中国金融周期与经济周期的交互影响作用分析——基于动态溢出指数方法的实证研究

The Interaction between Financial Cycle and Business Cycle in China: An Empirical Analysis Based on the Dynamic Spillover Index

充分了解金融周期与经济周期之间的交互影响和作用规律,不仅对于新时期深化金融体制改革、增强金融服务实体经济的能力以及避免金融体系与实体经济脱钩具有重要的现实意义,而且也成为科学制定金融监管措施与宏观调控政策、有效维护金融体系与宏观经济双重稳定的突破口。文章在选取利率、汇率、货币供给、社会融资规模和资产价格等多维金融指标构建金融形势指数并测度中国金融周期的基础上,进一步采用基于广义预测误差方差分解的动态溢出指数方法考察了中国金融周期与经济周期的交互影响作用。研究表明:宏观金融与经济波动之间的交互影响受到国际金融市场震荡、经济金融对外开放程度、金融市场发展及金融工具创新等诸多因素的影响;金融波动对经济波动具有十分显著的冲击影响,而经济波动对金融波动的影响作用则一直维持在较低水平,金融体系"脱实向虚"的现象值得警惕。

Currently,it is believed that the economy in China is at a very specific period of "three-phase superposition",where the coexistence of economic downward pressure and accumulated financial risks brings higher requirements and more challenges to macroeconomic regulation and financial supervision.In this situation,a thorough study of the dynamic interaction between financial cycle and business cycle would contribute to a better understanding of the macroeconomic in the new era,specifically the essence of the financial system.Furthermore,it could be considerably practical to formulate financial supervision and rnacroeconomic regulation policy scientifically,and to enhance the ability of financial risk control and the support from the financial system to the real economy,hence guarantee the stability of the macro-economy and the financial system. In this paper,interest rate,exchange rate,money supply,aggregate financing to the real economy and asset prices are selected to build the financial condition index (FCI),which could be helpful to analyze the characteristics of financial cycle fluctuation in China.Furthermore,the dynamic spillover index method,based on generalized prediction error variance decomposition,is adopted to focus on the interaction between financial cycle and business cycle in China.It is revealed in the results that the interaction between macro-finance and economic fluctuation is affected by numerous factors,such as the shock of the international financial market,the openness of the economic and financial market,the development of the financial market,and the innovation of financial instruments.Besides,the impact of financial fluctuation on economic fluctuation is significantly high,while that of economic fluctuation on financial fluctuation remains apparently lower constantly.Hence,the phenomenon called "off real to virtual"in the financial system deserves vigilance. The research not only obtains the interaction between financial cycle and business cycle from time-varying and directional aspects,but also provides useful decision-making basis enlightenment for financial risk supervision policy and macroeconomic regulation.This paper holds that on the one hand,considering the important influence and the amplification effect of financial cycle fluctuation on macroeconomic fluctuation,we should pay close attention to the domestic and international economic and financial situations,strengthen supervision and anticipation management of financial risks,actively guide the financial sector return to the service standard, and avoid the financial system losing contact with the real economy and become a self-service system.On the other hand,we are supposed to further improve the dual-pillar regulatory framework of monetary policy and macro-prudential policy based on the financial-economic endogenous linkage mechanism,and actively explore the monetary policy regulatory model that takes into account financial stability while improving the local regulatory and supervision of macro-prudential policy for financial imbalances,so as to achieve the dual stability and coordinated development of the macro-economy and the financial system.