动态金融状况指数的跨国效应研究

Research on the Transnational Effect of Dynamic Financial Conditions Index

本文首先使用TVP-SV-FAVAR和动态贝叶斯模型平均构建了金融状况指数,然后以金融状况指数作为金融周期的代理变量,使用TVP-SV-VAR模型探究了中国、美国、欧元区和日本之间金融周期的相互联系。与以往研究主要关注全球金融周期趋同的特征不同的是,本文研究并发现中国的金融周期与美,欧,日有分化特征。具体来说,中国与美国在整个样本区间内都表现出金融周期分化的特征;在2009年以后,中国与欧元区之间出现了金融周期分化;在2012年之后,中国与日本的金融周期开始分化。本文的结论提示相关人员应该关注我国与世界主要国家金融周期的分化特征,并据此实施有针对性的经济政策。

In this paper,we first construct financial conditions indexes for China,the United States,the Eurozone and Japan via TVP-SV-FAVAR model and dynamic Bayesian model averaging.Using these financial conditions indexes as proxy variables for the financial cycle,we then employ a TVP-SV-VAR model to study the interrelationships of financial cycles among these countries.Unlike previous studies that focused on the convergence of the global financial cycle,this article finds that China’s financial circle is different from those of USA,Eurozone and Japan.We find that China and the United States show the characteristics of financial cycle differentiation throughout the sample.After 2009,there is a financial cycle differentiation between China and the Eurozone.After 2012,the financial cycle between China and Japan begins to differentiate.Our findings show that we should pay attention to the differentiation of financial cycles between China and other major countries,and implement targeted economic policies accordingly.