中国经济周期与金融周期关联机制的时变特征与不稳定性——基于精准计量视角的重新审视

Time-varying Characteristics and Instability of the Correlation Mechanism between China’s Business Cycle and Financial Cycle:A Re-examination from the Angle of Precise Measurement

2022年伊始,中国实体经济与金融市场陷入双重走弱局面,这使得“宏观经济稳增长”与“金融系统防风险”再度成为核心议题。为此,文章基于精准计量思想,使用时变Granger因果检验和DY动态溢出指数精准考察了经济周期与金融周期之间的时变关联机制。研究发现:第一,经济周期与金融周期之间存在典型的周期错配现象,二者既有耦合区间又有背离时段;第二,在绝大多数时期,经济周期与金融周期之间并不具有传导关系,只有在周期大幅背离和罕见灾难冲击出现时才易产生牵拉传导;第三,金融周期对经济周期的溢出效应更强,而经济周期对金融周期的溢出效应较弱,但自新冠肺炎疫情爆发以来,二者之间的交互影响明显增强。第四,宏观经济变量间的关联机制通常并不稳定,这说明未来宏观经济研究必须要注重关联机制的方向性、稳定性、持续性和作用强度,强化精准计量思想。这一方面有利于把握经济变量间的本质依存关系,另一方面也是现代宏观经济治理体系强调高效协同和危机管理的必然要求。

At the beginning of 2022,China’s real economy and financial market fell into a double weakening situation,which made the coordinated governance of“stabilizing macroeconomic growth”and“preventing systematic financial risk”become a core issue once again.The key of accurately solving this problem is to clarify the time-varying correlation mechanism between business cycle and financial cycle,as it is not only the basis for understanding the fundamental characteristics and behavioral laws of the macroeconomic and financial system,but also the core and essence of guiding the economy to get rid of the“real to virtual”dilemma in the long term.Therefore,based on the idea of precise measurement and the construction of the economic cycle index and financial cycle index,this paper employs the time-varying Granger causality test and the DY dynamic spillover index to accurately investigate the time-varying correlation mechanism between China’s business cycle and financial cycle.The research finds that:First,as for the basic shape of business cycle and financial cycle,China has experienced three complete business cycles and four complete financial cycles from 2003 to 2021.This shows that there is a typical cycle mismatch between China’s business cycle and financial cycle with both typical coupling intervals and significant divergence periods.Second,as for the transmission mechanism between business cycle and financial cycle,using the traditional linear Granger causality test to identify the mechanism will lead to serious judgement bias.The time-varying Granger causality test results show that in most periods,there is no conduction relationship between business cycle and financial cycle,and only when the cycles deviate significantly from each other or rare disaster shocks occur,there will be an obvious interaction or pulling effect.Third,as for the interaction between business cycle and financial cycle,the spillover effect of financial cycle on business cycle is strong,while the spillover effect of business cycle on financial cycle is weak.However,since the outbreak of the COVID-19 epidemic,the interaction between the two cycles has significantly increased,which indicates that the correlation between China’s business cycle and financial cycle has continuously improved.Fourth,the linkage between macroeconomic variables is usually unstable,which indicates that future macroeconomic research should focus on the directionality,stability,sustainability and strength of the linkage mechanism,and strengthen the idea of precise measurement.On the one hand,it is conducive to grasping the essential relationship between economic variables;on the other hand,it is also an inevitable requirement for the modern macroeconomic governance system to emphasize efficiency,synergy and crisis management abilities.