中美两国金融子市场的周期波动特征与传导机制研究——基于频域视角的比较分析  

The Fluctuation Characteristics and Transmission Mechanism of Financial Sub-market Cycles in China and the US—An Analysis Based on Frequency

作　　者：邓创[1,2] 赵修仪 赵珂 Deng Chuang;Zhao Xiuyi;Zhao Ke(Center for Quantitative Economics,Jilin University,Changchun 130012,China;Business School,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]吉林大学商学院,吉林长春130012

出　　处：《数量经济研究》2021年第1期20-38,共19页The Journal of Quantitative Economics

基　　金：国家自然科学基金面上项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(71873056);教育部“春晖计划”合作科研项目“中国经济与金融不确定性的动态评估与交互影响机制研究”;吉林省社会科学基金重点项目“吉林省维护金融稳定与推动经济高质量发展的平衡路径与对策研究”(2020A15);国家社会科学基金一般项目“中国信贷周期形成机理的动态转换与宏观调控研究”(20BJY022);吉林大学研究生创新基金资助项目“不确定性冲击下金融风险的衍生机理、传导途径与预防机制”(101832020CX069)的联合资助。

摘　　要：本文综合运用频域分析和相位分析等方法,考察了中美两国股票市场、债券市场、信贷市场、房地产市场、货币市场和外汇市场等金融子市场的波动特征,并实证检验了两国金融波动在各子市场之间的传导机制。研究发现:(1)中美两国各金融子市场最主要的周期性波动表现为9年左右的中周期波动,其次为3年左右的短周期波动;(2)中美股票市场均是各自金融体系中的主要先导因素,相比之下中国金融市场波动的传导路径较为清晰,主要表现为“股票市场—外汇市场—债券市场—信贷市场”和“股票市场—房地产市场”两条路径;(3)中美两国除房地产市场关联性较弱以外,其余金融子市场之间均存在密切联系,且由金融危机前的美国金融市场先导状态逐渐演变为当前的交替领先状态;(4)在中美两国各自金融市场与实体经济之间的作用关系中,美国表现为实体经济引领金融市场的基本态势,而中国则呈现金融因素的先行引导趋势,金融市场作为宏观经济“晴雨表”的功能相对凸显。This paper uses frequency domain analysis and phase analysis to investigate the volatility characteristics of the stock market,bond market,credit market,real estate market,money market and foreign exchange market of China and the US,and empirically tests the transmission mechanism of financial volatility between each sub-markets.The results show that:(1)the main cyclical fluctuation of the financial sub-markets of the two countries is about 9 years of medium cycle volatility,followed by about 3 years of short cycle volatility;(2)the stock markets of China and the US are the main leading factors in their respective financial systems,in contrast,the transmission path of China s financial market volatility is relatively clear,mainly manifested in two paths,such as“stock market-foreign exchange market-bond market-credit market”and“stock market-real estate market”;(3)except for the weak connection of real estate market,the other financial sub-markets in China and the US are closely related,and gradually evolved from the leading state of American financial market before the financial crisis to the current alternative leading state;(4)the role of China and the US in their respective financial markets and the real economy among them,the US shows the basic trend that the real economy leads the financial market,while China shows the leading trend of financial factors,and the function of financial market as a macro-economic“barometer”is relatively prominent.

关 键 词：金融周期 传导机制 频域分析 中美 

分 类 号：F224.0[经济管理—国民经济]