中国金融周期成分与随机冲击

发布时间：2018-01-05 14:33

本文关键词：中国金融周期成分与随机冲击　出处：《金融论坛》2017年02期 　论文类型：期刊论文

【摘要】：本文基于RTV-DFM合成的FCI分析中国金融状况,通过趋势周期分解试图揭示其趋势周期波动特征。研究发现:该金融状况指数能够很好地反映中国金融状况的历史趋势及非对称特征且具有较好的预警功能,结果显示金融危机期间的刺激政策存在滞后效应,没能及时、充分发挥其作用;中国目前已经历了两次完整的金融景气周期循环,且处在第三次循环的泡沫破灭阶段并深陷于此,结果表明中国金融周期性短期波动与FCI趋势变化背道而驰,随机性趋势成分与FCI保持一致,且随机冲击的驱动效应更为强劲。
[Abstract]:This paper analyzes the financial situation of China based on the FCI of RTV-DFM synthesis. Through the trend cycle decomposition attempts to reveal its trend cycle fluctuation characteristics. The study found that the financial condition index can well reflect the historical trend and asymmetric characteristics of China's financial situation and has a better warning function. The results show that the stimulus policy during the financial crisis has a lag effect and has not been able to give full play to its role in a timely manner. At present, China has experienced two complete financial cycle cycles, and is in the third cycle of bubble burst stage and deep in this. The results show that the short term volatility of China's financial cycle runs counter to the trend change of FCI, the stochastic trend component is consistent with FCI, and the driving effect of random shocks is stronger.
【作者单位】：吉林大学商学院;吉林大学数量经济研究中心、商学院;
【基金】：教育部人文社科重点研究基地重大项目:中国系统性金融风险防范与金融稳定性计量研究(14JJD790043) 吉林大学研究生创新基金资助项目:新常态下系统性区域性金融风险量化分析与防范研究(2016006)
【分类号】：F832
【正文快照】： 一、引言目前,2008年全球金融危机的深层次影响尚未消退,2010年欧债危机的阴影还未散去,2014年美国退出QE的冲击依旧持续,在这样的现实背景下,中国经济在三期叠加及四降一升的双重压力下步入新常态,世界经济随之步入新平庸又反向倒逼中国经济金融必须进行结构性改革以应对外需

【参考文献】