基于交叉谱分析的我国经济周期与金融周期实证研究

An Empirical Study on China’s Economic Cycle and Financial Cycle Based on Cross Spectrum Analysis

随着金融因素在经济发展中的重要性愈发显著,信贷、资产、房地产价格及相应的金融周期与经济政策、经济周期存在怎样的关系成为监管当局和越来越多国内外学者关注的热点问题。本文基于我国1995~2019年的月度数据,对金融周期和经济周期之间的关系进行了实证分析。通过交叉谱分析了金融周期与经济周期的互动关系,对金融周期与经济周期的领先与滞后、波幅与频率等进行了研究,并给出了相应的政策建议。

With the increasing importance of financial factors in economic development,the relationship between credit,asset,real estate prices and the corresponding financial cycles and economic policies and economic cycles has become hot issue of regulatory authorities and more and more scholars.Based on China’s monthly data from 1995 to 2019,this paper conducts an empirical analysis of the relationship between the financial cycle and the economic cycle.Through the cross-spectrum analysis of the interaction between the financial cycle and the economic cycle,the lead and lag,the volatility and the frequency of the financial cycle and the economic cycle.Finally,the paper gives corresponding policy suggestions.