中国金融周期测度、特征与企业债务风险  

China’s Financial Cycle Measurement,Characteristics and Corporate Debt Risk

作　　者：彭晓洁 张建翔 彭乔依 Peng Xiaojie;Zhang Jianxiang;Peng Qiaoyi(School of Management,Foshan University,Foshan Guangdong 528000,China;School of Information,Central University of Finance and Economics,Beijing 100098,China;School of Statistics and Mathematics,Zhongnan University of Economics and Law,Wuhan 430000,China)

机构地区：[1]佛山大学管理学院,广东佛山528000 [2]中央财经大学信息学院,北京100098 [3]中南财经政法大学统计与数学学院,武汉430000

出　　处：《统计与决策》2024年第22期137-142,共6页Statistics & Decision

基　　金：广东省哲学社会科学规划学科共建项目(GD24XYJ05,GD24XYJ04);佛山市社科规划重大项目(2024-ZDA03);佛山市社科规划共建项目(2024-GJ005)。

摘　　要：文章基于金融周期理论分析框架,选取2000—2021年金融市场季度数据,综合应用BP滤波法、未定权益分析(CCA)等模型分析了我国金融与经济周期演变、企业债务风险和债务风险与经济金融周期的互动关系。研究发现:(1)金融周期和经济周期存在显著的异步性,各有不同的波动周期。金融不稳定性在“异步”演化过程中频繁发生。(2)2000年Q4至2021年Q4,中国经历了一个完整的金融中周期和两个完整的经济中周期,金融中周期长度为14~15年,经济中周期长度为10年,目前中国金融短、中周期和经济短、中周期均处于下行阶段。(3)金融风险变动对金融周期、经济周期的非对称性影响存在显著差异。金融周期对非金融企业和金融企业均具有显著的正向影响,即在金融周期上行期两部门债务风险趋于上升;经济周期对非金融企业和金融企业均存在显著的负向影响,即在经济周期上行期,两部门债务风险趋于下降。Based on the theoretical analysis framework of financial cycle,this paper selects the quarterly data of financial market from 2000 to 2021,and comprehensively uses BP filter and contingent claims analysis(CCA)to analyze the evolution of China’s financial and economic cycle,corporate debt risk and the interaction between debt risk and economic and financial cycle.The findings are shown as the following:(1)The financial cycle and the economic cycle are obviously asynchronous,and each has its own fluctuation cycle.Financial instability occurs frequently in the process of“asynchronous”evolution.(2)From Q42000 to Q42021,China experienced one complete financial medium cycle and two complete economic medium cycles;the length of finan-cial medium cycle is 14 to 15 years,and the length of economic medium cycle is 10 years.At present,China’s short and medium cycle of finance and short and medium cycle of economy are in a downward stage.(3)There are significant differences in the asym-metrical effects of financial risk changes on financial cycle and economic cycle.The financial cycle has a significant positive im-pact on both non-financial enterprises and financial enterprises,that is,the debt risks of the two sectors tend to rise in the finan-cial cycle.The economic cycle has a significant negative impact on both non-financial enterprises and financial enterprises,that is,when the economic cycle goes up,the debt risk of the two sectors tends to decline.

关 键 词：金融周期 经济周期 债务风险 BP滤波法 CCA模型 

分 类 号：F832.5[经济管理—金融学]