Abstract: Financial development and financial integration are important financial factors that influence consumption risk sharing. On the basis of the measurement of financial development, financial integration and consumption risk sharing by using the interprovincial panel data of China for 1978-2015, this paper uses the time-varying parameter vector autoregressive model with stochastic volatility to identify the mechanism of financial development and financial integration to consumption risk sharing, and the influence of local government intervention on this mechanism. The results show that the impact of financial development and financial integration on consumption risk sharing has obvious time-varying effect and hysteresis effect, the time-varying effect is mainly that the effect of financial development and financial integration on consumption risk sharing are gradually weakening after the establishment of the capital market; The main performance of the hysteresis effect is that the impact of financial development and financial integration on consumption risk sharing is more significant in the middle and long term, especially for the lag of 2 years. Further results show that local government intervention inhibits the promotion of financial development and financial integration to consumption risk sharing, but to a certain extent, it also reduces the fluctuation of the promotion effect. Appropriate local government intervention is still indispensable.

Key words: Financial development  Financialintegration  Consumption risk sharing  Local government intervention