Analysis on the Asymmetric Fluctuation Characteristics and Linkage Relationship between Financial Cycle and Business Cycle in China
Accurately grasping the cyclical fluctuations in the financial and economic sectors is a crucial prerequisite for enhancing the precision of macroeconomic regulation and building a sound macroeconomic governance system.Different from traditional business cycle research,the Markov Switching Dynamic Bi-factor(MS-DBF)modelis applied to develop a comprehensive analysis to measure China's financial and business cycles,identify the volatility,and determine the correlation.It is of great theoretical value and practical significance for simultaneously monitoring the cyclical fluctuation dynamics of macroeconomic and financial sectors in China,as well as exploring macro-financial linkages through a cyclical perspective.The results show that,firstly,the financial and business cycles have asymmetric characteristics,and the degree of volatility in the financial cycle is less than that of the business cycle,the possible reason is that the impact of the pandemic led to significant fluctuations in macroeconomic data after 2020,while financial data is not heavily affected by the pandemic,and the volatility remains within the normal range.Secondly,whether it is expansion or contraction,the financial cycle has a certain advancement in the business cycle,but the advancement period of each cycle is different,with the average leading period during contraction phases slightly exceeding that during expansion phases.Thirdly,the combined fluctuation of the two cycles has the characteristics of regime dependence,and the probability of transition between different states is asymmetric.Finally,due to the impact of the Covid-19 pandemic,macroeconomic data exhibits unusual fluctuations,rendering traditional Markov Switching Autoregressive(MS-AR)and Markov Switching Vector Autoregressive(MS-VAR)models incapable of accurately identifying the phases of the business cycle,while the MS-DBF model can accurately capture each round of fluctuations in the business cycle under the constraint of the joint transfer probability matrix.Since the second half of 2021,economic development in China has faced"triple pressure",the business and financial cycles are in the regime state of"the former shrinking while the latter expanding",the business cycle has bottomed out deeply in the contraction phase of the sixth cycle,while the financial cycle is in the expansion phase of the seventh cycle,which stays at a relatively low level.It indicates that,at present,China's systematic financial risks are generally controllable.Macro-control still has certain policy regulation space and government authorities can moderately intensify policy adjustments,further implement precision-oriented proactive fiscal policies and moderately adopt accommodative monetary policies to achieve stable economic growth.
financial cyclebusiness cycleasymmetry of cyclical fluctuationslinkage analysisrobustnessthe MS-DBF model
万方数据
维普
