中美金融周期的协动性及其传导途径分析  

The Co-movement and Transmission between Financial Cycles in China and the United States

作　　者：邓创[1] 徐曼[2] 

机构地区：[1]吉林大学数量经济研究中心暨商学院 [2]吉林大学商学院

出　　处：《世界经济研究》2015年第11期12-20,127,共9页World Economy Studies

基　　金：国家社会科学青年基金项目"我国现阶段潜在产出及产出缺口变动特征研究"(项目编号:11CJL012)和"我国信贷周期及其宏观审慎监管研究"(项目编号:12CJY109);教育部人文社会科学重点研究基地重大项目"调整型经济增长对我国居民可持续性消费影响的实证研究"(项目编号:13JJD790011);中央高校青年学术骨干支持计划"中国金融的周期波动特征及其宏观经济效应分析"(项目编号:2015FRGG09)的资助

摘　　要：文章选取利率、货币供给、信贷、汇率、房价和股价6类金融指标,利用结构向量自回归模型合成了中美两国的金融形势指数,以考察两国金融周期的波动特征和协动性,并进一步分析了不同协动性水平下两国金融周期波动的传导途径。研究结果表明,中美两国金融形势均存在3年左右的短周期波动,并且表现出截然不同的非对称性特征;近年来中美两国金融周期的协动性发生了显著变化,其主要影响因素以及金融风险的传递渠道也表现出明显的阶段性差异。这些研究结果为进一步理解中美两国金融周期的波动态势和联动机制,有效防御国际金融波动对中国实体经济的冲击提供了有益的经验参考和政策启示。Based on interest rate,money supply,credit,foreign exchange,housing and stock prices,this paper employed a structural vector autoregression model to synthesize financial conditions indices in China and the United States,investigated fluctuation characteristics and co-movement of financial cycles,and further analyzed different transmission channels through which the financial risk transmitted under different level of financial cycle co-movement. The results show that there is approximately 3-year short cycle both in China's and the United States' financial fluctuations which have distinct asymmetry,and recently the co-movement between the financial cycles in China and the United States has been changed by different factors during different periods. These results provide useful experience and policy implications for understanding the linkage between the financial cycles in China and the United States and defending impacts of international financial fluctuations on China's real economy.

关 键 词：金融周期 金融形势指数 协动性 中美 

分 类 号：F832[经济管理—金融学] F837.12