中国金融经济周期波动与财政货币政策协同调控效应分析

An Analysis of Financial and Business Cycle Fluctuation and Coordinated Regulation of Fiscal and Monetary Policy in China

实现经济与金融的双重稳定和协调发展是新时期宏观政策调控的重要任务。基于带有时变参数的因子扩展向量自回归模型与动态溢出指数方法对中国金融周期的波动特征及其与经济周期的关联动态展开的分析结果表明,中国金融周期与经济周期之间存在复杂的交互影响关系。整体而言,金融波动对经济波动的溢出影响较强,而经济波动对金融波动的定向影响则相对较弱。进一步地,基于包含潜在门限的时变参数向量自回归模型进行的反事实模拟分析表明,财政政策与货币政策的协同运用有助于实现经济与金融双重稳定的调控目标。平抑经济与金融波动有必要建立健全财政政策短期功效与货币政策长期功效之间的协调机制,并进一步强化价格型货币政策的预调微调机制,以更好地应对内外部金融冲击,实现经济与金融的协调稳定发展。

Realizing the dual stability and coordinated development of economy and finance is an important task of macro policy control in the new era.By employing the factor expansion vector autoregressive model with time-varying parameters and the dynamic spillover index method,this paper conducts an analysis of the volatility characteristics of China’s financial cycle and its correlation with the economic cycle.The findings show that there is a complex interactive relationship between the financial cycle and the business cycle in China.On the whole,the spillover effect of financial volatility on economic volatility is relatively stronger,while the directional effect of economic volatility on financial volatility is relatively weaker.Furthermore,the counter-factual simulation analysis based on the time-varying parameter vector autoregressive model with potential threshold shows that the coordinated use of fiscal policy and monetary policy is helpful to realize the dual control goal of economic and financial stability.It is necessary to establish and improve the coordination mechanism between short-term efficacy of fiscal policy and long-term efficacy of monetary policy to suppress economic and financial fluctuations,and further strengthen the anticipatory adjustment and fine-tuning mechanism of the price-based monetary policy,so as to better deal with the internal and external financial shocks and achieve the coordinated and stable development of economy and finance.