中国金融市场波动的周期性特征及其宏观经济效应研究
A Study on the Periodic Characteristics of China′s Financial Market Fluctuation and Its Macroeconomic Effect

基于IS曲线与菲利普斯曲线方程，运用时变状态空间模型构建中国动态金融条件指数(FCI)，对比分析各金融变量对金融整体形势的时变影响差异，识别出中国金融市场波动的周期性特征，采用时变参数因子扩展向量自回归(TVP-FAVAR)模型，考察中国金融市场波动的宏观经济效应。结果显示：货币供应量对金融总体形势的影响在逐渐减弱，汇率与利率所占的权重却在逐渐增强，且1996-2016年间中国金融市场共经历四次明显的周期性波动；金融市场波动仅存在短期的“产出效应”与“价格效应”，对私人消费在长短期内均存在“挤出效应”，而对私人投资只存在短期的“挤出效应”，对就业的影响短期内具有负向效应，长期内表现为正向刺激效应，对财政支出和国际外汇储备的冲击效应均表现为短期负向效应。
Based on the IS curve and Phillips curve equation, this paper constructs the dynamic FCI in China by using the time-varying state space model and compares the time-varying effects of the financial variables on China′s financial situation. Then we use the TVP-FAVAR model to investigate the macroeconomic effects of financial market volatility in China. Results show that the influence of money supply on the overall financial situation in China is gradually weakening, but the weight of exchange rate and interest rate is gradually increasing and China′s financial market volatility from 1996 to 2016 experienced four distinct cycles. In the short run of financial market, there are "output effect" and "price effect", but neither of them exists in long term. In both the short and long term, the financial market has "crowding-out effect" on private consumption, while there is only short-term "crowding-out effect" on private investment. Besides, the impact of employment in the short term has a negative effect, but its long-term performance has a positive stimulus effect, and the impact of fiscal expenditure and international foreign exchange reserves has short-term negative effects