中国金融周期与横向关联:时空双维度相结合视角  

China's Financial Cycle and Horizontal Correlation:A Perspective Combining Time and Space

作　　者：方意[1] 邵稚权 FANG Yi;SHAO Zhiquan(School of Finance,Central University of Finance and Economics)

机构地区：[1]中央财经大学金融学院,北京102206

出　　处：《金融研究》2022年第1期38-56,共19页Journal of Financial Research

基　　金：国家自然科学基金项目(72173144,71973162);国家社科基金重大项目“负利率时代金融系统性风险的识别和防范研究”(项目编号:20&ZD101);中国博士后基金“银行‘脱实向虚’、系统性风险与宏观审慎政策”(项目编号:2020M670558);中央财经大学青年科研创新团队项目“中国金融部门系统性风险与金融稳定政策”的资助。

摘　　要：宏观审慎政策关注各金融子市场在时间维度上的金融周期和空间维度上的横向关联。本文结合时间维度与空间维度视角,使用股票市场、货币市场、房地产市场以及信贷市场的数据,测算2001—2019年中国金融周期和横向关联的波动特征、作用关系与频域叠加机理。研究结果表明:时间维度金融周期与空间维度横向关联的波动趋势具有一致性。我国金融周期长度约为10.33年,横向关联波动周期的长度约为10.58年。从作用关系上看,首先,我国房地产周期达到波峰后,会对股票市场和信贷市场产生较强的溢出效应。随后,股市周期达到波峰后,会向房地产市场和信贷市场产生较强的溢出效应。最后,我国信贷市场接受股票市场和房地产市场溢出后,信贷周期会逐渐达到波峰。从频域叠加机理的角度看,我国金融子市场间横向关联的波动主要由中低频波段驱动,中低频波段横向关联的持续期在2个月以上。Summary:This paper uses data from China's stock market,money market,real estate market,and credit market to measure the volatility and interactions of the horizontal correlation between China's financial cycles and financial sub-markets from a temporal and spatial perspective.First,we combine the two dimensions of time and space upon which macroprudential policy is based,analyze the operation of China's financial sub-markets in a comprehensive financial cycle and observe horizontal correlations therein.Second,when selecting indicators,in addition to the credit and real estate markets,which are widely used in financial cycle-related research,financial sub-markets with significant horizontal spillover effects,such as the money market and stock market,are used to jointly measure the financial cycle and comprehensively reflect its volatility.Third,based on the generalized variance decomposition spectrum representation analysis framework proposed by Baruník and Křehlík(2018),this paper measures the short-term and long-term horizontal correlations between China's financial sub-markets.The results of this empirical analysis demonstrate that the financial cycle is consistent with horizontally correlated cyclical trends.The accumulation and outbreak of systemic risk in the temporal dimension is closely related to increases in the horizontal correlation in the spatial dimension;the release of systemic risk in the temporal dimension corresponds to a gradual decline in the correlation between financial sub-markets in the spatial dimension.Changes in the horizontal correlation between financial sub-markets are the microfoundation for the simultaneous expansion and decline of financial markets in the temporal dimension.The length of China's financial cycle is approximately 10.33 years and the length of the horizontal correlation cycle in the spatial dimension is about 10.58 years.The cyclical fluctuations in the horizontal correlations in China's financial markets are driven mainly by medium-term and long-term spillovers,an

关 键 词：金融周期 横向关联 宏观审慎 频域分解 

分 类 号：E30[军事—军事理论] E50