中国金融周期的测算与研究--基于省级动态面板数据的实证分析  

Calculation and Research of Financial Cycle in China An Empirical Study Based on Provincial Dynamic Panel Data

作　　者：李宝伟[1] 丁燕芳 陈瑞华 张云[1] Li Baowei;Ding Yanfang;Chen Ruihua;Zhang Yun(School of Economics,Nankai University;Nanjing University Business School)

机构地区：[1]南开大学经济学院 [2]南京大学商学院 [3]中巴经济走廊研究中心(喀什大学) [4]南开大学

出　　处：《金融发展评论》2022年第1期1-19,95,共20页Financial Development Review

基　　金：喀什大学校内科研项目“新疆大数据和共享经济发展研究”((2020)1709)。

摘　　要：本文基于金融周期理论及BIS提出的金融周期概念,选用信贷、信贷/GDP和房地产价格三个指标构建金融周期,系统跟踪测算了2004-2018年间中国及各省市中期低频范围内的金融周期,并利用省级动态面板数据实证分析中国金融周期对经济周期的影响作用,为金融周期的研究提供了省级微观证据。结果显示:中国金融周期较西方发达国家周期长度更短、下行期持续时间长而振幅小,表明中国主动的金融调控政策降低了金融体系的波动;中国的金融周期对经济周期具有前置5个季度左右的显著正向放大作用,证实了“金融加速器”的存在;样本期末中国金融周期正处于较为痛苦的下行调整期,给经济稳增长带来更大下行压力,应持续关注金融周期的所处阶段,平衡好“防风险”与“稳增长”的关系;在省级层面上,福建省、海南省、西藏自治区等与全国的金融周期协同性较小,西部地区样本金融周期对经济周期的影响不显著,需警惕全国性的金融经济政策与自身状况不相适应可能引发的区域性金融困境与经济失调。Based on the financial cycle theory and the concept of financial cycle proposed by BIS, this paper selects three indexes of credit, credit/GDP and real estate price to construct the financial cycle, and systematically tracks the financial cycle in the middle and low frequency range of China and its provinces and cities in 2004-2018 years. The influence of China’s financial cycle on the economic cycle is analyzed empirically by using provincial dynamic panel data. This paper provides provincial microscopic evidence for the study of financial cycle. The results show that compared with western developed countries, China’s financial cycle is shorter in length, longer in duration and smaller in amplitude, which indicates that the Chinese active financial regulation policy has reduced the fluctuation of the financial system;China’s financial cycle has a significant positive impact on the economic cycle, which has about 5 quarters of the predecessor, confirming the existence of “Financial Accelerator”. At the end of the sample period, China’s financial cycle has entered a painful downward adjustment period, which has brought greater downward pressure on steady economic growth. We should continue to pay attention to the stage of the financial cycle and balance “risk prevention” and “steady growth”. At the provincial level, the financial cycle of Fujian Province, Hainan Province and Tibet Autonomous Region is less synergistic with the national financial cycle. And the financial cycle of the sample in the western region has no significant impact on the economic cycle. So we need to be wary of the regional financial predicament and economic dislocation that may be caused by the mismatch between the national financial and economic policies and their own situation.

关 键 词：金融周期 带通滤波法 区域性金融风险 

分 类 号：E44[军事—军事理论] E32