中国金融状况的波动特征及其宏观经济效应分析

Research on the Fluctuation of China's Financial Conditions and Its Macroeconomic Effects

本文基于时变参数向量自回归模型构建了中国的动态金融状况指数,并以此考察了中国金融状况的波动特征及其宏观经济效应。分析表明,中国金融状况的波动具有明显的周期性规律和缓慢扩张快速收缩的非对称性特征,且分别领先于通货膨胀和经济波动11个月和5个月左右;金融状况变动对通货膨胀和经济波动的冲击影响具有显著的非对称性特征,金融状况好转对通货膨胀和经济波动的促进作用要比金融状况恶化对二者产生的负面影响更为显著。近年来,中国金融状况处于松紧适度的良性区间,因而是新常态背景下经济结构转型升级和金融改革创新的重要契机。

This paper constructs China＇s dynamic financial conditions index based on the time-varying parameter vector autoregressive model, in order to inspect its fluctuation characteristics and predictive ability on macroeconomic variables. The results show that the FCI fluctuates cyclically and has the asymmetric characteristic with long-term expansion and short-term contraction, which fluctuates prior to inflation for about eleven months and prior to economic fluctuation for about five months.Through further analysis of FCI＇s effect on macroeconomic variables, we conclude that there are significant asymmetry characteristic in FCI＇s effect on inflation and economic fluctuation. The promoting effect of financial improvement on inflation and economic fluctuation is more obvious than the negative effect of financial deterioration. In recent years, China ＇s financial situation is located in the moderate range, which is a good opportunity for economic structure upgrading and transformation as well as the financial reform and innovation under the background of new normal economy.