中国金融韧性、叠加效应及其与经济周期的交互分析

Financial Resilience,Additive Effects and Its Correlation with Business Cycles

本文运用机器学习的决策树算法对中国金融韧性指数的构成指标进行筛选,使用熵权法构建2011年1月至2020年6月中国金融韧性指数,基于离散小波分析方法测度了金融韧性周期并研究其叠加效应,采用BK分解方法进行不同频域下金融韧性周期与经济周期的交互分析。本文得出三点结论:第一,金融韧性的主周期表现为28~32个月的高频短周期,它由不同频率的波动叠加构成,主要包括金融韧性三个评价维度的叠加效应,高频短周期的波动主要由防御抵抗能力和适应恢复能力波动导致,中频中周期主要由转换学习能力波动导致。第二,在金融韧性周期与经济周期的交互分析中,金融韧性周期对经济周期波动产生了较高的冲击影响,主要表现为高频短周期效应;而经济周期对金融韧性周期波动也会产生影响,主要表现为低频长周期效应。第三,在新冠肺炎疫情时期,金融韧性周期对经济周期波动的影响较小;经济周期对金融韧性周期波动的影响也较小,但是该影响在未来有增大的趋势。

This article selects the indicators of Chinese Financial Resilience Index using XGBoost,constructs the Chinese Financial Resilience Index between January 2001 and June 2020 using entropy weights,and measures the financial resilience cycle as well as examining its additive effects using discrete wavelet analysis.It also utilizes Barunik and Krehlik’s(2018) frequency domain connectivity and tests the interplay of financial resilience and business cycles.Findings are as follows.First,the main financial resilience cycle is represented as about 28-32 months long high-frequency short-term cycles,which consist of wavelets of various-frequencies,including the additive effects with three assessment dimensions,i.e.,high-frequency fluctuations induced by resilience and adaptivity,and middle-frequency fluctuations induced by conversion learning.Second,as to the correlation of financial resilience and business cycles,financial resilience has a higher impact on business cycles,showing high-frequency short-term effects,while business cycles affect financial resilience,showing low-frequency long-term effects.Third,during the Covid-19 period,the resilience cycle slightly has a moderate effect on the economic cycle while the impact of financial resilience is equally moderate but shows a tendency to increase with time.