我国金融经济周期的区制效应分析  

Analysis of the Regime Effect on China's Financial Business Cycles

作　　者：郑小琴 ZHENG Xiaoqin(School of Economics and Finance,Huaqiao University,Quanzhou 362000,China)

机构地区：[1]华侨大学经济与金融学院,福建泉州362000

出　　处：《经济与管理》2022年第5期53-62,共10页Economy and Management

基　　金：国家社科基金重大项目(18ZDA093)。

摘　　要：金融经济周期是指金融因素导致的经济周期波动。基于金融周期和经济周期指数,通过马尔科夫区制转换向量自回归模型(MS-VAR),对我国金融放大经济波动的区制效应进行实证研究,结果表明:金融对经济波动的放大效应在不同的时间区间是不同的,经济处于剧烈波动期时,金融对经济波动的放大效应比经济处于平稳期时更为强烈。金融加速器理论与不确定性、公众预期、金融结构的变化和影子银行的发展等因素叠加在一起造成了不同时期金融放大经济波动的不同。央行应通过甄别不同时期内放大效应的不同,设计有区别的货币政策与宏观审慎政策,并且有针对性地选择预期管理形式以减轻金融对经济波动的不利影响。The financial economic cycle refers to the fluctuation of the economic cycle caused by financial factors.Based on constructing the index of the financial cycle and economic cycle,by constructing the Markov Switch Vector Auto Regressive Model(MS-VAR),this paper conducts an empirical study on the regime effect of China's finance amplifying economic fluctuations.The results show that the amplifying effect of finance on economic fluctuations is different in different time intervals.When the economy is in a period of se-vere fluctuations,the amplifying effect of finance on economic fluctuations is stronger than when the economy is in a stable period.The theory of financial accelerator,as well as factors such as uncertainty,public expectations,changes in financial structure,and the de-velopment of shadow banking,have combined to cause differences in financial amplification of economic fluctuations in different peri-ods.The central bank should design differentiated monetary policies and macro-prudential policies by identifying the differences in the amplification effect in different periods and select the form of expected management in a targeted manner,to reduce the adverse impact of finance on economic fluctuations.

关 键 词：金融周期 金融加速器 MS-VAR 区制效应 

分 类 号：F830.9[经济管理—金融学]