【摘要】：經(jīng)濟大蕭條、東南亞金融危機和2008年全球金融危機給相關(guān)經(jīng)濟體都帶來了嚴(yán)重的負面影響，而金融體系的順周期性更是加深了這種影響。在金融危機到來前掩蓋隱患，造成虛假繁榮；在金融危機發(fā)生后收縮信貸規(guī)模，再一次的加重了經(jīng)濟衰退的程度。這一現(xiàn)象引起了學(xué)者對信貸順周期性的關(guān)注，大量文獻從不同的角度對該現(xiàn)象進行分析和解釋，得到豐富的研究成果。文章以日本和中國為例，研究信貸周期和經(jīng)濟周期之間的關(guān)系和相互作用機制，為了保證結(jié)論的穩(wěn)健性和準(zhǔn)確性，文章選擇多種實證方法進行詳盡的分析，，然后采用日本和中國對比分析發(fā)現(xiàn)金融監(jiān)管改革的必要性和重要性。 文章首先在分析信貸周期，經(jīng)濟周期以及兩者關(guān)系的理論基礎(chǔ)上，分析出現(xiàn)信貸順周期的現(xiàn)象時，金融監(jiān)管對這種現(xiàn)象的有效抑制的作用機制。其次從周期性度量的角度介紹了H-P濾波和BBQ算法，從同步性度量的角度介紹了Pearson相關(guān)系數(shù)，基于VAR預(yù)測誤差的時域方法和基于譜分析的頻域方法。然后，文章使用這五種方法對日本進行分析發(fā)現(xiàn)日本經(jīng)濟從1990年至2013年期間大概有五個周期，日本信貸從1992年至2013年期間大約有四個周期；在整個時期日本信貸順（逆）周期不明顯，但是分階段后發(fā)現(xiàn)日本信貸出現(xiàn)階段順周期階段逆周期的現(xiàn)象，最主要原因可能是日本金融監(jiān)管體制進行有效的改革。對中國進行研究后發(fā)現(xiàn)中國經(jīng)濟從1992年至2013年期間約有四個周期，中國信貸在2000年至2013年期間大約存在兩個半大周期。并且中國在這段時期出現(xiàn)信貸順周期的現(xiàn)象，信貸周期領(lǐng)先經(jīng)濟周期約三個季度。 最后，文章給出相應(yīng)的政策建議，提出中國應(yīng)當(dāng)強化金融監(jiān)管和宏觀經(jīng)濟運行的協(xié)調(diào)機制，進行反周期監(jiān)管；監(jiān)管主體要集中，確定“一行三會”中的核心地位；健全金融監(jiān)管的相關(guān)法律法規(guī)，保護金融消費者的合法權(quán)益；加強國內(nèi)監(jiān)管和國際監(jiān)管的協(xié)調(diào)；完善貨幣政策的機制；提升商業(yè)銀行自身的風(fēng)險管理能力。
[Abstract]:The Great Depression, the financial crisis in Southeast Asia and the global financial crisis in 2008 have had a serious negative impact on the economies concerned, and the procyclicality of the financial system has deepened this impact. Before the financial crisis to cover up hidden dangers, resulting in false prosperity; after the financial crisis to shrink the size of credit, once again exacerbated the extent of the recession. This phenomenon has attracted scholars' attention to the credit procyclicality. A large number of literatures have analyzed and explained the phenomenon from different angles and obtained rich research results. This paper takes Japan and China as an example to study the relationship and interaction mechanism between credit cycle and business cycle. In order to ensure the robustness and accuracy of the conclusions, this paper chooses a variety of empirical methods to carry out detailed analysis. Then using Japan and China to find out the necessity and importance of financial regulatory reform. Based on the analysis of credit cycle, economic cycle and the relationship between them, this paper first analyzes the mechanism of the effective suppression of this phenomenon by financial supervision when the phenomenon of credit pro-cycle appears. Secondly, H-P filter and BBQ algorithm are introduced from the angle of periodicity metric, Pearson correlation coefficient is introduced from the angle of synchronism metric, time-domain method based on VAR prediction error and frequency-domain method based on spectrum analysis. Then, using these five methods to analyze Japan, we find that there are about five cycles in Japanese economy from 1990 to 2013, and there are about four cycles in Japanese credit from 1992 to 2013. In the whole period, the credit in Japan is not obvious, but it is found that the main reason is the effective reform of the Japanese financial supervision system. A study of China found that there were about four cycles in the Chinese economy from 1992 to 2013, and credit in China had about two and a half cycles between 2000 and 2013. And there was a credit boom in China during this period, with the credit cycle leading the economic cycle for about three quarters. Finally, the article gives the corresponding policy recommendations, and points out that China should strengthen the coordination mechanism of financial supervision and macro-economic operation, carry out counter-cyclical supervision, and the main body of supervision should concentrate to determine the core position of "one line and three sessions"; Improve the relevant laws and regulations of financial supervision, protect the legitimate rights and interests of financial consumers; strengthen the coordination of domestic and international supervision; improve the mechanism of monetary policy; enhance the risk management ability of commercial banks themselves.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F124;F131.3

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