中国经济波动的因素分解:金融冲击重要吗?  

Decomposition of Factors in China's Economic Fluctuations:Is Financial Shock Important?

作　　者：刘尧成[1] 吕昕 Liu Yaocheng;Lv Xin(Dongwu Business School,Soochow University,Jiangsu Suzhou 215000)

机构地区：[1]苏州大学东吴商学院,江苏苏州215000

出　　处：《金融发展研究》2018年第10期3-11,共9页Journal Of Financial Development Research

基　　金：国家社科基金项目"国际量化宽松冲击对中国经济的动态影响与应对策略研究"(批准号:13CJL030)

摘　　要：本文首先应用因子分析方法,将影响中国经济波动的因素分解为金融冲击、需求冲击和供给冲击三类公共因子,随后分析了三类因子对中国经济波动的动态影响。主要结论包括如下三点:首先,金融冲击因子比供给和需求冲击因子更能拟合中国经济的周期波动;其次,三类因子各自对中国经济波动产生的短、中、长期影响走势基本一致,且都在2009年前后出现了拐点,其中金融冲击的影响在拐点前后逐步由负向转变为正向,反映了中国金融抑制的程度在逐步减轻,而供给和需求冲击虽然一直产生正向的冲击影响,但在拐点之后影响的程度都在逐步降低;最后,方差分解分析表明金融冲击对中国经济周期波动的解释程度在13%左右,而供给和需求冲击都在30%左右。这些结论表明供求冲击因素是近年来中国经济增速下滑的主要原因,但从未来趋势来看,金融冲击的影响会越来越重要。基于这些结论,本文也给出了相关政策建议。The paper firstly uses factor analysis method to decompose factors which affect China's economic fluctuations into three types:financial shocks,demand shocks,and supply shocks.Then we analyze the dynamic effects of these factors from 2006Q1 to 2017Q2.The main conclusions include the following three points:firstly,the financial factors describe the cyclical fluctuations of China's economy better than the supply and demand factors.Secondly,these factors affect China's economic fluctuations similarly on the short-term,mid-term and long-term.In 2009,there was an inflection point after which the impact of financial shocks changed from negative to positive,meanwhile supply and demand shocks always had a positive impact,though the degree decreased after the inflection point.Finally,the decomposition of variance shows that the financial shocks explain about 13%of China's economic cycle fluctuations,while the supply and demand shocks both explain about 30%.These conclusions indicate that supply and demand factors are the main reasons for the slowdown in China's economic growth in recent years.However,in the long term,the impact of financial shocks on China's economic fluctuations will tend to increase,while supply and demand shocks will decrease.Based on these conclusions,this paper also gives some relevant recommendations.

关 键 词：经济波动 金融冲击 供求冲击 因子分析 时变参数 

分 类 号：F830[经济管理—金融学]