金融压力指数对金融周期和经济周期的预测作用研究

The Study of The Forecasting Function of Financial Cycle and Economic Cycle by using of Financial Stress Index

本文在概述经济周期、金融周期及金融压力指数文献基础上,构建金融压力指数,通过VAR模型验证金融压力指数与金融周期、经济周期之间存在的实证关系,得出金融压力指数对于金融周期和经济周期有一定的预测作用,金融周期和经济周期之间存在相互影响的关系,金融压力指数不断变大的趋势预示着经济衰退的概率在增加。提出归纳国内历经的金融风险事件形成成文资料、将金融压力指数纳入到统计指标预警经济周期及金融周期、引导金融市场健康发展促进宏观经济稳健发展等政策建议。

On the basis of describing documentation about the economic cycle, the financial cycle and the financial pressure index, the paper constructs the financial pressure index. The empirical relationship about the financial pressure index and the financial cycle and the economic cycle is verified by the VAR model and the Logit model. This paper reaches some conclusions: the financial pressure index has a certain preview on the financial cycle and the economic cycle, there is a mutual influence between the financial cycle and the economic cycle, and the increasing trend of the financial pressure index indicates an increase in the probability of the recession. Finally, we put forward some relevant policy recommendations.