Research On The Measurement,Transmission Mechanism And Monetary Policy Regulation Of China's Financial Cycle

The traditional macroeconomic research framework does not consider the important role of financial factors.However,with the deepening of the theory research and policy practice,especially the outbreak of the financial crisis in 2008 made the researchers and policy makers gradually realize that financial factors play an important role in the real economy.Without an in-depth analysis of its important role in the operation of the macro economy,it is impossible to deeply understand the fluctuation law of the economic system.In this context,the concept of Financial Cycle came into being.The core connotation of the financial cycle lies in the cyclical fluctuation of the financial system,which is not a special state of a specific historical period,but a normal cycle of prosperity and depression.The driving force of the financial cycle is the mutual reinforcement between financing constraints and risk perception,which is the key to preventing financial crisis contagion and outbreak.Since the cyclical fluctuation of the financial system is the result of the superposition of financial sub-cycles,it also puts forward higher requirements for measuring and analyzing the financial cycle.In view of this,the thesis gradually analyzes the stylized facts of financial cycle,transmission mechanism of financial cycle and monetary policy rules incorporated into the financial cycle.Specifically,this thesis is divided into the following four parts:The first part is the first chapter and the second chapter,which are the introduction part and the literature review part respectively.In the first chapter,the introduction explains the background and significance of the research.At the same time,it introduces the theoretical background and practical connotation of the financial cycle,thus leading to the research topic of this thesis.In the second chapter,the literature review firstly analyzes the connotation of financial cycle,so that it can be targeted in the follow-up research process.After that,the second chapter systematically expounds the evolution process of incorporating financial factors into the framework of macro economy analysis.At the same time,since this thesis later selected private non-financial sector credit,real estate prices and macro leverage ratio to measure the mechanism of the impact of China's financial cycle on the real economy.Therefore,according to these three dimensions,the chapter two reviews the literature on the correlation mechanism between the three constituent indicators of financial cycle and the real economy.Finally,from the perspective of supervision,this chapter focuses on the main line of monetary policy to discuss relevant literature.The second to the fourth part is the empirical chapter of this thesis.The second part is the third chapter,which mainly measures China's financial cycle and examines its relationship with the real economy,so as to grasp the stylized facts of China's financial cycle as a whole.Chapter three selects three indicators of private non-financial sector credit,real estate price and macro leverage ratio,and synthesizes China's financial cycle by using the turning point method and band-pass filter method.Then this chapter uses the time-varying parameter model and the spillover index method to investigate the interdependence between the financial cycle and the business cycle.The results show that the operation of China's financial cycle shows a pattern of "long expansion and short contraction",and the fluctuation range of the expansion stage is significantly stronger than that of the contraction stage.As for the dynamic correlation between financial cycle and business cycle,the spillover effect of financial cycle on business cycle is significantly stronger than that of business cycle on financial cycle.That is,the financial cycle is primarily a sender of spillovers,not a receiver.At the same time,the impact of the financial cycle on the real economy is not immutable,and its spillover effect on the business cycle shows a significant time-varying feature.After analyzing the connotation of the financial cycle and describing it reasonably,the second problem to be solved is how the financial cycle affects the operation of the macro economy.Starting from the third part,this thesis focuses on the analysis of the transmission mechanism of the financial cycle.The main purpose of this part is to explore the specific mechanism that the financial cycle acts on the operation of the real economy,so as to further understand the relationship between the financial cycle and the real economy.Since this thesis selects credit,real estate prices and macro leverage ratio to synthesize China's financial cycle,the following thesis also analyzes problems based on these three dimensions.Chapter four constructs a DSGE model including household sector,enterprise sector,commercial banking sector and central bank sector.Variance decomposition analysis and counterfactual simulation are used to investigate the influence of credit friction on economic fluctuation and the driving factors of business cycle fluctuation in China.The results show that,the credit channel is an important way that the financial cycle affects the real economy.At the same time,due to the existence of imperfect market such as information asymmetry and moral hazard,credit friction plays a role of amplifier in the business cycle fluctuation,which leads to the economic consequence of "small shock and big fluctuation".Second,the counterfactual simulation shows that the specific mechanism of exogenous shocks driving the business cycle fluctuation has significant periodical characteristics.The dominant drivers of the business cycle also change at different stages of the real economy and the credit cycle.Finally,the impact of capital quality has a significant influence on China's business cycle,which plays a key role in different economic stages.In recent years,the level of leverage ratio in China continues to rise,"deleveraging" has become a hot issue concerned by academia and government departments.Whether there is a dilemma between "deleveraging" and "stable growth" has also become the focus of the theoretical and practical debate.In chapter 5,from a nonlinear perspective,based on the panel smooth threshold model,this thesis verified the leverage channel of the financial cycle affecting the macro economy.And the "threshold effect" between leverage ratio and economic growth is verified by using panel data,and the applicability of relevant theories is tested.Based on the empirical results in chapter 5,the following conclusions can be drawn: first of all,the descriptive statistical results show that China's macro leverage ratio is not only in a high position in absolute level,but also causes concern about its rapid growth rate.Secondly,the dependency relationship between macro leverage ratio and economic growth is not a static linear relationship.With the fluctuation of macro leverage ratio,its mechanism of action on economic growth will also change constantly.Specifically,when the leverage ratio is below the threshold value,the economic growth rate will accelerate with the increase of the leverage ratio.However,when the scale of debt increases and the macro leverage ratio crosses the threshold value,the virtuous circle between it and economic growth will be broken and the macro economic growth will be negatively affected.Recalling the past financial crises around the world,drastic fluctuations in house prices often played an important role.In chapter six,from the perspective of regime system transfer,the relationship between real estate prices and economic growth,and the effect of monetary policy on the real estate market are gradually and deeply studied through regime transfer model.The results show that the relationship between housing price and economic growth is not a simple linear relationship,and the influence of housing price on economic growth will change significantly in different stages of real estate market and credit cycle.Only when the money supply and the housing price are in a steady state of development can the rise in real estate prices effectively promote economic growth.In terms of the regulation of real estate prices by monetary policy,two monetary policy tools do not have an obvious policy ineffective range.Both of them can effectively regulate real estate prices,and they can effectively complement each other under different regimes.Since the financial system plays such an important role in the course of the business cycle,it is a natural choice to bring financial factors into the framework of macro-control and financial regulation.The fourth part,chapter 7,focuses on policy regulation.Chapter 7 investigates the Taylor rule based on financial cycle from a dynamic perspective,the research results show that the central bank in the adjustment of nominal interest rate is to focus on financial cycle to some extent.Compared with the traditional Taylor rule,both the inflation coefficient and the output gap coefficient in the Taylor rule included in the financial cycle are significantly improved,which can better fit the actual policy operation of the central bank.Then,in order to further investigate the dynamic characteristics of monetary authority's adjustment of nominal interest rate,chapter 7 reestimates the extended time-varying Taylor rule by using the time-varying parameter vector autoregressive model.It is found that monetary policy can effectively regulate the financial cycle as a whole.At the same time,with the change of business cycle and financial situation,central banks will adjust their policy objectives dynamically.Among them,there is no obvious inert area for monetary policy to control inflation,and controlling inflation is always the focus of the central bank's work.Second,central banks have a preference for avoiding economic contraction,and their adjustment of monetary policy tends to tilt towards the output gap during downturns.Finally,in order to curb excessive risk-taking by financial institutions,monetary authorities have significantly increased their focus on financial cycle after this financial crisis.