中国金融周期与经济周期的关联性研究

Research on the Correlation between China's Financial Cycle and Economic Cycle

本文选取了1999年以来的月度金融数据,基于VAR模型,构建了一个可以综合反映我国金融松紧程度的金融状况指数(FCI),且用该指数来反映我国金融周期的变化趋势。在此指数的基础上,采用频域的格兰杰因果检验的方法,分别讨论了我国的金融状况指数与宏观一致指数(MI)、月度GDP同比增速的互动关系。分析结果表明:FCI指数可以在不同频段为一致指数和GDP增速提供预测信息,而我国一致指数不能为金融状况指数提供预测信息,GDP增速指标可以在不同频段为金融波动状况提供预测信息,因此一方面从实证分析的角度说明了金融与实体经济的内在一致性,另一方面也为我国政府制定相应宏观经济政策以应对金融风险的发生提供理论依据。

This paper selected the monthly financial data since 1999,based on the VAR model and constructed a comprehensive reflection of the financial tightness degree of China＇s financial condition index,and the index can reflect the change trend of China＇s financial cycle. On the basis of this index,the interactive relation between the financial condition index and our country＇s consistent index and monthly GDP growth rate is analyzed by the Granger causality test in the frequency domain. The analysis results show that the FCI index can provide predictive information for consistency index and GDP growth rate in different frequencies and our consistent index can provide predictive information for the FCI index. GDP growth rate can provide predictive information for financial fluctuations in different frequencies,so on the one hand from the angle of empirical analysis shows that the internal consistency of Finance and entity economy; on the other hand,it provides a theoretical basis to deal with the financial risks for our government to formulate corresponding macroeconomic policies.