Study On China's Financial Cycle Measurement And The Regulation Effect Of Monetary Policy

Looking for the economic fluctuation law has always been one of the core themes of macroeconomics.In recent years,with the continuous development of financial markets and the deepening of financial globalization,more and more scholars have begun to pay attention to the role of financial factors on the macroeconomics.Research on the financial cycle is also advancing.Since the reform and opening up 40 years ago,while maintaining rapid growth,my country's economy has also suffered from frequent price fluctuations,largely due to the lag or failure of monetary policy.Therefore,accurately measuring my country's financial cycle and analyzing the regulatory effects of financial cycles and monetary policy can not only deepen the study of China's macroeconomic policy control system in the new era,but also provide timely warning of possible financial crises.This article first sorts out the historical review of the traditional economic cycle and the related theories of the current financial cycle,and reviews the basic content of monetary policy and the practice process of China's monetary policy regulation since the reform and opening up,comprehensively considering the measurement methods of the existing literature,and finally Select the turning point analysis method and filtering method to study China's financial cycle,and select the VAR model to study the regulation effect of financial cycle and monetary policy.Secondly,by sorting out the existing literature,the credit scale,real estate price and stock price are selected as the proxy variables for measuring the single-variable financial cycle,and on this basis,the money supply and the actual effective exchange rate are added.After preprocessing the data The VAR model is used to construct China's financial status index FCI,and FCI is used as the proxy variable of the compound variable financial cycle.Thirdly,the turning point analysis method was used to perform a descriptive statistical analysis on the univariate financial cycle and the compound variable financial cycle from January 1998 to December 2018 in my country,and the robust analysis was performed using the HP filter analysis method and the CF filter analysis method.After that,the standard deviation method,correlation coefficient method and other methods are used to analyze the periodic characteristics of my country's financial cycle asymmetry,volatility and coordination with the economic cycle.Finally,the credit cycle,real estate cycle,stock cycle and financial cycle are combined with the VAR model of monetary policy,and the regulatory effects of financial cycle and monetary policy are analyzed through correlation analysis,impulse response and variance decomposition.The research in this paper draws the following conclusions:(1)my country's financial cycle has obvious asymmetry,and the financial cycle and the stock cycle belong to the slow-up and steep-down cycle,and the credit cycle and real estate cycle belong to the steep-up and slow-down cycle.(2)Whether it is a single variable financial cycle or a compound variable financial cycle,its volatility is greater than the economic cycle.(3)According to the correlation coefficient between financial cycle and economic cycle,it is found that there is a high degree of coordination between financial cycle and economic cycle in China,that is to say,financial cycle can better predict economic cycle,which is consistent with the research of other scholars.(4)From the results of impulse response analysis,it is found that monetary policy has a positive effect on both univariate financial cycles and composite variable financial cycles in the short-term and longterm.(5)From the analysis results of variance analysis,The impact of monetary policy is mutual,and from the perspective of a single variable financial cycle and a compound variable financial cycle,a standard deviation of financial cycle impact on monetary policy is more powerful than monetary policy impact on financial cycle,explaining the financial market The changes in China will affect the effective implementation of monetary policy.Finally,this article gives corresponding policy suggestions based on the analysis results.