The Structural Characteristics Of Capital Market Cycle And Its Relationship With Economic Cycle

As a catalyst for the real economy,capital market can be used as a boost to the rapid growth of the economy during economic prosperity,or directly drive the economy to a recession when the real economy is in a bad situation.In extreme cases,the capital market crisis will directly lead to a series of events ranging from financial crises to economic crises.In traditional views,the capital market cycle is a barometer of the economic cycle,and the economic cycle is the cornerstone of the capital market cycle.In fact,the smooth operation of the capital market cycle is the guarantee for the longterm prosperity of the economic cycle.At the same time,whether the capital market cycle can correctly reflect the economic operation of the economic cycle is also a sign of whether the capital market is healthy and effective.In the past 40 years of China's reform and opening up,under the guidance of the macroeconomic policy of gradual financial system reform,China's capital market has experienced a development process from scratch to diversified,and gradually to prosperity.Although the contribution of capital market development to the growth of the real economy is unquestionable,the relationship between the capital market cycle and the economic cycle is not very clear.In view of this,the author will make an in-depth analysis of the correlation mechanism between the capital market cycle and the economic cycle on the basis of effectively identifying the structural characteristics of China's capital market cycle,in order to put forward meaningful policy recommendations for the construction of the capital market system.This paper will mainly study the structural characteristics of the capital market cycle and its relationship with the economic cycle from the following aspects:First of all,this paper reviews the basic theory of capital market cycle from classic to frontier.Specificly,in the order of internal structural features to external influence factors.The former includes asymmetry,long-term memory,and inertia and reversal effects.The latter includes cross-market spillover effects,international linkages,financial policies,and economic cycles.And cross-market spillover effects,international linkages,financial policies,and economic cycles.Furthermore,from the cyclical transmission mechanism at the macro level to the volatility dependence at the micro level,the previous research results on the relationship between the capital market cycle and the economic cycle are reviewed.It is pointed out that there are two opposite cores of correlation and divergence at the macro level.Secondly,the later two parts(the third chapter and the fourth chapter)are empirically tested on the characteristics of the capital market cycle itself and its external influence factors.The third chapter based on the MS-AR model,using the Shanghai Composite Index's yield and volatility data to empirically test the structural characteristics of China's capital market cycle,and divide China's capital market cycle into two zones of prosperity and depression.The prosperity of the capital market system is mainly distributed: from the beginning of the capital market to around 1996,around 2006-2008,and around 2015-2016.This structural feature has evolved with the continuous acceleration of the market-oriented reform of China's capital market,which is characterized by the shortening of the length of the capital market cycle,the weakening of the volatility and the weakening of the asymmetry.Combined with the evolution of the capital market system,we can see that the emergence of the abovementioned staged prosperity corresponds to three periods of the development of China's capital market,namely,the period of capital market germination,the period of capital market market reform and the period of capital market internationalization.Further,the fourth chapter uses the time-point impulse response function of TVP-VAR to identify the impact of financial policy information on the cyclical fluctuation of the capital market.It also tests the stability of the positive impact of the quantitative monetary policy as well as exchange rate policy on the capital market cycle,but uncertainty in the transmission path of price-based monetary policy.In terms of convergence speed,quantitative monetary policy > price monetary policy > exchange rate policy,but exchange rate policy does not have excessive reaction of capital market to market information compared with monetary policy.Thirdly,the two parts(ie,Chapters 5 and 6)are empirically tested on the relationship between the capital market cycle and the economic cycle.Among them,the fifth chapter divides the capital market cycle into the capital market price cycle and the capital market value cycle,and puts forward the hypothesis of transmission mechanism,namely economic cycle-capital market value cycle-capital market price cycle.Using the linear and nonlinear Granger causality test,the hypothesis was initially verified.Specifically,the capital market cycle is ahead of the economic cycle for two months,while the capital market value cycle is ahead of the economic cycle for one month.On this basis,the MS-VAR model is used to divide the capital market price cycle,the capital market value cycle and the characteristic differences of the economic cycle in different periods,and the TVP-VAR model is used to observe the dynamic correlation and the impulse response process among the three.And the results show that although the economic fundamentals can explain the reasons for the cyclical movement in most cases of capital markets,this association fails when the capital market is over-expanded.The interaction between the capital market price cycle,the capital market value cycle and the economic cycle does not differ due to the different regional systems.On the contrary,in the time dimension,the marketization process of China's capital market explains the problem more.In view of the fact that Chapter 5 only uses China's data for analysis,the research conclusions are not universal.Therefore,in Chapter VI,the data of the world's nine major economies are used to conduct a cross-country comparison of the long-term co-movement between the capital market cycle and the economic cycle.Specifically,the wavelet analysis method is used to decompose the capital market cycle data and economic cycle data in the past 22 years,and eliminate the short-term random factors existing in the data to obtain the long-term trend of the capital market cycle and the economic cycle.The long-term synergistic effects between the two are verified by cross-correlation coefficient analysis,unit root and Johansen cointegration test,linear and nonlinear Granger test.The test results show that:(1)There is a clear synergistic effect between the capital market cycle and the economic cycle from the long-term perspective,and both have stable Granger causality;(2)The higher the development of a country's capital market,the stronger its response to the real economy,the more obvious the long-term synergistic effect of the capital market cycle and the economic cycle;(3)The long-term trend of the capital market cycle is ahead of the economic cycle,consistent with the hypothesis that the capital market is an economic barometer.Finally,on the basis of combing the evolution path of various systems in China's capital market,the author puts forward the institutional differences in the capital market,including the differences between market orientation and system construction,the differences between criminal punishment and administrative punishment,the homogenization and marginalization among multi-level capital markets,the repetition of policy implementation and the inherent divergence between the stable development of the capital market and the cyclical nature of the capital market.It also puts forward a series of policy proposals for the construction of capital market system,including the implementation of market-oriented reform of the whole chain,the synchronization of criminal punishment and administrative punishment,deepening the reform of mixed ownership system based on competitive state-owned enterprises and the construction of policy utility evaluation and forecasting system.