中国金融周期特征及其宏观经济效应

doi:10.16381/j.cnki.issn1003-207x.2019.0990

摘要/Abstract

摘要： 合理度量中国的金融周期，准确把握其特征与经济影响，对于维护国家金融安全、保持经济平稳运行具有重要意义。本文首次基于GARCH模型对M2、房价、股价、利率和汇率的缺口值进行动态赋权，进而合成中国的金融状况指数（Financial Conditions Index，FCI）并以此测算中国的金融周期，为尚处于探索期的中国金融周期测度提供了新的方法。在此基础上，采用MS模型分析中国金融周期的特征并首次考察了四区制情形。之后，借助VAR模型考察中国金融周期的宏观经济效应。研究发现：第一，各组成变量在FCI中的相对重要性应时而变，采用基于GARCH模型的动态赋权方法来测算中国的金融周期更加贴合现实；第二，中国金融周期在状态转换上具有较强的惰性，还具有扩张多而收缩少、扩张长而收缩短的双重非对称性特征，而且中国总体金融状况的失衡十分常见；第三，中国金融扩张对于产出仅有为时10个月的短期刺激作用，对于物价上涨则有着长达两年之久的推动作用。

关键词: 金融周期, FCI, GARCH模型, MS模型, 宏观经济效应

Abstract: It is of great significance to measure China's financial cycle reasonably and to accurately grasp its characteristics and economic impact for maintaining national financial security and keeping the economy running smoothly. A new method for China's financial cycle measurement is provided. On the basis of GARCH model, this paper dynamically weights the gap values of M2, housing price, stock price, interest rate and exchange rate to synthesize China's Financial Condition Index and uses it to measure China's financial cycle. According to it, the nonlinear characteristics of China's financial cycle analyzed by using Markov-Switching model and investigates the four-zone system for the first time. Furthermore, VAR model is used to investigate the macroeconomic effects of China's financial cycle. The results show that:Firstly, the relative importance of the variables used to synthesize China's FCI changes over time.To measure financial cycle in China, the dynamic weighting method based on GARCH model is superior to many existing methods. Secondly, China's financial cycle has a strong inertia in state transition. At the same time, China's financial cycle has asymmetric characteristics of more expansion and less contraction and of long expansion and short contraction. Moreover, imbalance in China's overall financial situation is very common. Thirdly, the effect of China's financial expansion on output is only a short-term stimulus for 10 months, while it has a lasting impact on price rising.

Key words: financial cycle, FCI, GARCH model, MS model, Macroeconomic effects

中图分类号:

F830

王超, 陈乐一, 李玉双. 中国金融周期特征及其宏观经济效应[J]. 中国管理科学, 2020, 28(12): 12-22.

WANG Chao, CHEN Le-yi, LI Yu-shuang. The Characteristics and Macroeconomic Effects of China's Financial Cycle[J]. Chinese Journal of Management Science, 2020, 28(12): 12-22.

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