统计研究 ›› 2009, Vol. 26 ›› Issue (5): 9-16.

• 论文 • 上一篇    下一篇

中国金融经济周期与真实经济周期的动态关联研究

曹永琴 李泽祥   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2009-05-15 发布日期:2009-05-15

The Study on Dynamic Relationship between the Financial Cycle and Real Business Cycle in China

  • Received:1900-01-01 Revised:1900-01-01 Online:2009-05-15 Published:2009-05-15

摘要: 运用恒常条件相关(CCC)和动态条件相关估计方法(DCC),本文考察了中国金融经济周期与真实经济周期的动态关系。研究发现,从1999年开始,随着中国金融深化程度和金融市场开放度的提高,金融经济周期与真实经济周期的动态关联程度持续上升。金融因素对经济周期的影响越来越显著,货币政策对真实经济的引导效果进一步强化,金融经济周期在中国表现愈加明显。政府运用宏观经济政策平抑经济波动时,不能仅以真实经济指标作为参考,还应参考金融经济指标。

关键词: 金融经济周期, 真实经济周期, 动态相关, CCC模型, DCC模型

Abstract: Using the CCC and DCC model, this paper studies the dynamic relationship between the financial cycle and business cycle in China. And we find that since 1999 the dynamic relationship between the financial cycle and real business cycle is increasing with the improvement of the financial deepening degree and financial market openness in China, The more remarkable the financial factors affect the business, and the effect of monetary policy to the real economics is further strengthened, then the more obvious the financial business cycle behaves in China. So government should employ the macroeconomic policies to manipulate the economic fluctuation according to not only the real economic index but also the financial index.


 

Key words: financial business cycle, real business cycle, dynamic relationship, CCC model, DCC model