全球金融周期、中国金融周期和中国宏观经济

Global Financial Cycle,Chinese Financial Cycle,and China's Macroeconomy

随着中国金融开放程度的加大,全球金融周期对中国宏观经济的影响以及中国金融周期在其中发挥的作用日益受到关注。本文首先通过构建包含全球银行系统和国际债券市场的理论模型分析了全球不确定性、全球风险资产价格和全球资本流动三方面的全球金融周期对中国宏观经济的影响。研究发现,全球金融周期衰退对中国宏观经济有负向影响,该影响在中国金融周期衰退期更强,在中国宏观审慎政策严格时则较弱。其次,本文使用门限向量自回归(TVAR)模型实证分析了全球恐慌指数VIX、全球风险资产价格共同因子MAR、全球资本流动共同因子CF1三种全球金融周期在中国金融周期不同区制下对中国宏观经济的影响,以及宏观审慎政策的实施效果。最后,在更换中国宏观经济变量和宏观审慎政策变量、使用其他宏观计量方法、使用微观数据及微观计量方法等稳健性检验下该结论均成立。

With the increasing openness of China's financial system,the impact of the global financial cycle on China's macroeconomy and the role of the Chinese financial cycle in the impact have attracted more and more attention.This paper first analyzes the impact of the global financial cycle on China's macroeconomy from three aspects:global uncertainty,global risk asset prices,and global capital flows,by constructing a theoretical model that includes the global banking system and the international bond market.The study finds that a global financial cycle downturn has a negative impact on China's macroeconomy,with a stronger effect during periods of Chinese financial cycle downturns and a weaker effect when China's macroprudential policies are strict.Furthermore,the paper empirically analyzes the effects of three global financial cycle indicators,namely,the global panic index VIX,the global risk asset price common factor MAR,and the global capital flow common factor CF1,on China's macroeconomy under different phases of the Chinese financial cycle,as well as the effectiveness of macroprudential policies,using a threshold vector autoregression(TVAR)model.Finally,all of the robustness tests,using alternative Chinese macroeconomic variables and macroprudential policy variables,alternative macroeconometric methods,and micro-level data and methods,support the findings.