摘要
不确定性冲击问题既是理解从个体行为决策到宏观经济波动等系列现象的重要基础,也是构建经济-金融理论模型不可忽视的关键因素。事实上,与实体经济周期波动相比,金融周期波动更易受到宏观经济状况的影响,其周期态势极可能呈现非预期性变化特征。在当前国内外不确定性因素明显增加的背景下,明确不确定性冲击下中国金融周期波动特征及其叠加机理,成为提升金融风险防范化解能力、缓解经济下行压力的关键所在。在理论分析不确定性与金融周期波动之间关联逻辑的基础上,利用2002年至2020年高维月度宏观经济数据,综合使用高维因子模型、主成分分析和小波分析方法,动态估算中国经济不确定性、金融不确定性和金融周期波动及其时频关联特征,并进一步运用时频双维溢出指数方法探究不确定性冲击下中国金融周期波动的特征及其叠加机理。研究结果表明,中国金融周期由不同频率的波动成分叠加而成,且与不确定性冲击之间表现出较强的相关特征,在经济不确定性和金融不确定性较高的阶段,中国金融周期波动在各金融子市场波动的共同驱动下偏离3年~4年的主周期,甚至出现两年左右的短周期波动成分。中国经济不确定性和金融不确定性与金融周期波动之间的溢出效应和反馈效应在各类危机事件影响下表现出显著的非线性特征,且不同类型危机事件下占主导地位的不确定性冲击往往会推动金融周期的长期波动水平大幅上升。不仅如此,经济不确定性和金融不确定性对中国金融周期的叠加机理也存在差异化的冲击影响,当经济不确定性占主导时,金融周期的短中期波动成分主要由股票、债券和货币市场叠加而成;当金融不确定性占主导时,金融周期的短中期波动成分主要由信贷、汇率和房地产市场叠加而成。综合理论和实证分析两方面,得到了有关不确定性冲击下中国金融周期波动特征及其叠加机理的若干特征事实,不仅可为守住不发生系统性金融风险底线提供有力抓手,对于完善宏观经济治理体系也有重要的理论和现实价值。
The problem of uncertainty shocks is both an important basis for understanding a series of phenomena ranging from individual behavioral decisions to macroeconomic fluctuations,and a key factor that cannot be ignored in the construction of economic-financial theoretical models.In fact,compared with the fluctuations of the real economic cycle,the fluctuations of the financial cycle is more vulnerable to macroeconomic conditions,and its cyclical dynamics is likely to show unanticipated changes.In the current context of increasing uncertainties in China and outside China,clarifying the volatility characteristics and superposition mechanism of China′s financial cycle under uncertainty has become the key to enhancing the ability to prevent and resolve financial risks and alleviate the downward pressure of the economy.Based on the theoretical analysis of the correlation logic between uncertainty and financial cycle fluctuations,this study uses a combination of high-dimensional monthly macroeconomic data from 2002 to 2020,a high-dimensional factor model,principal component analysis and wavelet analysis to first dynamically estimate China′s economic uncertainty,financial uncertainty,and financial cycle and clarify their time-frequency correlation characteristics,and then apply the time-frequency twodimensional spillover index to deeply investigate the volatility characteristics and superposition mechanism of China′s financial cycle under uncertainty shocks.The findings suggest that China′s financial cycle consists of a superposition of volatility components of different frequencies and exhibits a strong correlation between them and uncertainty shocks and that during phases of high economic and financial uncertainty,China′s financial cycle volatility deviates from the main cycle of three to four years,driven by the combined volatility of various financial submarkets,and even has a short-cycle volatility component of about two years.The spillover and feedback effects between China′s economic and financial uncertainty and financial cycle volatility exhibit significant nonlinearities under the influence of various types of domestic and foreign crisis events,and the dominant uncertainty shocks under different types of crisis events tend to drive up the long-term volatility level of the financial cycle significantly.In addition to that,there is also a differential impact of economic and financial uncertainty on the superposition mechanism of the financial cycle in China.When economic(financial)uncertainty dominates,the short-to medium-term volatility component of the financial cycle is mainly superimposed by the equity,bond,and currency(credit,exchange rate,and real estate)markets.The above study integrates both theoretical and empirical analyses to obtain several characteristic facts about the volatility characteristics and superposition mechanism of China′s financial cycle under uncertainty shocks,which can not only provide a powerful grip for keeping the bottom line of no systemic financial risk,but also has important theoretical and practical values for improving the macroeconomic governance system.
作者
邓创
吴超
赵珂
DENG Chuang;WU Chao;ZHAO Ke(Center for Quantitative Economics,Jilin University,Changchun 130012,China;School of Business and Management,Jilin University,Changchun 130012,China)
出处
《管理科学》
CSSCI
北大核心
2023年第4期121-134,共14页
Journal of Management Science
基金
教育部人文社会科学研究项目(22JJD790066)
国家自然科学基金(71873056)
吉林省教育厅科学研究重大项目(JJKH20220938SK)
中央高校基本科研业务费专项资金(2022CXTD25)
关键词
经济不确定性
金融不确定性
金融周期
叠加机理
时频双维溢出指数
economic uncertainty
financial uncertainty
financial cycle
superposition mechanism
time-frequency two-dimensional spillover index
