中国金融周期测算及其与经济周期关系研究

China's Financial Cycle Measurement and Its Relationship With Economic Cycle

文章采用简单算术平均法、广义脉冲响应函数法、因子分析法分别构建了三支中国金融周期指数,测度1998年第一季度至2018年第一季度中国金融周期波动情形,并通过广义矩估计法探究中国金融周期对经济周期的影响。结果发现,三支中国金融周期指数当期值对经济周期均有显著的正向影响。并通过谱分析及交叉谱分析对金融周期与经济周期关系作探究,发现中国金融周期整体存在7.36个季度的周期波动,经济周期存在13.5个季度的周期波动,并且金融周期对经济周期有一定的预测能力,可以提前1.15个季度对经济周期进行有效预测。

This article uses simple arithmetic average method, generalized impulse response function method, factor analysis method to construct three financial cycle indices and measure the fluctuation of China’s financial cycle from the first quarter of 1998 to the first quarter of 2018. The paper also adopts the generalized moment estimation method to explore the impact of China’s financial cycle on the economic cycle. The results show that the current value of the three financial cycle indices has a significant positive impact on the economic cycle. Finally, the paper explores the relationship between financial cycle and economic cycle through spectrum analysis and cross-spectrum analysis, and finds that there are 7.36-quarter cyclical fluctuations in China’s financial cycle, 13.5-quarter cyclical fluctuations in the economic cycle, and that the financial cycle can effectively predict the economic cycle 1.15 quarters in advance.