中国金融周期成分与随机冲击  

The Cycle Composition and Random Impacts in Chinese Finance

作　　者：孙彦林[1] 陈守东[2] 刘洋[1] 

机构地区：[1]吉林大学商学院 [2]吉林大学数量经济研究中心,商学院

出　　处：《金融论坛》2017年第2期35-45,共11页Finance Forum

基　　金：教育部人文社科重点研究基地重大项目:中国系统性金融风险防范与金融稳定性计量研究(14JJD790043);吉林大学研究生创新基金资助项目:新常态下系统性区域性金融风险量化分析与防范研究(2016006)

摘　　要：本文基于RTV-DFM合成的FCI分析中国金融状况,通过趋势周期分解试图揭示其趋势周期波动特征。研究发现:该金融状况指数能够很好地反映中国金融状况的历史趋势及非对称特征且具有较好的预警功能,结果显示金融危机期间的刺激政策存在滞后效应,没能及时、充分发挥其作用;中国目前已经历了两次完整的金融景气周期循环,且处在第三次循环的泡沫破灭阶段并深陷于此,结果表明中国金融周期性短期波动与FCI趋势变化背道而驰,随机性趋势成分与FCI保持一致,且随机冲击的驱动效应更为强劲。Based on the FCI synthesized by RTV-DFM, the author of this paper analyzes the Chinese financial situation, and reveals the fluctuation characteristics of trend-cycle through trend-cycle decomposition. It is found that the financial condition index can well reflect the historical trend and the asymmetric characteristics of China＇s financial situation, and has a good early-warning function. The results show that the stimulus policy during the financial crisis has lagged effects and fails to play a role fully and timely; China has experienced two complete cycles of financial boom, and is deep in the bubble burst stage of the third cycle. The results also show that the cyclical short-term fluctuation in Chinese finance runs in the opposite direction with the change in FCI trend, but the random trend composition is consistent with the FCI, and the driving effect of random impact is more robust.

关 键 词：金融周期 金融状况指数 周期波动特征 随机冲击 趋势周期分解 

分 类 号：F832[经济管理—金融学]