摘要
本文基于全球82个国家和地区1981Q1-2018Q2的季度样本数据,在使用HP滤波法测度金融周期的基础上,运用三阶段周期划分方法和面板Probit模型,对金融周期与经济周期动态演变的金融稳定效应及驱动成因问题进行了考察。研究结果表明,金融周期与经济周期同步变动的"顺周期效应"并不显著,"异步"演化时金融不稳定却频繁发生。金融周期与经济周期的动态交织演变对金融危机具有一定的预测功能,其演化机制和驱动成因在发达国家和发展中国家样本中存在较大的差异。我国系统性金融风险的防范和宏观审慎监管政策的实施,既要关注金融周期和经济周期"同步"时的顺周期效应,还应高度重视"异步"时的风险演化机理与应对问题。
Based on quarterly sample data from 1981 Q1 to 2018 Q2 in 82 countries and regions around the world,this paper uses the HP filter method to measure financial cycles,and uses a three-phase cycle division method and panel Probit model to analyze the financial stability effects and causes of dynamic evolution of financial cycle and economic cycle.The research results show that the"pro-cyclical effect"of the simultaneous changes of the financial cycle and the economic cycle is not significant,and financial instability occurs frequently during the"asynchronous"evolution.The dynamic intertwined evolution of the financial cycle and the economic cycle has a certain predictive function for the financial crisis,and its evolution mechanism and driving factors are quite different in the samples of developed and developing countries.The prevention and control of systemic financial risks and the implementation of macro-prudential supervision policies in China should not only focus on the pro-cyclical effect when the financial cycle and the economic cycle are"synchronous",but also attach great importance to the risk evolution mechanism and response solutions when they are"asynchronous".
作者
谢铖
梁婉群
马永谈
Xie Cheng;Liang Wanqun;Ma Yongtan
出处
《财经科学》
CSSCI
北大核心
2019年第12期27-39,共13页
Finance & Economics
基金
国家自然科学基金面上项目“基于经济金融关联网络的系统性风险动态监管机制研究”(71673225)资助
关键词
金融周期
经济周期
金融危机
金融稳定效应
Financial cycle
Economic cycle
Financial crisis
Financial stability effect
