金融周期与经济周期的时变关联机制与非对称传导效应

Time-varying Correlation Mechanism and Asymmetric Transmission Effects between Financial and Business Cycles

通过构建有效反映金融周期运行状况的综合指标,采用具有时变参数的向量自回归模型,深入分析中国金融周期与经济周期之间的关联机制和传导效应,结果显示:以2008年美国金融危机为分水岭,中国金融周期和经济周期的关联方式出现了结构性转变,金融危机前经济结构参数在不同经济背景下表现出显著的时变性,而在危机后则逐步趋于稳定;金融危机后中国经济周期对金融周期的短期与长期效应发生了反转,同时两者之间的传导效应发生了结构性转变,金融周期对经济周期具有带动作用,而经济周期则对金融周期表现出抑制作用。

By constructing comprehensive indicators that effectively reflect the operation of the financial cycle,this study employed a vector autoregressive model with time-varying parameters to conduct an in-depth analysis of the correlation mechanism and transmission effects between financial and business cycles in China.The following results were obtained.Taking the U.S.financial crisis in 2008 as a watershed,structural changes have occurred in the manner in which both financial and business cycles in China are related.Economic structure parameters before the financial crisis demonstrated significant time variability under different economic backgrounds,but gradually stabilized after the financial crisis.Furthermore,the short-and long-term effects of the business cycle on the financial cycle in China have reversed.At the same time,structural changes have occurred in the transmission effects between both cycles,where the financial cycle spurred the business cycle,but the business cycle inhibited the financial cycle.