基于区制转移模型的金融周期时变特征研究

Research on Time-varying Characteristics of Financial Cycle Based on the Regime-switching Model

基于由金融资产价格、金融规模和金融景气三个维度构成的金融周期指数,考量金融周期的阶段性特征,在马尔科夫区制转换模型加入自回归项,利用金融周期的自回归进行区制转换,刻画出金融周期的区制特征,选取最优Copula函数对金融周期和经济周期的关联性特征。结果表明:中国金融周期分为三个较为明显的阶段;中国金融周期分为扩张和收缩两种状态,且扩张和收缩两种状态都具有极高的稳定性;滞后2阶的金融周期和经济周期之间有较强的正相关关系。

In the context of increasingly different characteristics between financial cycle and economic cycle,it is of great significance to measure the financial cycle and study its time-varying characteristics.Firstly,we analyze the periodic characteristics of the financial cycle by compiling the financial cycle index consisting of the three dimensions of financial asset prices,financial scale and financial prosperity.Secondly,after adding the autoregressive term to the Markov Regimeswitching model,we use the autoregressive of the financial cycle to convert the regime to describe the regime characteristics of the financial cycle.Finally,the optimal Copula function is selected to analyze the relevance of financial cycle and economic cycle.The results show that China＇s financial cycle is divided into three more obvious phases.And then,China＇s financial cycle is divided into two states：expansion and contraction,and both expansion and contraction have extremely high stability.Lastly,there is a strong positive correlation between the financial cycle and the economic cycle with the second-order lag.