Research On Flexible Time-Varying Measurement Of China’s Financial Cycle And Its Macroeconomic Effects

In the trend of high integration of domestic and foreign economic and financial development,my country’s economic development has started a new journey,and has now entered a new stage of dual-cycle economic development.A higher-level,higherlevel,and higher-quality opening up will surely be the high-quality and sustainable development of my country’s economy provides a powerful engine.But at the same time,my country’s economic development will also face a more complicated internal and external environment,especially under the impact of the new crown epidemic in2020,financial risks and other unstable factors have become more extensive,and the healthy and stable development of China’s financial market Faced with many challenges and impacts.Therefore,in order to better ensure financial security and prevent the full-scale outbreak of financial risks under the impact of the epidemic,accurately measure the cyclical fluctuations of my country’s financial market and analyze the macroeconomic effects brought about by it,not only can we open up new opportunities in the dual-cycle market.The research results of my country’s financial market system in the stage of economic development can also help to adjust and control the current possible financial risks in a timely manner.It is of great significance for my country to grasp the current financial development situation and improve the effectiveness of current macroeconomic policies.Firstly,this paper systematically sorts out the relevant literature on the measurement of financial cycle and the study of macroeconomic effects of financial cycle,and forms a literature review.Then,in the empirical process,this paper introduces a mixed innovation time-varying coefficient random variance vector autoregressive model(MI-TVP-SV-VAR)and a newly constructed mixed innovation time-varying coefficient random variance autoregressive financial cycle model(MITVP-SV-AR-FC),and based on this paper,China’s flexible and dynamic financial cycle index is constructed for the first time.Secondly,the wavelet transform method is used to decompose China’s flexible and dynamic financial cycle index into four periodic sequences of short,medium,long and full cycles,and a flexible time-varying measurement of the fluctuation length of my country’s financial cycle is carried out.Finally,it systematically analyzes the correlation effect between China’s financial cycle and economic cycle and the macroeconomic effect of the financial cycle.The empirical results of this paper show that: First,the newly constructed China flexible and dynamic financial cycle index is a comprehensive index that can effectively reflect the real-time fluctuations of my country’s financial market,and has a good forecasting effect on inflation.Second,the newly constructed MI-TVP-SV-AR-FC model can be better applied to the dynamic measurement of the fluctuation length of China’s financial cycle,which highlights the time-varying characteristics of the fluctuation length of the financial cycle.The fluctuation of the length of the financial cycle under the long-term fluctuation component is more in line with the actual operation of my country’s financial market.Third,China’s financial cycle is about 1-6months ahead of the economic cycle,and it is found that financial cycle fluctuations have a positive stimulating effect on economic output fluctuations,price level fluctuations and monetary policy in the short term,but this stimulating effect It will change as the economic situation and structure change.This paper mainly has the following two innovations: First,the innovation of the research method.This paper uses the flexible and time-varying impulse response function method to extract the dynamic weight of each financial variable,so as to construct China’s flexible and dynamic financial cycle index,and uses the wavelet transform Under the four different periodic fluctuation components of short,medium,long and full cycle,the flexible and time-varying measurement method is used to quantitatively measure the fluctuation length of my country’s financial cycle,and comprehensively compare and analyze the fluctuation of China’s financial cycle length;The second is the innovation of the measurement model.In this paper,the MITVP-SV-VAR model with flexible time-varying coefficient characteristics is introduced into the study of China’s financial cycle.At the same time,the MI-TVPSV-AR-FC is newly constructed.The model provides a flexible time-varying measure of the fluctuation length of China’s financial cycle.With the continuous improvement of the financial system,there are still many shortcomings in this paper,and it is expected to be improved in the follow-up research.