货币政策冲击下中国金融与经济周期的联动机制分析

An Analysis of the Linkage Mechanism between China's Financial and Economic Cycles under the Impact of Monetary Policy

本文基于1998Q1-2022Q4时段数据,比较分析不同货币政策冲击下中国金融周期和经济周期的联动机制。主要研究结论包括:(1)中国的金融周期和经济周期总体上呈现反向波动,并在不同频域内交叉领先波动,但在二者的主周期频域内金融周期领先经济周期波动;(2)相较于数量型货币政策,价格型货币政策冲击更能拟合中国金融周期与经济周期的联动性特征;(3)在货币政策冲击引起经济周期波动的过程中,金融周期的部分中介效应是二者联动机制的重要组成部分,该效应分别在数量型和价格型货币政策冲击下起到了金融加速器和金融减速器作用。

Based on the data from 1998Q1 to 2022Q4,this paper compares and analyzes the linkage mechanism between China's financial and economic cycles under different monetary policy shocks.The main conclusions include:(1)China's fi-nancial and economic cycles generally exhibit reverse fluctuations and cross-lead fluctuations in different frequency domains,but the financial cycle leads the economic cycle in the frequency domain of their main cycle;(2)Compared to quantitative monetary policy,price-based monetary policy shocks better fit the linkage characteristics of China's financial and eco-nomic cycles;(3)In the process of economic cycle fluctuations caused by monetary policy shocks,the partial mediating ef-fect of the financial cycle is an important component of the linkage mechanism between the two,which plays a role as a financial accelerator and a financial decelerator under quantitative and price-based monetary policy shocks,respectively.