基于混频数据的中国金融周期波动测度

Measurement of China’s Financial Cyclical Fluctuations Based on Mixed-frequency Data

为对我国金融业运行情况进行全面和及时的监测,文章采用景气分析法筛选出六个金融一致指标,基于混频动态因子模型构建了我国金融景气指数,并提出金融周期划分准则,对2002—2019年我国金融周期波动进行了详细测度和分析。结果显示,样本期内我国金融业增长已经历了三轮完整“谷-谷”周期,平均持续期为51个月,总体上体现为“缓增速降”的长扩张型非对称特征。金融周期与经济周期之间存在一定先行关系,且这种先行关系在2012年之前更稳定,而在2014—2016年二者存在偏离。2016年以后,金融周期的振幅逐渐减小,周期波动更加温和。

In order to monitor China’s financial industry comprehensively and timely, this paper uses the boom analysis method to screen six financial consistent indicators, and then constructs China’s financial boom index based on mixed frequency dynamic factor model. Finally, the paper proposes the financial cycle division criterion, and also makes detailed measurements and analyses on China’s financial cycle fluctuation from 2002 to 2019. The results are as below: In the sample period, the growth of China’s financial industry has gone through three complete “Bottom-to-Bottom” cycles, with an average duration of 51 months, which is generally characterized by long expansion asymmetry of “slow growth and rapid decline”. There is a certain antecedent relationship between financial cycle and economic cycle, and this antecedent relationship was more stable before 2012,while there was a deviation between 2014 and 2016. After 2016, the amplitude of the financial cycle gradually decreased and the cycle fluctuation became more moderate.