金融周期冲击对中国经济波动的影响机制——基于时域和频域相结合的分析

The Influence Mechanism of Financial Cycle Shock on China's Economic Fluctuation——Analysis Based on the Combination of Time Domain and Frequency Domain

本文通过建立两变量SVAR模型,采用时间序列时域和频域分析相结合的方法研究了金融周期冲击对中国经济波动的影响。主要研究结论包括如下四个方面:(1)金融周期对中国经济波动的影响是非对称的,在经济衰退期和繁荣期,金融周期冲击可以分别解释经济波动的57.78%和18.01%;(2)金融周期冲击对经济周期波动的影响呈现时变性,在2011年之前,造成中国经济波动的主要冲击是金融周期冲击,可以解释经济波动的60.79%,而在此之后,只能解释经济波动的17.88%;(3)金融周期与经济周期在不同的频域内存在着双向的影响关系,但在二者的主要周期部分金融周期领先经济周期波动,说明存在着从金融周期影响经济周期波动的传导机制;(4)金融周期的中周期和短周期分别与经济周期的中周期和短周期重合,表明二者存在着周期共振。上述研究结论对于应对金融周期波动以及维持经济稳定具有良好的政策含义。

Through the establishment of a two-variable SVAR model,this paper studies the impact of financial cycle shocks on China's economic fluctuations by combining time-series analysis with frequency-domain analysis.The main research conclusions include the following four aspects:(1) The impact of financial cycle on China's economic fluctuations is asymmetrical.In the period of economic recession and boom,financial cycle shock can explain 57.78% and 18.01% of economic fluctuations,respectively;(2) The impact of financial cycle shocks on business cycle fluctuations is time-varying.Before 2011,financial cycle shocks were mainly responsible for China's economic fluctuations,which could explain 60.79% of economic fluctuations,while after that,they could only explain 17.88% of economic fluctuations.(3) The financial cycle and the business cycle have a bidirectional influence relationship in different frequency domains,but the financial cycle is ahead of the business cycle in the main cycle of the two,indicating that there is a transmission mechanism from the financial cycle to affect the business cycle volatility;(4) The middle cycle and short cycle of the financial cycle coincide with the middle cycle and short cycle of the economic cycle respectively,indicating the existence of periodic resonance between the two.The above conclusions have good policy implications for dealing with financial cycle fluctuations and maintaining economic stability.