中国金融周期的波动特征及影响因素分析  

Analysis on Fluctuation Characteristics and Influencing Factors of China’s Financial Cycle

作　　者：李世权[1] 陈赤平[1] 刘尧成[2] Li Shiquan;Chen Chiping;Liu Yaochong(Business School,Xiangtan University,Xiangtan Hunan 411105,China;Business School,Soochow University,Suzhou Jiangsu 215006,China)

机构地区：[1]湘潭大学商学院,湖南湘潭411105 [2]苏州大学商学院,江苏苏州215006

出　　处：《统计与决策》2019年第23期148-151,共4页Statistics & Decision

基　　金：国家社会科学基金资助项目(19BJL020)

摘　　要：文章构建了中国的金融周期指数并对其波动特征进行了分析,发现中国金融周期波动存在着显著的"双周期",长度分别为8年和1.5年。并分析了国内外冲击因素对中国金融周期波动的影响机制,发现代表国内冲击因素的M2和代表国际冲击因素的人民币REER都是中国金融周期变化的领先指标,而且二者与金融周期的互谱峰值与金融周期的自谱峰值恰好重合,说明这两种冲击因素能够很好地拟合金融周期的波动。This paper constructs China’s financial cycle index and analyzes its volatility characteristics,discovering that there is a significant"double cycle"in China’s financial cycle volatility,with the cycle length of 8 years and 1.5 years respectively.And the paper also analyzes the impact mechanism of domestic and foreign impact factors on China’s financial cycle fluctuations,finding that M2,which represents domestic shock factors,and RMB REER,which represents international shock factors,are both leading indicators of financial cycle changes in China,and they coincide with the peak of mutual spectrum and self-spectrum of financial cycle,which shows that these two shock factors can well fit the fluctuation of financial cycle.

关 键 词：金融周期 谱分析 时变参数 实际有效汇率 广义货币供应量 

分 类 号：F83O[经济管理—金融学]