Research On The Time-varying Correlation Mechanism Between Credit Cycle And Economic Cycl

The outbreak of the international financial crisis has prompted the academic community to reflect deeply on the limitations of modern macroeconomic theory.The correlation mechanism between the credit cycle and the business cycle has become a crucial academic topic.This paper first uses the “H-P filter” method to measure the business cycle and the credit cycle,and then constructs new indicators of the business cycle based on the principal component analysis.According to the matching between the expansion and contraction stages of the credit cycle and the business cycle,the credit cycle and the business cycle are divided into four overlapping cycles,and the procycle and countercycle characteristics of the credit cycle and the business cycle are quantitatively analyzed;Then,this paper incorporates the credit cycle,business cycle,fixed assets investment,interest rate and other variables into the time-varying parameter vector autoregression model(TVP-VAR),further analyzes the dynamic correlation mechanism between the credit cycle and the business cycle through the impulse response function,and draws the time-varying impact characteristics of the credit cycle on fixed assets investment at the same time;Finally,this paper constructs a macro prudential policy index,uses the “I-VAR model” to explore the spillover effect of monetary policy and macro prudential policy on their respective marginal regulatory efficiency,and judges the regulatory effect of the “dual pillar” policy from the perspective of cycle overlap,providing policy ideas for stabilizing the credit cycle and the business cycle.The empirical results show that: first,the business cycle index measured by the principal component analysis method has more information than a single indicator,and can more accurately describe the fluctuation trend of the business cycle;Second,after entering the“New Normal” of the economy,China’s credit cycle has experienced a “big easing” trend,entering a “gentle” stage,making the credit cycle more sustainable and stable;Third,the results of “TVP-VAR model” show that credit cycle expansion can promote economic prosperity,while business cycle expansion inhibits credit cycle expansion.The internal reason is the counter cyclical stance of monetary policy;Fourth,monetary policy and macro prudential policy have certain substitutability,both of which will have an impact on the real economy and credit variables,while the tightening of macro prudential regulation will inhibit the regulatory effect of monetary policy on the real economy and credit,while the easing of monetary policy will strengthen the marginal impact of macro prudential policy on the real economy and credit,and the coordination of “two pillar” policies will help stabilize the business cycle and credit cycle.