Research On The Correlation Between China’s Financial Cycle And Economic Cycle

In 2007,the US subprime mortgage market experienced turbulence,and the following year’s global financial crisis caused severe damage to the world’s macroeconomics,which triggered a rethinking of the linkage effect between the financial cycle and the economic cycle by central banks and academia in various countries.The theory of financial and economic cycle immediately entered the research field of scholars.In recent years,China has emphasized that the two-pillar regulation policy should form a combined force of counter-cyclical regulation,and the research on the correlation between financial cycle and economic cycle has gradually begun.In this paper,BP filter and PCA methods are respectively selected to extract and synthesize a comprehensive index of medium-cycle components of China’s financial cycle.GDP is selected as the total index to measure the economic cycle,and consumer price index,fixed assets investment and net export index are also selected by departments.Then,based on SV-TVP-VAR model,the bidirectional correlation mechanism between China’s financial cycle and economic cycle is dynamically identified,and the dynamic transmission mechanism of structural shocks is observed at specific peak-valley time points of the cycle.The main conclusions include the following five points:First,after 2009,China’s financial cycle itself has shown obvious pro-cyclical,and the asset bubble problem behind the false prosperity cannot be underestimated.Second,after 2015,China’s economic cycle has entered the stage of "unfinished recession".The long-term impact of the downward impact of the financial cycle on GDP is significantly negative,while the impact of GDP in turn has a significant negative impact on financial markets.Third,based on the stable and neutral monetary policy of the central bank,the long-term impact of China’s financial cycle shock on CPI is not obvious,while the CPI shock in turn has obvious negative pull effect on financial markets in the short and medium term.Fourth,fixed asset investment projects are subject to credit constraints for a long period of time,so the impact of the financial cycle on FAI will last a long time,and the impact of FAI will in turn bring medium-term and long-term debt risks to the financial system.Fifth,influenced by the long-term global economic downturn,the impact of financial cycle on NEI is significant,while the impact of unit NEI in turn has little impact on the financial system.The above conclusions have obvious policy implications.In order to realize the coordination of short-term and medium-term goals in the macro-control system,this paper gives corresponding suggestions.