金融周期波动对宏观经济时变影响特征的实证检验

Empirical Test on Characteristics of Time-varying Influence of Financial Cycle Fluctuation on Macro-economy

在金融周期与经济周期双重冲击的叠加效应下,我国经济金融稳定及经济政策协调性正面临巨大挑战。文章运用主成分分析法合成金融形势综合指数来反映我国金融周期波动情况,并在此基础上采用SV-TVP-VAR模型探究了双支柱调控背景下我国金融周期与经济波动的内生时变动态关系,此外,还分析了货币政策或宏观审慎政策对金融周期及宏观经济的调控效果。结果表明:从短期来看,金融正向冲击对实体经济产出和物价水平具有一定促进作用,金融形势剧烈波动阶段作用强度显著放大;从长期来看,只有在金融形势相对稳定阶段,这一促进作用才会随时间延长表现得更为稳定。

Under the superposition effect of the double impact of financial cycle and economic cycle, China’s economic and financial stability and economic policy coordination are facing great challenges. This paper uses the principal component analysis(PCA) method to synthesize the comprehensive financial situation index so as to reflect the fluctuation of China’s financial cycle,and then adopts SV-TVP-VAR model to explore the endogenous time-varying dynamic relationship between China’s financial cycle and economic fluctuation under the background of double pillar regulation. In addition, the paper also analyzes the effect of monetary policy or macro prudential policy on financial cycle and macro-economy. The results show that in the short term, the positive financial shock has a certain promoting effect on the output and price level of the real economy and the intensity of the effect is significantly amplified in the stage of the violent fluctuation of the financial situation, and that in the long run, only during periods of relative financial stability does this boost become more stable over time.