中国金融周期:指标、方法和实证

China's Financial Cycle: Indicators,Methods and Empirical Research

本文在国内外金融周期已有研究的基础上,研究设计了中国金融周期的实证方法。根据中国经济金融体系的制度特征和发展实践,选择广义信贷、广义信贷/GDP以及房地产价格作为金融周期的构建指标以及具体的代理指标,在实证方法上对识别周期的转折点法和带通滤波法的参数设置进行优化调整,提高了中国金融周期实证研究的合理性和有效性。在此基础上,本文基于1998年一季度至2018年一季度的数据,对中国的金融周期进行了实证分析和交叉检验。结果表明,中国金融短周期与国家金融调控政策导向高度吻合,与经济短周期峰谷交错。金融中周期的持续时间和波动幅度显著低于西方发达国家。这反映出中国主动的金融调控政策在调控经济周期中起到了关键作用,并降低了中国金融体系的中长期波动。

On the basis of the domestic and foreign financial cycle researches,this paper designs the empiricalmethod of China’s financial cycle. According to the institutional characteristics and development practice ofChina’s economic and financial system,this paper selects the generalized credit and generalized credit/GDPand real estate price as the construction index of China’s financial cycle;improves the rationality and effective-ness of the empirical research on China’s financial cycle by adjusting the parameter setting of the band-passfilter and turning-point analysis method. On this basis,this paper conducts an empirical analysis and cross teston China’s financial cycle with data from 1 st quarter of 1998 to 1 st quarter of 2018. The empirical results showthat China’s financial short cycle is highly consistent with the guidance of government’s macro policy,and inter-laced with the economic short cycle,and the duration and volatility of the financial cycle is significantly lowerthan that of the western developed countries. This reflects that China’s active monetary policy and financial reg-ulation play a key role in control and smooth the economic cycle,and reduce fluctuations of China’s financialsystem in the long run.