Two-dimensional Measurement and Associated Effects of Economic and Financial Cycles and Fiscal and Monetary Policy Cycles
China's economic development has encountered the dual challenges of weakening endogenous growth momentum and a volatile external political environment,the combined effects of which have hurt its economic situation and may trigger systemic risks in the financial sector.To achieve the policy objective of"keeping the economy running within a reasonable range",we need to analyze in depth the intrinsic characteristics of the economic and financial cycles and their interaction mechanisms,and identify potential sources of risk.Considering that monetary policy and fiscal policy are the main instruments of macroeconomic regulation in China,their cyclical regulation mode and the link between the cycles are also worthy of in-depth exploration.However,current academic research on these issues is still insufficient.This paper synthesizes the financial cycle index based on the dynamic assignment method of the GARCH model and uses the continuous wavelet transform to measure the cyclical characteristics of the economic cycle,the financial cycle,the monetary policy cycle,and the fiscal policy cycle from the time-frequency perspective,thus realize the two-dimensional measurement of the cycles in terms of the time series and the spectrum.Secondly,this paper explores the synergistic effect between the cycles based on the wavelet coherence analysis.Finally,a dynamic spillover index model is used to further systematically examine the risk transmission channels between the cycles.The paper finds that firstly,China is currently facing the downward pressure of both economic and financial overlapping,with the length of the financial cycle longer than that of the economic cycle,and the length of the monetary policy cycle longer than that of the fiscal policy cycle.Secondly,after the financial crisis,the cycles have undergone a structural transformation,with the financial cycle being procyclical and the monetary and fiscal policy cycle being countercyclical,in which fiscal policy dominates in macroeconomic regulation and control.Finally,the spillover impact of financial cycle fluctuations has increased significantly in recent years,with the stock market and credit being the risk transmission channels affecting the economic cycle and monetary policy,respectively.China should continue to promote the transition of monetary policy from"prudent"to"loose"and maintain a proactive fiscal policy and appropriately extend the term structure of the policy to boost expectations and promote economic development.Compared with previous literature,this paper makes the following contributions.Firstly,it encompasses multiple research perspectives,and explores the cyclical characteristics of each cycle from the time domain and frequency domain perspectives,which helps to better understand China's economic macro-trends and the current situation in the financial sector,as well as sorting out the trajectory of China's monetary and fiscal policies over time.Secondly,it innovatively introduces the fiscal policy cycle,providing a new way of regulating the economic and financial cycles and providing a new way of promoting the development of the economy.Regulation of the economic and financial cycles provides a new research perspective.Thirdly,four cycles-the financial cycle,the economic cycle,the fiscal policy cycle,and the monetary policy cycle-are incorporated into a single theoretical model,which helps to clarify the interactions between China's economic and financial cycles and their impacts on policy,as well as the pathways by which risks propagate between different cycles.It provides reference for further optimizing and adjusting China's fiscal and monetary policies so that they can implement macroeconomic regulation more effectively and thus promote the stable and healthy development of the economy.This study reveals the interaction mechanisms and risk propagation pathways between different cycles,which is crucial for preventing the spread of financial risks and giving full play to the macroeconomic control effects of economic policies.It provides important theoretical and practical guidance for China in achieving the macroeconomic goals of"stable growth"and"risk prevention".
economic cyclefinancial cycleeconomic policy cyclecontinuous wavelet transformdynamic spillover index
万方数据
维普
