金融周期对中国经济结构失衡的传导机制分析
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摘要
通过构造相关经济指标分析金融周期影响中国经济结构失衡的"冲击-传导"机制。主要结论包括:首先,在影响方向上,金融周期冲击的影响下中国经济内部失衡指数和中长期资本流动会呈现顺金融周期的波动,而经常账户和短期资本流动会呈现逆金融周期的波动。其次,在影响程度上,金融周期对结构失衡指数的变动起到了"金融加速器"的作用,体现在放大了经济内部失衡指数和经常账户的中长期波动,同时加剧了资本的短期流动。再次,在影响的数量方面,金融周期冲击分别能够解释内部和外部失衡指数近30%和20%的波动。最后,对这些结论进行了解释,并提出了相应的政策建议。
This paper analyzes the transition mechanism of financial cycle shock on China's economy structure imbalance by constructing related indexes.The main conclusions are as follows:firstly,in the direction of impact,financial cyclical shocks have pro-financial cyclical influence on China's internal imbalance index,and on medium & long-term capital flows,while counter financial cycle influence on current account balance and short-term capital flows.Secondly,in the degree of influence,financial cycle plays a role of "financial accelerator" on China's economic structure imbalance indexes,which is reflected in the enlargement of the middle and long term fluctuations in the internal imbalance index and the current account,and at the same time intensifies the short-term flow of capital.Finally,in terms of quantities impacts,financial cycle can explain the variance of China's internal and external imbalance indexes by nearly30%and 20%respectively.This paper interpretations of these conclusions and puts forward corresponding policy recommendations.
This paper analyzes the transition mechanism of financial cycle shock on China's economy structure imbalance by constructing related indexes.The main conclusions are as follows:firstly,in the direction of impact,financial cyclical shocks have pro-financial cyclical influence on China's internal imbalance index,and on medium & long-term capital flows,while counter financial cycle influence on current account balance and short-term capital flows.Secondly,in the degree of influence,financial cycle plays a role of "financial accelerator" on China's economic structure imbalance indexes,which is reflected in the enlargement of the middle and long term fluctuations in the internal imbalance index and the current account,and at the same time intensifies the short-term flow of capital.Finally,in terms of quantities impacts,financial cycle can explain the variance of China's internal and external imbalance indexes by nearly30%and 20%respectively.This paper interpretations of these conclusions and puts forward corresponding policy recommendations.
引文
[1]刘尧成,顾淳.中国高储蓄率的测度与动态影响机制研究[J].统计与信息论坛,2015(3).
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[12]Burns A F,Mitchell W C.Measuring Business Cycles[J].NBER Books,1946,78(1).
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(1)投资占GDP的比率也近似于等于储蓄率,因为在一个两部门经济中一般认为投资率等于储蓄率。
(1)在经济波动的系列研究文献中,一般认为在经济处于稳态时投资占GDP的比重应该在0.25左右,而经常账户和资本账户的差额为0。
(1)有关SV-TVP-VAR的MCMC模拟参数估计方法可以参见Nakajima[14]。
[2]项俊波.中国经济结构失衡的测度与分析[J].管理世界,2008(9).
[3]柳庆刚,姚洋.地方政府竞争与结构失衡[J].世界经济,2012(12).
[4]张斌,茅锐.工业赶超与经济结构失衡[J].中国社会科学,2016(3).
[5]刘小玄,周晓艳.金融资源与实体经济之间资源配置关系的检验[J].金融研究,2011(2).
[6]陈彦斌,陈小亮,陈伟泽.利率管制与总需求结构失衡[J].经济研究,2014(2).
[7]刘尧成.信贷约束下货币供给对中国经济结构失衡的影响[J].上海经济研究,2014(11).
[8] Borio C.The Financial Cycle and Macroeconomics:What Have We Learnt[J].Journal of Banking&Finance,2014,45(8).
[9] Iacoviello M.Financial Business Cycles[J].Review of Economic Dynamics,2015,18(2).
[10]陈雨露,马勇,阮卓阳.金融周期和金融波动如何影响经济增长与金融稳定?[J].金融研究,2016(2).
[11]范小云,袁梦怡,肖立晟.理解中国的金融周期:理论,测算与分析[J].国际金融研究,2017(1).
[12]Burns A F,Mitchell W C.Measuring Business Cycles[J].NBER Books,1946,78(1).
[13]Primiceri G E.Time Varying Structural Vector Autoregressions and Monetary Policy[J].The Review of Economic Studies,2005,72(3).
[14]Nakajima J.Time-Varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[J].Monetary and Economic Studies,2011,29(7).
(1)投资占GDP的比率也近似于等于储蓄率,因为在一个两部门经济中一般认为投资率等于储蓄率。
(1)在经济波动的系列研究文献中,一般认为在经济处于稳态时投资占GDP的比重应该在0.25左右,而经常账户和资本账户的差额为0。
(1)有关SV-TVP-VAR的MCMC模拟参数估计方法可以参见Nakajima[14]。