The Composition Of China's Financial Cycle And Its Comparison With The Economic Cycle(1996-2019)

Since Borio,the chief economist of the bank for International Settlements,creatively proposed the theoretical framework of financial cycle in 2014,many experts and scholars have conducted exploration and research on the selection of financial cycle indicators,cycle identification,operational characteristics,and their relationship with economic cycle,and achieved several valuable results.However,there are still some deficiencies in expanding the theoretical framework of Borio to make it more suitable for the characteristics of China's financial system,optimizing the empirical structure so as to select more appropriate composite indicators,conducting empirical analysis and testing the operating characteristics of China's financial cycle,and thus revealing the interaction between it and the economic cycle.Therefore,it is of great significance to study the regular characteristics of the periodic operation of China's financial system under the increasingly market-oriented and international background and the experience and lessons of China's financial regulation and control,to reveal the interactive relationship and mechanism between China's financial cycle and economic cycle,and to promote the high-quality development of China's finance and economy.Firstly,this dissertation traces the origin of the financial cycle theory,systematically combs and reviews the relevant literature,and strives to make innovations in the reference.Then,the dissertation determines the observation interval(1996-2019)and selects credit,credit /GDP,real estate price and stock price as the composite indicators of China's financial cycle.We use the band-pass filtering method and the turning point method to obtain 4 single indicator cycles and test them one by one.Moreover,the cycle components of each single indicator cycle are extracted for China's financial cycle synthesis.The operating characteristics of China's financial cycle are revealed and tested,and the transmission mechanism of policies in the financial market is discussed.Subsequently,the dissertation establishes a simplified version of the economic cycle model.Based on the description of China's economic cycle,the interaction between China's financial cycle and economic cycle is compared and analyzed,and the interaction mechanism between the two is analyzed by using the vector auto regression model.Finally,this dissertation expands the framework of Borio(2014)financial cycle theory.The main research steps and conclusions of the dissertation can be summarized as follows.First of all,this dissertation uses the band-pass filtering method and the turning point method to process the agency index data of each single index to obtain the credit cycle,credit /GDP cycle,real estate price cycle and stock price cycle of China.The empirical analysis and test results show that the four single indicator cycles are consistent with not only the actual situation of China's financial market,but also the time nodes and goal orientation of the policy promulgation,both in short cycle frequency and medium cycle frequency.It indicates that this dissertation has a good accuracy in selecting the proxy indicators of various variables in the financial cycle.Secondly,the dissertation extracts the cyclical components of four single indicator cycles to form the financial cycle of China.The empirical and test analysis shows that the financial cycle in China is consistent with the financial events,the time nodes of policy promulgation and the goal orientation in the sample range of China in terms of short cycle frequency and medium cycle frequency,which indicates that the financial cycle in China constructed in this dissertation has good accuracy.Meanwhile,the empirical analysis shows that the short cycle length of China's financial cycle is about 3 years,and the medium cycle length is about 7 years.The short cycle of China's financial cycle in the observation range is characterized by a long duration of recession and a small extent of recession,a short duration of expansion but a large extent of expansion,which is contrary to the characteristics of the medium cycle of China's financial cycle.In addition,the analysis of policy transmission mechanism presents that the policy transmission mechanism of China's financial market has the characteristics of strong government intervention and strong policy guidance,and the financial market policy transmission is relatively direct and effective.Thirdly,by comparing China's financial cycle and economic cycle,we find that there are obvious "valley and peak staggered" and "counter cyclical" characteristics between China's financial cycle and its economic cycle.Using the vector auto regression model to analyze the interaction mechanism between the financial cycle and the economic cycle in China,it is concluded that there is an obvious dynamic impact mechanism between the short cycle of the financial cycle and the economic cycle,and the two are Grainger reasons for each other,which indicates that the short cycle of the financial cycle in China is more obvious.Credit /GDP,real estate price and stock price have obvious dynamic influence mechanism and two-way Grainger causal relationship with economic cycle.Fourthly,this dissertation extends Borio(2014)financial cycle theoretical framework.Above all,regarding the essence of China's financial cycle,this dissertation defines the economic behavior choice and continuous strengthening of the market subject when balancing risks and benefits in an environment of strong government intervention and international and domestic market constraints,resulting in the financial operation synchronized or ahead of the boom and recession alternate process of economic operation.Second,regarding the identification of China's financial cycle,this dissertation emphasizes that the use of credit,credit /GDP,real estate prices and stock price variables to obtain a composite indicator cycle is the basic way to identify China's financial cycle.Third,regarding the regularity of China's financial cycle,this dissertation concludes that China's financial cycle is more obvious in short cycle.Also,there are obvious "counter cyclical" and "valley and peak staggered" phenomenon between China's financial cycle and economic cycle,and there is an obvious dynamic impact mechanism between the two.Fourth,regarding the choice of financial control policies,this dissertation emphasizes that we should adapt to the characteristics of policy transmission mechanism and financial and economic interaction mechanism.Fifthly,this dissertation emphasizes that the intervention in the short cycle of China's financial cycle should be "faster,more accurate and fiercer",and the intervention in the medium cycle should be "more stable,deeper and further”.We should notice both supply side and demand side,focus on structural policies,supplemented by cyclical policies,and implement long-term policies such as optimizing the system structure,reforming the capital market,and promoting financial innovation.