Research On The Two-way Spillover Effect Of Financial Cycle Fluctuations In Developed And Emerging Economies

With the acceleration of financial liberalization and integration,the linkage between financial markets of various economies is bound to increase.As a core force in the global financial market,the fluctuations in the financial cycle of developed economies will inevitably have an impact on emerging economies;The emerging economies represented by China are becoming increasingly large and have significantly increased influence,which will inevitably have a certain degree of impact on the financial systems of developed economies.Therefore,it is proposed to select six indicators of real estate price,stock price,interest rate,exchange rate,money supply and credit,select quarterly data from Q1 2005 to Q3 2021,measure the financial cycle index with H-P filtering method and factor analysis method,and use MS model to analyze the fluctuation characteristics of the financial cycle of developed and emerging economies;On this basis,we use the TVP-VAR-DY model to study the bidirectional spillover effects of financial cycle fluctuations between developed and emerging economies,as well as between developed and China.Starting from six financial sub markets,we further explore the transmission mechanism of the bidirectional spillover effects of financial cycle fluctuations between developed and emerging economies.Research has found that: firstly,the fluctuation trend of financial cycles in developed economies and emerging economies represented by China is roughly the same,but there are differences in the same.Secondly,from the perspective of the overall financial market,the overall spillover effects of financial cycle fluctuations in developed and emerging economies have significant time-varying characteristics,and are closely related to the occurrence of crisis events.The "crisis period" is often greater than the "normal period";At the same time,the volatility of financial cycles in developed and emerging economies has a bidirectional and asymmetric spillover effect;From the perspective of net spillover effects,developed economies are the providers of financial cycle volatility spillover effects,while emerging economies are the recipients.Thirdly,starting from various financial sub markets,it can be concluded that the total spillover effects vary among different financial sub markets.Specifically,the stock market>interest rate market>exchange rate market>currency market>credit market>real estate market;From the perspective of targeted spillover effects,in different financial markets,the financial cycle fluctuations of developed and emerging economies have time-varying characteristics and are closely related to the occurrence of risk events in various financial sub markets;From the perspective of net spillover effects,similarly,in various financial sub markets,the financial cycle fluctuations of developed economies have a net spillover effect on emerging economies.Therefore,it is necessary to establish a global financial risk warning system to minimize the impact of global risk events as much as possible;Emerging economies should closely monitor the occurrence of risk events in various financial sub markets and strictly prevent the overflow of external financial risks;Countries should establish a multi-level international monetary policy coordination mechanism based on the principle of "sharing benefits and risks";Building a global financial supervision system to provide strong guarantees for policy coordination and implementation.