管理评论

管理评论 ›› 2024, Vol. 36 ›› Issue (11): 50-60.

• 经济与金融管理 • 上一篇    

中国金融周期：指数构建及其与经济周期的相互影响

鲁小凡1,2, 王频3, 侯成琪3   

  1. 1. 中国科学院大学经济与管理学院, 北京 100109;
    2. 北京市海淀区教育科学研究院, 北京 100080;
    3. 北京理工大学经济学院, 北京 100081
  • 收稿日期:2022-05-16 发布日期:2024-12-09
  • 作者简介:鲁小凡,中国科学院大学经济与管理学院博士研究生,北京市海淀区教育科学研究院高级教师;王频(通讯作者),北京理工大学经济学院讲师,博士;侯成琪,北京理工大学经济学院教授,博士生导师,博士。
  • 基金资助:
    国家自然科学基金项目（72073104）；国家社会科学基金重大项目（20&ZD105）。

China's Financial Cycle: Index Construction and Its Interaction with Business Cycle

Lu Xiaofan1,2, Wang Pin3, Hou Chengqi3   

  1. 1. School of Economics and Management, University of Chinese Academy of Science, Beijing 100109;
    2. Haidian Institute of Education Science, Beijing 100080;
    3. School of Economics, Beijing Institute of Technology, Beijing 100081
  • Received:2022-05-16 Published:2024-12-09

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摘要： 鉴于在度量金融周期时缺乏统一的标准对众多金融周期相关变量进行筛选，本文根据金融变量是经济周期的领先指标且对经济衰退有预测作用的特性，以预测经济衰退的能力为标准筛选最优的金融周期指数，并进一步分析金融周期和经济周期的相互影响。采用受试者工作特征曲线（ROC）检验金融周期指数对经济衰退的预测能力，本文发现，以银行提供给私营非金融部门的信贷测度信贷规模，利用信贷、信贷/GDP、住房价格和股票价格四个变量估计动态因子得到的中国金融周期指数是最优的。利用TVP-SV-VAR模型进行的实证分析表明，金融周期正向冲击对经济周期的影响呈现明显的驼峰线特征，而且不存在显著的时变效应；经济周期正向冲击对金融周期的影响呈现明显的U型曲线特征，而且存在显著的时变效应；新冠疫情时期经济周期冲击对金融周期的影响与其他时期相比存在显著的差异；紧缩性货币政策冲击对经济周期的影响随着滞后期数的增加，而逐步增强并且非常持久，对金融周期的影响会非常迅速地达到高峰并开始减弱。

关键词: 金融周期, 经济周期, 受试者工作特征曲线, TVP-SV-VAR

Abstract: Because there is no unified standard to choose related financial variables in measuring financial cycle, according to the characteristics that financial variables are the leading indicators of business cycle and can predict the economic recession, this paper builds multiple financial cycle indexes, tests the ability of financial cycle indexes to predict economic recession by receiver operating characteristic curve, and then chooses the best financial cycle index. We find the best method is to measure credit scale by the credit provided by banks to the private non-financial sector, and estimate the dynamic factors by using credit, credit / GDP, housing price and stock price. The empirical analysis using TVP-SV-VAR model shows that, the impact on business cycle of positive financial cycle shock has obvious hump line characteristics and there is no significant time-varying effect; the impact on financial cycle of positive business cycle shock has obvious U-shaped curve characteristics and there is a significant time-varying effect; the impact on financial cycle of positive business cycle shock in the COVID-19 period is significantly different compared with other periods; the impact on business cycle of monetary policy shock gradually increases with the increase of the number of lag periods and is very lasting, and the impact on the financial cycle of it will peak very quickly and begin to weaken.

Key words: financial cycle, business cycle, receiver operating characteristic curve, TVP-SV-VAR