中国金融与经济周期的测度与分析——兼论双重周期中的政策选择
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| Title | Empirical Studies on the China’s Financial and Economic Cycles——Policy options on the double cycles
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| 作者 | 王晋斌 卢丽阳 时文东 |
| Author | Wang jinbin, Lu liyang and Shi wendong |
| 作者单位 | 中国人民大学经济学院；上海海通证券资产管理有限公司； |
| Organization | Renmin university of China; Shanghai Haitong Securities Asset Mangement Co.,Ltd. |
| 作者Email | wjinbin@ruc.edu.cn; lly_nicole@sina.com；shi@ruc.edu.cn |
| 中文关键词 | 金融周期 经济周期 频域分析 |
| Key Words | Financial cycle; Economic cycle; Domain analysis |
| 内容提要 | 本文采用了更为匹配样本数量的中低频域分析和拐点分析方法来研究中国的金融周期。从单个变量的识别结果来看，信贷、信贷/GDP、M2和房地产价格均是识别中国金融周期的重要变量，而股价并非识别中国金融周期的代表性变量。综合的金融周期实证表明，金融周期的确是与传统经济周期所不同的一种内生的经济现象，金融周期普遍比用GDP识别出来的传统经济周期的持续期更长、振幅更大。根据周期行为路径的估算，在2016年年底左右，中国的金融周期大约处于峰值拐点的附近，而经济周期基本处在槽值拐点附近，由于中国的金融周期是先行于实体经济周期的，因此，金融周期下行会对实体经济的复苏带来负面影响。宏观政策需要严格把握政策力度，确保双周期的平稳过渡。货币政策的首要目标应该是保证金融系统的稳定性，维持中性相对偏紧的状态以保证金融周期峰值拐点的平稳过渡；鉴于经济周期基本处在槽值拐点附近，需要财政政策的积极配合，在保证金融周期平稳过渡的前提下，不扼杀经济周期复苏的动力。 |
| Abstract | This paper uses more matched sample and low frequency domain analysis method to study China's financial cycle. We find credit, credit/GDP, M2 and real estate prices, not the stock prices, are important variables to identify China's financial cycle, and the financial cycle is indeed an endogenous economic phenomenon that differs from the traditional economic cycle. The financial cycle is generally longer and larger than the traditional economic cycles identified by GDP. According to the estimation of the cycle behavior path, the financial cycle of China is around the peak of the end of 2016, and the economic cycle is basically at the inflection point of the trough value. Financial cycle downturn may bring harm to the recovery of real economy. Macro-policies need to ensure the smooth transition of the double cycle. The primary objective of monetary policy should be to ensure the stability of the financial system, maintains a neutral relative tight state to ensure the smooth transition of the peak inflection point of the financial cycle. Since the economic cycle is basically in the slot-value inflection point, it needs the active cooperation of fiscal policy, without strangling the recovery of the economic cycle under the premise of guaranteeing the smooth transition of the financial cycle. |
| 文章编号 | WP1406 |
| 登载时间 | 2019-08-16 |
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