暨南学报(哲学社会科学版)

作者：刘金全, 郭惠萍

单位：广州大学经济与统计学院。

关键词：经济周期,金融周期,经济政策周期,连续小波变换,动态溢出指数

基金：国家社会科学基金重大招标项目“健全目标优化、分工合理、高效协同的宏观经济治理体系的理论与实践研究”(21ZDA042);国家社会科学基金重点项目“经济周期形态变异、子类经济周期划分、子类经济周期与经济周期关联机制研究”(19AJY005)。

基于GARCH模型的动态赋权法合成金融周期指数,使用连续小波变换从时频视角测度经济周期、金融周期、货币政策周期和财政政策周期的周期性特征,实现对各周期进行时序和频谱的二维测度。基于小波相干分析对各周期之间的协同效应进行探讨,并使用动态溢出指数模型来进一步系统地考察各周期之间的风险传导渠道。研究发现:(1)我国当前面临经济和金融双重叠加的下行压力,金融周期长度长于经济周期,货币政策周期长度长于财政政策周期。(2)金融危机之后,各周期发生了结构性转变,金融周期呈顺周期性,货币财政政策周期呈逆周期性,其中财政政策在宏观调控中占主导地位。(3)近年来金融周期波动的溢出影响显著增强,股市、信贷分别是影响经济周期、货币政策的风险传导渠道。我国应持续推进货币政策由“稳健”向“宽松”过渡且保持积极的财政政策并适当延长政策的期限结构,从而提振预期,助推经济发展。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["国家社会科学基金重大招标项目“健全目标优化、分工合理、高效协同的宏观经济治理体系的理论与实践研究”(21ZDA042);国家社会科学基金重点项目“经济周期形态变异、子类经济周期划分、子类经济周期与经济周期关联机制研究”(19AJY005)。"],"article":{"keywordList_cn":["经济周期","金融周期","经济政策周期","连续小波变换","动态溢出指数"],"juan":"46","zhaiyao_cn":"基于GARCH模型的动态赋权法合成金融周期指数,使用连续小波变换从时频视角测度经济周期、金融周期、货币政策周期和财政政策周期的周期性特征,实现对各周期进行时序和频谱的二维测度。基于小波相干分析对各周期之间的协同效应进行探讨,并使用动态溢出指数模型来进一步系统地考察各周期之间的风险传导渠道。研究发现:(1)我国当前面临经济和金融双重叠加的下行压力,金融周期长度长于经济周期,货币政策周期长度长于财政政策周期。(2)金融危机之后,各周期发生了结构性转变,金融周期呈顺周期性,货币财政政策周期呈逆周期性,其中财政政策在宏观调控中占主导地位。(3)近年来金融周期波动的溢出影响显著增强,股市、信贷分别是影响经济周期、货币政策的风险传导渠道。我国应持续推进货币政策由“稳健”向“宽松”过渡且保持积极的财政政策并适当延长政策的期限结构,从而提振预期,助推经济发展。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=7095","reference":"","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=7095","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/10.11778/j.jnxb.20240253","qi":"10","id":7095,"nian":2024,"bianHao":"1733126587568-1143655272","zuoZheEn_L":"LIU Jinquan, GUO Huiping","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2024","shouCiFaBuRiQi":"2024-12-02","qiShiYe":"86","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2024/V46/I10","lanMu_cn":"经济管理·财政研究","pdfSize":"13798","zuoZhe_CN":"刘金全, 郭惠萍","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=7095","title_cn":"经济金融周期与财政货币政策周期的二维测度及关联效应研究","doi":"10.11778/j.jnxb.20240253","jieShuYe":"107","keywordList_en":["economic cycle","financial cycle","economic policy cycle","continuous wavelet transform","dynamic spillover index"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=7095","zhaiyao_en":"China's economic development has encountered the dual challenges of weakening endogenous growth momentum and a volatile external political environment, the combined effects of which have hurt its economic situation and may trigger systemic risks in the financial sector. To achieve the policy objective of “keeping the economy running within a reasonable range”, we need to analyze in depth the intrinsic characteristics of the economic and financial cycles and their interaction mechanisms, and identify potential sources of risk. Considering that monetary policy and fiscal policy are the main instruments of macroeconomic regulation in China, their cyclical regulation mode and the link between the cycles are also worthy of in-depth exploration. However, current academic research on these issues is still insufficient.This paper synthesizes the financial cycle index based on the dynamic assignment method of the GARCH model and uses the continuous wavelet transform to measure the cyclical characteristics of the economic cycle, the financial cycle, the monetary policy cycle, and the fiscal policy cycle from the time-frequency perspective, thus realize the two-dimensional measurement of the cycles in terms of the time series and the spectrum. Secondly, this paper explores the synergistic effect between the cycles based on the wavelet coherence analysis. Finally, a dynamic spillover index model is used to further systematically examine the risk transmission channels between the cycles. The paper finds that firstly, China is currently facing the downward pressure of both economic and financial overlapping, with the length of the financial cycle longer than that of the economic cycle, and the length of the monetary policy cycle longer than that of the fiscal policy cycle. Secondly, after the financial crisis, the cycles have undergone a structural transformation, with the financial cycle being procyclical and the monetary and fiscal policy cycle being countercyclical, in which fiscal policy dominates in macroeconomic regulation and control. Finally, the spillover impact of financial cycle fluctuations has increased significantly in recent years, with the stock market and credit being the risk transmission channels affecting the economic cycle and monetary policy, respectively. China should continue to promote the transition of monetary policy from “prudent” to “loose” and maintain a proactive fiscal policy and appropriately extend the term structure of the policy to boost expectations and promote economic development.Compared with previous literature, this paper makes the following contributions. Firstly, it encompasses multiple research perspectives, and explores the cyclical characteristics of each cycle from the time domain and frequency domain perspectives, which helps to better understand China's economic macro-trends and the current situation in the financial sector, as well as sorting out the trajectory of China's monetary and fiscal policies over time. Secondly, it innovatively introduces the fiscal policy cycle, providing a new way of regulating the economic and financial cycles and providing a new way of promoting the development of the economy. Regulation of the economic and financial cycles provides a new research perspective. Thirdly, four cycles-the financial cycle, the economic cycle, the fiscal policy cycle, and the monetary policy cycle-are incorporated into a single theoretical model, which helps to clarify the interactions between China's economic and financial cycles and their impacts on policy, as well as the pathways by which risks propagate between different cycles. It provides reference for further optimizing and adjusting China's fiscal and monetary policies so that they can implement macroeconomic regulation more effectively and thus promote the stable and healthy development of the economy.This study reveals the interaction mechanisms and risk propagation pathways between different cycles, which is crucial for preventing the spread of financial risks and giving full play to the macroeconomic control effects of economic policies. It provides important theoretical and practical guidance for China in achieving the macroeconomic goals of “stable growth” and “risk prevention”.","bibtexUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=BibTeX&id=7095","abstractUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/10.11778/j.jnxb.20240253","zuoZheCn_L":"刘金全, 郭惠萍","juanUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2024","lanMu_en":"","qiUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2024/V46/I10","zuoZhe_EN":"LIU Jinquan, GUO Huiping","risUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=Ris&id=7095","title_en":"Two-dimensional Measurement and Associated Effects of Economic and Financial Cycles and Fiscal and Monetary Policy Cycles","hasPdf":"true"},"authorNotes_cn":["刘金全、郭惠萍,广州大学经济与统计学院。"]};if(window.metaData && (!window.metaData.authorNotesCommon_cn && !window.metaData.authorNotesCorresp_cn && window.metaData.authorNotes_cn)){window.metaData.authorNotesCommon_cn = window.metaData.authorNotes_cn;}if(window.metaData && (!window.metaData.authorNotesCommon_en && !window.metaData.authorNotesCorresp_en && window.metaData.authorNotes_en)){window.metaData.authorNotesCommon_en = window.metaData.authorNotes_en;}var _nlmdtdXml = $("#article_nlmdtdXml").val();var magDir = _nlmdtdXml.replace(/\/[^\/]+$/,'');window.metaData.magDir = magDir;new mag_vue({ el: '#metaVue', //dataUrl: mag_currentQikanUrl() + '/EN/article/getRichHtmlJson.do?articleId='+$("#articleId").val(), data:window.metaData, loading:true, doTextFun:function(text){ return doDataJsonText(text); 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来源：2024年第10期

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