我国金融周期的测度、特征及其“预警”应用The Measurement and Characteristics of China's Financial Cycle and its Application of “Early Warning”
王三川,范从来
摘要(Abstract)：
本文以次贷危机前后美国房地产市场与信贷供给间的相互作用为研究起点，分析美国1995年至2022年间的GDP和CPI波动特征，发现金融因素的过度繁荣会引发宏观经济的衰退。同理，本文剖析我国同时期的GDP和CPI波动特征，发现金融因素对守住不发生系统性金融风险的底线和维护宏观经济稳定格外重要。为了能够全面地测度一段时期内的金融状况，本文以金融因素为基础，对我国的金融周期进行测度。研究发现我国金融周期具有以下特点：(1)平均长度为11～15个季度，比经济周期更长，波幅更大，但绝对值小于欧美国家；(2)长度和波幅取决于政策阶段，与宏观经济运行联系紧密；(3)波动虽存在一定的不对称性，但并不明显，与欧美国家存在差异。此外，本文发现金融周期对宏观经济运行有很强的“预警”作用，作为门槛变量可“捕捉”到我国亚洲金融危机爆发至新冠疫情后绝大多数宏观经济波动，具有较强的宏观调控应用价值。
关键词(KeyWords)： 金融周期;测度;特征;宏观经济稳定;预警
基金项目(Foundation): 国家社科基金重大项目“金融业制度型开放助推构建新发展格局的路径研究”(项目号:23&ZD059)的资助
作者(Author): 王三川,范从来
参考文献(References)：
- 陈晓莉，张方华.2017.中国与东亚、东南亚国家和地区金融周期趋同性研究[J].国际金融研究，(11):3-12.Chen X L,Zhang F H.2017.Research on regional convergence of financial cycles of China and east & Southeast Asia[J].Studies of International Finance,(11):3-12.(in Chinese)
- 崔宇清.2017.金融高杠杆业务模式、潜在风险与去杠杆路径研究[J].金融监管研究，(7):52-65.Cui Y Q.2017.High leveraged financial business models,potential risks and the de-leveraging approaches[J].Financial Regulation Research,(7):52-65.(in Chinese)
- 王三川，范从来.2020.金融周期对宏观经济稳定的影响异质性分析[J].经济理论与经济管理，(10):4-20.Wang S C,Fan C L.2020.Heterogeneity analysis of the impact of financial cycle on macroeconomic stability[J].Economic Theory and Business Management,(10):4-20.(in Chinese)
- 朱太辉，黄海晶.2018.中国金融周期：指标、方法和实证[J].金融研究，(12):55-71.Zhu T H,Huang H J.2018.China's financial cycle:Indicators,methods and empirical research[J].Journal of Financial Research,(12):55-71.(in Chinese)
- 钟宁桦，解眯，钱一蕾，等.2021.全球经济危机后中国的信贷配置与稳就业成效[J].经济研究，56(9):21-38.Zhong N H,Xie M,Qian Y L,et al.The credit allocation and achievement of stabilizing employment after the global economic crises in China[J].Economic Research Journal,56(9):21-38.(in Chinese)
- Adelino M,Schoar A,Severino F.2017.Dynamics of housing debt in the recent boom and bust[R].NBER Working Paper,No.23502.
- Aikman D,Haldane A G,Nelson B D.2015.Curbing the credit cycle[J].The Economic Journal,125(585):1072-1109.
- Akerlof G A.2019.What they were thinking then:The consequences for macroeconomics during the past 60 years[J].Journal of Economic Perspectives,33(4):171-186.
- Alessandri P,Mumtaz H.2019.Financial regimes and uncertainty shocks[J].Journal of Monetary Economics,101:31-46.
- Bernanke B.2018.The real effects of disrupted credit:Evidence from the global financial crisis[J].Brookings Papers on Economic Activity,49(2):251-342.
- Borio C.2014.The financial cycle and macroeconomics:What have we learnt?[J].Journal of Banking & Finance,45:182-198.
- Borio C,Kharroubi E,Upper C,et al.2016.Labour reallocation and productivity dynamics:Financial causes,real consequences[R].BIS Working Papers,No.534.
- Borio C,Drehmann M,Xia D.2018.The financial cycle and recession risk[J].BIS Quarterly Review,34(4):59-71.
- Borio C,Drehmann M,Xia D.2019.Predicting recessions:Financial cycle versus term spread[R].BIS Working Papers,No.818.
- Borio C,Shim I,Shin H S.2022.Macro-financial stability frameworks:Experience and challenges[R].BIS Working Papers,No.1057.
- Brand T,Tripier F.2021.Risk shocks and divergence between the euro area and the US in the aftermath of the great recession[J].Annals of Economics and Statistics,143:137-163.
- Brunnermeier M K,Sannikov Y.2014.A macroeconomic model with a financial sector[J].American Economic Review,104(2):379-421.
- Canova F,Schlaepfer A.2015.Has the Euro-Mediterranean partnership affected Mediterranean business cycles?[J].Journal of Applied Econometrics,30(2):241-262.
- Chen Z,He Z G,Liu C.2020.The financing of local government in China:Stimulus loan wanes and shadow banking waxes[J].Journal of Financial Economics,137(1):42-71.
- Christiano L J,Motto R,Rostagno M.2014.Risk shocks[J].American Economic Review,104(1):27-65.
- Christiano L J,Eichenbaum M S,Trabandt M.2015.Understanding the great recession[J].American Economic Journal:Macroeconomics,7(1):110-167.
- Drehmann M,Borio C,Tsatsaronis K.2012.Characterising the financial cycle:Don't lose sight of the medium term![R].BIS Working Papers,No.380.
- Elliott M,Golub B,Jackson M O.2014.Financial networks and contagion[J].American Economic Review,104(10):3115-3153.
- Ehrlich M V,Overman H G.2020.Place-based policies and spatial disparities across European cities[J].Journal of Economic Perspectives,34(3):128-149.
- Gertler M,Kiyotaki N,Prestipino A.2017.A macroeconomic model with financial panics[R].NBER Working Papers,No.24126.
- Gertler M,Gilchrist S.2018.What happened:Financial factors in the great recession[J].Journal of Economic Perspectives,32(3):3-30.
- Giroud X,Mueller H M.2017.Firm's internal networks and local economic shocks,NBER Working Papers,No.23176[R].
- Glasserman P,Young H P.2016.Contagion in financial networks[J].Journal of Economic Literature,54(3):779-831.
- Greenwood R,Hanson S G,Shleifer A,et al.2022.Predictable financial Crises[J].The Journal of Finance,77(2):863-921.
- Hansen B E.2011.Threshold autoregression in economics[J].Statistics and Its Interface,4:123-127.
- Harding D,Pagan A.2002.Dissecting the cycle:A methodological investigation[J].Journal of Monetary Economics,49(2):365-381.
- Hiebert P,Jaccard I,Schüler Y.2018.Contrasting financial and business cycles:Stylized facts and candidate explanations[J].Journal of Financial Stability,38:72-80.
- Jordà ò,Singh S R,Taylor A M.2022.Longer-run economic consequences of pandemics[J].The Review of Economics and Statistics,104(1):166-175.
- Jordà ò,Schularick M,Taylor A M.2016.The great mortgaging:Housing finance,crises and business cycles[J].Economic Policy,31(85):107-152.
- Kehoe P J,Midrigan V,Pastorino E.2019.Debt constraints and employment[J].Journal of Political Economy,127(4):1926-1991.
- Mian A,Sufi A,Verner E.2017.Household debt and business cycles worldwide[J].The Quarterly Journal of Economics,132(4):1755-1817.
- Mian A,Sufi A.2018.Finance and business cycles:The credit-driven household demand channel[J].Journal of Economic Perspectives,32(3):31-58.
- Pagan A,Robinson T.2014.Methods for assessing the impact of financial effects on business cycles in macroeconometric models[J].Journal of Macroeconomics,41:94-106.
- Pontines V.2017.The financial cycles in four East Asian economies[J].Economic Modelling,65:51-66.
- Rungcharoenkitkul P,Borio C,Disyatat P.2019.Monetary policy hysteresis and the financial cycle,BIS Working Paper,No.817[R].BIS.
- Rünstler G,Vlekke M.2018.Business,housing,and credit cycles[J].Journal of Applied Economics,33(2):212-226.
- (1)本文未将新冠疫情期间纳入,是因为新冠疫情为全球公共安全的极端事件,如以全球人均计算,新冠疫情对美国宏观经济所产生的短期波动强度已大大超过了互联网“泡沫”和次贷危机(Jordà et al.,2022)。其冲击机制和作用点也有所不同,还需要进一步研究。
- (2)以BP滤波所得数据为基准。
- (3)由美联储亚特兰大分行发布,其基准数据来源于国家统计局和中国人民银行统计数据,运用插值法经过季节调整得出季度数据。
- (4)本文使用由波谷到波谷的长度,遵循转折点分析法的原则(Harding and Pagan,2002;Canova and Schlaepfer,2015)。
- (5)当然,这只是本节运用门限回归模型做计量分析所得的结论,相关研究可继续深化和细化。
- (6)1995年4季度至1997年的数据的预测效果较差,经济周期的预测值与实际值出现完全相反的结果,这可能与数据缺失和数据质量有关。