Spatial Correlation And Influencing Factors Of Financial Cycles In Various Countries

In 2008,the global financial crisis triggered by the US subprime mortgage crisis broke out,but the traditional economic cycle analysis method f>ailed to provide accurate warning signals,and could not reasonably explain the causes of the crisis.Economists realized that financial factors play a role in the economic cycle.Scholars began to try to add financial factors such as financial friction or financial shock to the general equilibrium model,and found that financial shocks will have an important impact on the macro economy.Recent studies have also found that financial factors play an important role in the macro economy.On this basis,scholars also discussed the impact of financial factors on monetary policy.Thus,what role does financial factors play in the macro-economy,and the cyclical changes of financial factors themselves?How does a systemic financial risk in a country produce spillover effects and mutual interference effects and aggravate global systemic financial risks?focus.So is the financial cycle of each country relevant?What are the main factors affecting the financial cycle?This paper discusses the above problems through theoretical and empirical analysis.For the measurement of the financial cycle,this paper uses univariate and multivariate financial factors to measure the financial cycles of each country.For the measurement of the univariate financial cycle,this paper selects the credit/GDP to do X-12 processing to eliminate the seasonal factors.and then uses the HP filter with the smoothing factor of 14400 in Eviews10.0 to find the deviation of credit/GDP from the equilibrium value of each country.The sequence of valucs(Cycle sequence),from which the financial cycle sequences of countries are derived,and the consistency index analysis and convergence analysis of the financial cycle sequences are performed.For the measurement of multivariate financial cycle,this paper constructs financial cycle index to measure the financial cycle of each country through dynamic factor index method.Based on Borio's description of the concept and characteristics of the financial cycle,four variables of credit,credit/GDP,real estate price and stock price are selected to synthesize the financial cycle index.At the same time,it constructs the financial cycle consistency indicators of various countries,analyzes the synergistic effects of financial cycles in various countries,and then studies the synergy of financial cycles in various countries through convergence analysis.For the choice of explanatory variables,this paper draws on the existing literature and believes that factors such as monetary policy,exchange rate,government intervention,degree of openness,and urbanization will have an impact on the financial cycle.Therefore,the first quarter of 1997-the third quarter of 2017 is selected.According to the panel data of 21 countries,Moran correlation test is carried out on the sample country financial cycle index.Based on the test results,the static and dynamic spatial Dubin models are established and the model is estimated.Based on the estimated results,the regional correlation of the financial cycle and the impact of various factors on the financial cycle are analyzed.Through the analysis of the results,we conclude that there is a regional correlation between the financial cycles of countries.As the interest rate declines,the yield of fixed-income securities declines,which in turn leads to a rise in stock prices.When interest rates fall,borrowing costs are lower,and real estate demand is rising,leading to rising house prices,so interest rates are negatively correlated with the financial cycle.Second,the financial cycle is characterized by procyclicality.Due to the procyclicality of financial behavior and financial system,the financial cycle has the same periodicity as the economic ycle.The degree of(?)enness to the outside world.such as national trade,international financial transaction and policy spillovers,will have an impact on the financial cycle.In the current context of global economic integration,trade and economic linkages between countries with relatively distant geographical locations may be relatively close.Therefore,in the study of the financial cycle,it is necessary to pay close attention to the macroeconomic and national policies of various countries and the trade between countries.Third,countries with geographical proximity are similar in terms of economic and financial development levels and institutional conditions,and the linkage between monetary policies will be stronger.Therefore,when suffering from changes in monetartheir y policy of countries outside the region,the economic and financial performances of countries with close geographical proximity will be similar,and the linkage of financial cycles will be stronger.