中国金融周期的叠加机理及其与经济周期的交互影响

The Superposition Mechanism of Financial Cycle and Its Interaction with Business Cycle in China

本文运用TVP-FAVAR模型构建动态金融形势指数测度中国金融周期,基于小波变换方法,探究了金融周期的波动特征,以及不同频率波动成分的叠加机理,并采用频域连通性方法,实证检验了不同频带下金融周期与经济周期之间的交互影响动态。研究结果表明,金融周期由不同频率的波动成分叠加而成,其中,主周期表现为3~4年的中周期波动成分,高频短周期波动仅在各金融子市场波动的共同驱动下于全球金融危机期间出现,低频长周期波动主要源自信贷、汇率和房地产市场波动;金融周期波动对经济周期波动产生了较高的冲击影响,且主要表现为中短期效应。相比之下,经济周期波动对金融周期波动的影响水平明显较低。

The virtuous circle and healthy development of economy and finance is an important issue related to the overall situation of economic and financial development in China. The purpose of this paper is to fully understand the interaction mechanism between financial system and the macroeconomy, exploring the coordinated and stable development path of finance and economy from multiple perspectives.Based on the TVP-FAVAR model, this paper constructs a dynamic financial condition index to measure the financial cycle in China. Further, this paper explores the fluctuation characteristics of financial cycle and the superposition mechanism of different frequency fluctuation components based on the wavelet transform method, and employs the frequency domain connectivity to empirically investigate the dynamic interaction between the financial cycle and the business cycle under different frequency bands.The results show that:firstly, the financial cycle is superimposed by fluctuation components of different frequencies, among which the main cycle is expressed as the medium cycle fluctuation component of about 3 to 4 years, the high-frequency short cycle fluctuation only occurs during the global financial crisis driven by the fluctuation of various financial sub-markets, and the low-frequency long cycle fluctuation mainly comes from the fluctuation of credit, exchange rate and real estate market. Secondly,financial cycle has a significantly higher impact on business cycle, which is mainly manifested as a medium-term and short-term effect, while the impact of business cycle on financial cycle is significantly lower.This paper provides useful experience and policy enlightenment for giving full play to the support and service functions of finance to the real economy and realizing the coordinated and stable development of economy as well as finance in the new era. First of all, it is necessary to comprehensively monitor the overall operation situation of the financial system and each financial sub market, distinguishing and identifying the resonance and superposition of the components of different frequency periodic waves. Secondly, while standardizing the financial investment of non-financial enterprises and actively guiding investors to make long-term value investment, efforts should also be made to drive the transformation and upgrading of the real economy with innovation, thus increasing the investment attraction of the real economy, so as to fundamentally reverse the trend of capital from the real to the virtual. Finally, we should further understand the law of the long-term and short-term effects of financial shocks on the real economy, proactively coordinating and matching the financial and economic development scale, so as to realize the short-term benign balance and long-term sustainable development of economy and finance.