金融周期与实体经济周期相关性与协同性研究
发布时间：2019-05-27 17:51
【摘要】：基于我国经济发展过程中金融发展与经济增长的波动路径存在差异的特殊现象,剖析金融发展逐渐从经济发展中脱离出来的现状,在研究两者波动周期时将金融周期和实体经济周期分别以虚拟经济和实体经济的划分角度从经济周期中划分开来,并深入研究两者之间的动态相关性与协同性。研究内容主要包括以下几点： 首先,对相关的经济理论进行梳理分析,剖析国内外金融周期和实体经济周期的研究现状,对比现有的经济理论基础和周期测度方法,进而提出研究金融和实体经济周期关系的研究思路和方法。此外,为了使周期性概念的界定更加科学化,分别从对两周期存在的差别以及表现方式上的差异性进行了深入对比,基于此,又站在定价机制的角度上分析两周期之间的区别,并解释造成两周期区分开来的原因在于所在领域的研究主体以及定价机制的不同。 其次,两周期根本上存在的差异虽然造成了两者表现形式的区别,但是在周期波动的路径以及波动趋势上看,两者存在着一定的相关性。为了全面客观的反映我国金融周期和实体经济周期的波动状况,考虑到两周期的波动是随着时间的推移而不断变化的,因此采用DCC-MGARCH模型计算两周期的动态相关系数,从时间序列的角度研究我国金融周期与实体经济周期之间的动态相关关系程度。 再次,在确定了两周期存在相关关系的前提下,进一步检验金融周期与实体经济周期在波动过程中是否存在协同关系,结合Engle提出的共同趋势与共同周期理论,通过动态因子模型的方法提取我国2000年至2012年金融周期与实体经济周期之间的共同周期因子,运用共同周期因子分别与两波动周期进行相关性分析,进而考察两者在经济运行中短期内与长期内表现特征的异同,并对这种关系特征进行解释。 最后,在理论说明与实证结果的基础上提出有针对性的政策建议,以利于我国经济在宏观调控上能采取有效措施,积极防范突发事件对本国经济造成的不良冲击。 基于上述的理论和实证,最终可得出以下结论：一是金融周期和实体经济周期在短期内存在一定的动态关联,在长期内具有相似的波动趋势。二是金融周期和实体经济周期的界定与定价机制存在着差异。三是金融周期和实体经济周期在波动过程中起着相互促进,同起同落的发展趋势。
[Abstract]:Based on the special phenomenon that there is a difference between the fluctuation path of financial development and economic growth in the process of economic development in China, this paper analyzes the present situation that financial development is gradually separated from economic development. In the study of the volatility cycle of the two, the financial cycle and the real economic cycle are divided from the economic cycle from the perspective of virtual economy and real economy, respectively, and the dynamic correlation and synergy between the two are deeply studied. The research contents mainly include the following points: first of all, the related economic theories are combed and analyzed, the research status of financial cycle and real economic cycle at home and abroad is analyzed, and the existing economic theoretical basis and cycle measurement methods are compared. Then the research ideas and methods of studying the relationship between finance and real economic cycle are put forward. In addition, in order to make the definition of periodicity more scientific, this paper makes a deep comparison between the differences existing in the two cycles and the differences in the way of expression, and based on this, analyzes the differences between the two cycles from the point of view of pricing mechanism. It is explained that the reason for the distinction between the two cycles lies in the different research subjects and pricing mechanisms in the field. Secondly, although the fundamental differences between the two cycles cause the difference between the two forms of expression, there is a certain correlation between the two in terms of the path and trend of periodic fluctuations. In order to reflect the fluctuation of financial cycle and real economic cycle in China comprehensively and objectively, considering that the fluctuation of two cycles changes continuously with the passage of time, the DCC-MGARCH model is used to calculate the dynamic correlation coefficient of the two cycles. From the point of view of time series, this paper studies the dynamic correlation between financial cycle and real economic cycle in China. Thirdly, on the premise of determining the correlation between the two cycles, this paper further tests whether there is a synergy between the financial cycle and the real economic cycle in the process of volatility, combined with the common trend and common cycle theory proposed by Engle. The common cycle factors between the financial cycle and the real economic cycle in China from 2000 to 2012 are extracted by the method of dynamic factor model, and the correlation between the common cycle factor and the two fluctuation cycles is analyzed respectively. Furthermore, the similarities and differences between the two characteristics in the short and long term of economic operation are investigated, and the characteristics of this relationship are explained. Finally, on the basis of theoretical explanation and empirical results, this paper puts forward targeted policy suggestions in order to help our economy to take effective measures in macro-control and actively prevent the adverse impact of emergencies on the domestic economy. Based on the above theories and empirical examples, the following conclusions can be drawn: first, there is a certain dynamic correlation between the financial cycle and the real economic cycle in the short term, and there is a similar fluctuation trend in the long run. Second, there are differences in the definition and pricing mechanism between the financial cycle and the real economic cycle. Third, the financial cycle and the real economic cycle play a mutual promotion in the process of volatility, the same rise and fall of the development trend.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832;F124.8;F224
[Abstract]:Based on the special phenomenon that there is a difference between the fluctuation path of financial development and economic growth in the process of economic development in China, this paper analyzes the present situation that financial development is gradually separated from economic development. In the study of the volatility cycle of the two, the financial cycle and the real economic cycle are divided from the economic cycle from the perspective of virtual economy and real economy, respectively, and the dynamic correlation and synergy between the two are deeply studied. The research contents mainly include the following points: first of all, the related economic theories are combed and analyzed, the research status of financial cycle and real economic cycle at home and abroad is analyzed, and the existing economic theoretical basis and cycle measurement methods are compared. Then the research ideas and methods of studying the relationship between finance and real economic cycle are put forward. In addition, in order to make the definition of periodicity more scientific, this paper makes a deep comparison between the differences existing in the two cycles and the differences in the way of expression, and based on this, analyzes the differences between the two cycles from the point of view of pricing mechanism. It is explained that the reason for the distinction between the two cycles lies in the different research subjects and pricing mechanisms in the field. Secondly, although the fundamental differences between the two cycles cause the difference between the two forms of expression, there is a certain correlation between the two in terms of the path and trend of periodic fluctuations. In order to reflect the fluctuation of financial cycle and real economic cycle in China comprehensively and objectively, considering that the fluctuation of two cycles changes continuously with the passage of time, the DCC-MGARCH model is used to calculate the dynamic correlation coefficient of the two cycles. From the point of view of time series, this paper studies the dynamic correlation between financial cycle and real economic cycle in China. Thirdly, on the premise of determining the correlation between the two cycles, this paper further tests whether there is a synergy between the financial cycle and the real economic cycle in the process of volatility, combined with the common trend and common cycle theory proposed by Engle. The common cycle factors between the financial cycle and the real economic cycle in China from 2000 to 2012 are extracted by the method of dynamic factor model, and the correlation between the common cycle factor and the two fluctuation cycles is analyzed respectively. Furthermore, the similarities and differences between the two characteristics in the short and long term of economic operation are investigated, and the characteristics of this relationship are explained. Finally, on the basis of theoretical explanation and empirical results, this paper puts forward targeted policy suggestions in order to help our economy to take effective measures in macro-control and actively prevent the adverse impact of emergencies on the domestic economy. Based on the above theories and empirical examples, the following conclusions can be drawn: first, there is a certain dynamic correlation between the financial cycle and the real economic cycle in the short term, and there is a similar fluctuation trend in the long run. Second, there are differences in the definition and pricing mechanism between the financial cycle and the real economic cycle. Third, the financial cycle and the real economic cycle play a mutual promotion in the process of volatility, the same rise and fall of the development trend.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832;F124.8;F224
【参考文献】
相关期刊论文 前10条
1 张荣武;赵行亮;;经济周期、前景理论与BHS资产定价模型修正[J];财经理论与实践;2011年04期
2 李，
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