摘要
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。
Starting from the interaction between the US real estate market and credit supply before and after the subprime crisis,this paper analyzes the fluctuation characteristics of GDP and CPI in the US from 1995 to 2022,and finds that excessive prosperity of financial factors will lead to macroeconomic recession.Similarly,this paper analyzes the fluctuation characteristics of China's GDP and CPI in the same period,and also finds that financial factors are particularly important for preventing systemic financial risks and maintaining macroeconomic stability.In order to comprehensively measure the financial situation in a period of time,this paper measures China's financial cycle based on financial factors.It is found that China's financial cycle has the following characteristics:first,the average length is 11 to 15 quarters,which is longer than the business cycle,and the amplitude is larger,but the absolute value is smaller than that of European and American countries;second,the length and amplitude depend on the policy stage and are closely related to the macroeconomic operation;third,although there is a certain asymmetry in the fluctuation,but it is not obvious,which is different from European and American countries to some extent.In addition,this paper finds that the financial cycle has a strong“early warning”effect on macroeconomic operation,and as a threshold variable,it can“capture”the vast majority of macroeconomic fluctuations after the Asian financial crisis to the COVID-19 epidemic in China,and has strong macrocontrol application value.
作者
王三川
范从来
Sanchuan Wang;Congai Fan(Business School,Shanghai DianJi University;Yangtze River Delta Economic and Social Development Research Center,Nanjing University)
出处
《经济学报》
CSSCI
2024年第4期86-122,共37页
China Journal of Economics
基金
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。
