Statistical Research On The Interaction Between China's Financial Cycle And Economic Cycle

With the continuous deepening of the economic globalization,cross-border activities in the financial sector are also developing rapidly.The financial policies and financial transactions in various countries are also constantly infiltrating and expanding,and gradually forming financial globalization.While financial globalization has brought financial development to various countries,financial risks that accompany it are also rapidly spreading.Under the background of financial globalization,the risk of financial exposure is also increasing.In the case of asymmetric information,the role of financial accelerators magnifies the role of financial factors to the whole economy.Therefore,under the background of slowing down the growth of the new normal economy and increasing the downward pressure,the theory of real economic cycle(RBC),which only considers output and employment,has been unable to solve the deep structure problem in China.China's Central Bank mentioned the term “financial cycle” for the first time in the execution report of monetary policy in the third quarter of 2017,prompting the international community to pay more attention to changes in the financial cycle and to introduce macro-prudential policies to deal with it.Therefore,the discussion and Research on the correlation between the financial cycle and the economic cycle for the sustainable development of China's economy New ideas are provided.Firstly,through the analysis of the theoretical basis of the financial cycle and the combing of existing literature,this paper selected various loan indicators,national housing prosperity index and Shanghai Stock Index of financial institutions as the representative factors of China's univariate financial cycle,and added The money supply and the real effective exchange rate index construct a financial condition index to comprehensively describe the changes in China's financial cycle.GDP is a powerful indicator of a country's economic development.Therefore,GDP was chosen as a measure of the economic cycle.Then,the BB method,filtering method and spectral analysis method are used to separate the univariate financial cycle,financial status index and economic cycle from the time and frequency domain perspectives respectively.The volatility characteristics compare and analyze the similarities and differences between the financial cycle and the economic cycle.Finally,the relationship between the financial cycle and the economic cycle is empirically analyzed from the time domain and frequency domain.Through the above specific analysis,the following conclusions are drawn:(1)The operational length of the financial cycle and economic cycle of our country is not consistent,and the volatility is asymmetrical.By comparing and analyzing the results of the measurement of the financial cycle and the economic cycle,it is found that the length and volatility of the financial cycle are all larger than the economic cycle,and the synchronization of the financial cycle and the economic cycle is low.(2)For the description of financial cycle and economic cycle characteristics,spectral analysis method does not depend on specific a priori assumptions in determining the length of the cycle.It has certain advantages in the length of the measurement cycle,and the BB method and the filtering method are each measured.The decay period of the variables is consistent.Therefore,a consistent conclusion is obtained from both the time and frequency domain perspectives,thus ensuring the robustness of the analysis results.(3)Empirical results from the time domain show that the financial cycle has a greater positive effect on the economic cycle,and that the effect of the economic cycle on the financial cycle is inconsistent,and that the change in the financial cycle has a stronger ability to explain changes in the economic cycle.Judging from the Granger causality test in the time domain,there is a one-way Granger causality between credit and real estate and the economic cycle.There is no Granger causality between the other variables and the economic cycle.From the frequency domain perspective,we find that there is a two-way Granger causality between credit,stock prices,and financial conditions,and there is a univariate causal relationship between the real estate cycle and the economic cycle,which shows that changes in China's financial cycle can predict changes in the economic cycle.However,changes in China's economic cycle may not necessarily predict changes in the financial cycle.Through the cross spectrum analysis,it is found that the correlation coefficient of both the financial cycle and the economic cycle is higher,and the spectral gain coefficient of the financial cycle to the economic cycle is greater than the spectral gain coefficient of the economic cycle to the financial cycle,indicating that the financial cycle has a greater impact on the economic cycle.Finally,according to the specific empirical results,the corresponding policy recommendations are given.