中国金融周期的测度与分析

The Measurement and Analysis of China's Financial Cycle

金融周期是指宏观经济中各金融变量及其共同的作用下所引起的宏观经济的持续波动和周期性变化。文中选取国房景气指数、上证指数、金融机构期末各项贷款指标作为我国单变量金融周期的代表因素,同时为了构建更全面的金融周期指标体系,在已有变量的基础上加入了广义货币供给量、实际有效汇率指数构建了FCI指数;继而使用转折点分析法(BB法)、滤波法、谱分析法从时域和频域的角度分别刻画了中国金融周期的波动特征以及经济周期的波动特征。从具体实证结果可以发现,我国金融周期的长度在五年左右,我国金融周期的长度和波动幅度均大于经济周期,金融周期与经济周期的变化存在背离的现象。

Financial cycle refers to the continuous fluctuations and periodic changes of the macro-economy caused by the common functions of various financial variables.This paper selects the State Housing boom index,Shanghai stock index,financial institutions loans index as representatives of univariate analyais.In order to build a more comprehensive index system of financial cycle,the general money supply and real effective exchange rate index is added to construct FCI index;also,the turning point analysis(BB method),Kalman filtering method and spectrum analysis is applied from the time and frequency domain respectively to describe the volatility of China's financial cycle and economic cycle.The results show that the length of China's financial cycle is about five years,the length and fluctuation range of China's financial cycle is greater than that of the economic cycle.