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中国金融周期与宏观经济政策效应

苗文龙[著]

金融 经济周期分析 中国 中国经济 宏观经济管理 经济政策

2018-08-01

978-7-5203-2215-7

280

11

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内容简介

金融周期可以更为真实准确地刻画经济周期及经济运行状况。为了分析金融变量波动的周期规律、分析宏观经济政策的影响作用、为人们进行经济决策和政策当局宏观调控提供参考,本书首先构建金融周期理论模型,尝试使用滤波法、谱密度分析法、非线性马尔可夫链区间转制平滑模型等多种线性和非线性方法测算中国金融周期规律特征,测算中国金融周期与行业技术周期的波动关系、中国信贷周期与发达国家信贷周期的数量关系,以及中国金融市场周期与发达国家金融市场周期的数量关系,再通过Copula-GARCH模型检验中国金融周期中的货币政策效应、财政政策效应及政治周期效应
金融周期可以更为真实准确地刻画经济周期及经济运行状况。为了分析金融变量波动的周期规律、分析宏观经济政策的影响作用、为人们进行经济决策和政策当局宏观调控提供参考,本书首先构建金融周期理论模型,尝试使用滤波法、谱密度分析法、非线性马尔可夫链区间转制平滑模型等多种线性和非线性方法测算中国金融周期规律特征,测算中国金融周期与行业技术周期的波动关系、中国信贷周期与发达国家信贷周期的数量关系,以及中国金融市场周期与发达国家金融市场周期的数量关系,再通过Copula-GARCH模型检验中国金融周期中的货币政策效应、财政政策效应及政治周期效应

The financial cycle can more realistically and accurately portray the economic cycle and economic operation. In order to analyze the cyclical law of financial variable fluctuations, analyze the influence of macroeconomic policies, and provide reference for people to make economic decisions and macro-control of policy authorities, this book first constructs a theoretical model of financial cycles, attempts to use a variety of linear and nonlinear methods such as filter method, spectral density analysis method, nonlinear Markov chain interval conversion smoothing model and other linear and nonlinear methods to measure the characteristics of China's financial cycle, measure the fluctuation relationship between China's financial cycle and industry technology cycle, and the quantitative relationship between China's credit cycle and the credit cycle of developed countries. and the quantitative relationship between China's financial market cycle and the financial market cycle of developed countries, and then examine the monetary policy effect, fiscal policy effect and political cycle effect in China's financial cycle through the Copula-GARCH model, and preliminarily draw the following conclusions: (1) The financial cycle is born from economic fluctuations, and the financial operation status essentially reflects the changes in economic structure and aggregate. The financial steady-state path is determined by the economic steady-state path and the long-term financial system, and is a reflection of the economic steady-state path. The quantitative and structural adjustment of the economic power of different groups within the economic system has led to the financial cycle. (2) China's financial system has recently shown the characteristics of explicit centralization and implicit decentralization structure. The development of private finance, the expansion of local finance and the competition of local governments for national financial resources have jointly promoted the accumulation and outbreak of financial risks, and constantly resorted to the state's monetary rescue, thus forming a financial cycle of "risk impulse-risk aggregation-risk inflation-risk resolution...". The financial cycle is specifically manifested in the cyclical nature of bank operations, the cyclicality of financial markets, and the political and financial cycle. Fiscal policy and monetary policy have different degrees of regulatory effect on the financial cycle. (3) Bank operations not only have significant cyclicality, but also have a close relationship with the real economic cycle. This is manifested in: bank credit has the characteristics of a pro-price fluctuation cycle; The scale of bank operations has significant characteristics of pro-inflation fluctuation cycles; With the transformation of the system and the integration of international standards, the characteristics of the reverse price fluctuation cycle of bank capital have gradually emerged. (4) The financial market has obvious cyclicality, and there are different types of domestic financial markets with the contagion of cyclical fluctuations. The cyclical and contagious nature of the financial market is also manifested in the fluctuation and contagion between the financial markets of different countries in the world, so that the international financial market cycle shows a certain correlation or resonance. (5) The cyclical shocks of various financial variables affect the investment cycle of different industries. In the prosperity stage, the financial market and banks have a positive role in promoting the technological innovation industry, but the financial market has a more significant role in promoting the high-density technology innovation industry, and the bank has a more significant role in promoting the low-density technology innovation industry. In the contraction phase, the tightening effect of financial markets on high-density technology innovation industries is more significant, while banks have played a mitigating role in the downward trend of low-density technology innovation industries. (6) The effect of monetary policy in financial cycle fluctuations. China's interest rates and money supply mainly serve output growth and do not respond adequately to monetary stability; It is more concerned about the exchange rate and does not respond enough to assets such as the stock market and real estate. The impact of monetary policy on fluctuations in the financial cycle is low. (7) The effect of fiscal policy in the fluctuation of the financial cycle. The fluctuation of government fiscal expenditure has a significant impact on the change of the base currency, the change of the scale of rediscounting, and the change of the scale of open market lending, which in turn has a significant impact on bank credit and inflation. (8) The political cyclical effect in financial cycle fluctuations. In the first 30 years of reform and opening up, there was a political and financial cycle in China to a certain extent, which was manifested as: there was a significant positive correlation between the change of central government and the financial cycle; The change of the central government leads to the exchange cycle of local governments, and the promotion mechanism under economic performance appraisal promotes vertical and horizontal competition among local governments, and produces periodic economic development measures, thereby increasing the amplitude of the economic cycle; Under the influence of the central political behavior cycle, fiscal policy and monetary policy have certain pro-cyclical characteristics. (9) The international widespread political and financial cycle. Different types of market economy countries have significant "political and financial cycles", and political cycles are important factors affecting the financial cycle. The monetary policy of the core countries will affect the financial cycle of other countries with economic exchanges, but the effect is smaller than the domestic political cycle of each country; There is a certain quantitative relationship between the financial cycles between countries, and there is no cyclical law of uniform change. Comprehensive analysis, macroeconomic policies have a significant impact on the financial cycle and have the effect of alleviating the financial crisis in the short term, but there are also three problems - the public unfairly bears the costs of high-risk for-profit institutions, strengthens the risk-taking behavior of financial institutions, and enhances inflation expectations, until the accumulated financial risks are resolved by policymakers. It is these issues that lead to macroeconomic policies that may exacerbate financial cycle volatility in the long term. Keywords: financial cycle; macroeconomic policies; Policy effects(AI翻译)

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