数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2014年
9期
75~91
,共null页
金融周期 通货膨胀 产出缺口 金融状况指数 TVP-VAR模型
金融週期 通貨膨脹 產齣缺口 金融狀況指數 TVP-VAR模型
금융주기 통화팽창 산출결구 금융상황지수 TVP-VAR모형
Financial Cycle; Inflation; Output Gap; Financial Conditions In- dex; TVP-VAR Model
本文利用主成分分析方法计算中国的金融形势指数,以此考察中国金融周期的波动特征,并进一步运用时变参数向量自回归模型分析中国金融周期波动对宏观经济的时变影响及其非对称性特征。研究结果表明,中国金融周期波动先行于宏观经济景气波动,周期长度大致为3年,且存在长扩张短收缩的非对称性特征;金融冲击的“产出效应”不如“价格效应”明显,金融形势好转所产生的加速效应比金融形势恶化所带来的负面影响更为显著。
本文利用主成分分析方法計算中國的金融形勢指數,以此攷察中國金融週期的波動特徵,併進一步運用時變參數嚮量自迴歸模型分析中國金融週期波動對宏觀經濟的時變影響及其非對稱性特徵。研究結果錶明,中國金融週期波動先行于宏觀經濟景氣波動,週期長度大緻為3年,且存在長擴張短收縮的非對稱性特徵;金融遲擊的“產齣效應”不如“價格效應”明顯,金融形勢好轉所產生的加速效應比金融形勢噁化所帶來的負麵影響更為顯著。
본문이용주성분분석방법계산중국적금융형세지수,이차고찰중국금융주기적파동특정,병진일보운용시변삼수향량자회귀모형분석중국금융주기파동대굉관경제적시변영향급기비대칭성특정。연구결과표명,중국금융주기파동선행우굉관경제경기파동,주기장도대치위3년,차존재장확장단수축적비대칭성특정;금융충격적“산출효응”불여“개격효응”명현,금융형세호전소산생적가속효응비금융형세악화소대래적부면영향경위현저。
This paper calculates the financial conditions index (FCI) in China by principal component analysis and investigated the fluctuation characteristics of China's financial cycle. Furthermore, it studies the influence of the financial cycle on inflation and output gap based on the time-varying parameter vector autoregressive model. The results show that, the FCI fluctuates prior to macroeconomic fluctuation, and there is an approximately 3-years short cycle in financial fluctuation which has the asymmetric characteristic with long-term expansion and short-term contraction. The "price effect" of financial fluctuation is more obvious than "out- put effect" of that, and the acceleration effect of improvement of the financial situation on inflation and economic fluctuation is more obvious than the negative effects of the deterioration of the financial situation.