymmetric effect with strengthening short-term promotion. Its contribution to consumption volatility is cyclical and serves as a statistically significant predictor for systemic risk. Additionally, a bidirectional feedback mechanism exists between consumption expansion and systemic risk. Accordingly, policy recommendations include constructing a dynamically adaptive regulatory framework for digital finance, guiding its positive interaction with consumption, and establishing a policy coordination mechanism that accounts for the bidirectional consumption-risk linkage.