【摘要】：基于我國(guó)經(jīng)濟(jì)發(fā)展過(guò)程中金融發(fā)展與經(jīng)濟(jì)增長(zhǎng)的波動(dòng)路徑存在差異的特殊現(xiàn)象,剖析金融發(fā)展逐漸從經(jīng)濟(jì)發(fā)展中脫離出來(lái)的現(xiàn)狀,在研究?jī)烧卟▌?dòng)周期時(shí)將金融周期和實(shí)體經(jīng)濟(jì)周期分別以虛擬經(jīng)濟(jì)和實(shí)體經(jīng)濟(jì)的劃分角度從經(jīng)濟(jì)周期中劃分開(kāi)來(lái),并深入研究?jī)烧咧g的動(dòng)態(tài)相關(guān)性與協(xié)同性。研究?jī)?nèi)容主要包括以下幾點(diǎn)： 首先,對(duì)相關(guān)的經(jīng)濟(jì)理論進(jìn)行梳理分析,剖析國(guó)內(nèi)外金融周期和實(shí)體經(jīng)濟(jì)周期的研究現(xiàn)狀,對(duì)比現(xiàn)有的經(jīng)濟(jì)理論基礎(chǔ)和周期測(cè)度方法,進(jìn)而提出研究金融和實(shí)體經(jīng)濟(jì)周期關(guān)系的研究思路和方法。此外,為了使周期性概念的界定更加科學(xué)化,分別從對(duì)兩周期存在的差別以及表現(xiàn)方式上的差異性進(jìn)行了深入對(duì)比,基于此,又站在定價(jià)機(jī)制的角度上分析兩周期之間的區(qū)別,并解釋造成兩周期區(qū)分開(kāi)來(lái)的原因在于所在領(lǐng)域的研究主體以及定價(jià)機(jī)制的不同。 其次,兩周期根本上存在的差異雖然造成了兩者表現(xiàn)形式的區(qū)別,但是在周期波動(dòng)的路徑以及波動(dòng)趨勢(shì)上看,兩者存在著一定的相關(guān)性。為了全面客觀的反映我國(guó)金融周期和實(shí)體經(jīng)濟(jì)周期的波動(dòng)狀況,考慮到兩周期的波動(dòng)是隨著時(shí)間的推移而不斷變化的,因此采用DCC-MGARCH模型計(jì)算兩周期的動(dòng)態(tài)相關(guān)系數(shù),從時(shí)間序列的角度研究我國(guó)金融周期與實(shí)體經(jīng)濟(jì)周期之間的動(dòng)態(tài)相關(guān)關(guān)系程度。 再次,在確定了兩周期存在相關(guān)關(guān)系的前提下,進(jìn)一步檢驗(yàn)金融周期與實(shí)體經(jīng)濟(jì)周期在波動(dòng)過(guò)程中是否存在協(xié)同關(guān)系,結(jié)合Engle提出的共同趨勢(shì)與共同周期理論,通過(guò)動(dòng)態(tài)因子模型的方法提取我國(guó)2000年至2012年金融周期與實(shí)體經(jīng)濟(jì)周期之間的共同周期因子,運(yùn)用共同周期因子分別與兩波動(dòng)周期進(jìn)行相關(guān)性分析,進(jìn)而考察兩者在經(jīng)濟(jì)運(yùn)行中短期內(nèi)與長(zhǎng)期內(nèi)表現(xiàn)特征的異同,并對(duì)這種關(guān)系特征進(jìn)行解釋。 最后,在理論說(shuō)明與實(shí)證結(jié)果的基礎(chǔ)上提出有針對(duì)性的政策建議,以利于我國(guó)經(jīng)濟(jì)在宏觀調(diào)控上能采取有效措施,積極防范突發(fā)事件對(duì)本國(guó)經(jīng)濟(jì)造成的不良沖擊。 基于上述的理論和實(shí)證,最終可得出以下結(jié)論：一是金融周期和實(shí)體經(jīng)濟(jì)周期在短期內(nèi)存在一定的動(dòng)態(tài)關(guān)聯(lián),在長(zhǎng)期內(nèi)具有相似的波動(dòng)趨勢(shì)。二是金融周期和實(shí)體經(jīng)濟(jì)周期的界定與定價(jià)機(jī)制存在著差異。三是金融周期和實(shí)體經(jīng)濟(jì)周期在波動(dòng)過(guò)程中起著相互促進(jìn),同起同落的發(fā)展趨勢(shì)。
[Abstract]:Based on the special phenomenon that there is a difference between the fluctuation path of financial development and economic growth in the process of economic development in China, this paper analyzes the present situation that financial development is gradually separated from economic development. In the study of the volatility cycle of the two, the financial cycle and the real economic cycle are divided from the economic cycle from the perspective of virtual economy and real economy, respectively, and the dynamic correlation and synergy between the two are deeply studied. The research contents mainly include the following points: first of all, the related economic theories are combed and analyzed, the research status of financial cycle and real economic cycle at home and abroad is analyzed, and the existing economic theoretical basis and cycle measurement methods are compared. Then the research ideas and methods of studying the relationship between finance and real economic cycle are put forward. In addition, in order to make the definition of periodicity more scientific, this paper makes a deep comparison between the differences existing in the two cycles and the differences in the way of expression, and based on this, analyzes the differences between the two cycles from the point of view of pricing mechanism. It is explained that the reason for the distinction between the two cycles lies in the different research subjects and pricing mechanisms in the field. Secondly, although the fundamental differences between the two cycles cause the difference between the two forms of expression, there is a certain correlation between the two in terms of the path and trend of periodic fluctuations. In order to reflect the fluctuation of financial cycle and real economic cycle in China comprehensively and objectively, considering that the fluctuation of two cycles changes continuously with the passage of time, the DCC-MGARCH model is used to calculate the dynamic correlation coefficient of the two cycles. From the point of view of time series, this paper studies the dynamic correlation between financial cycle and real economic cycle in China. Thirdly, on the premise of determining the correlation between the two cycles, this paper further tests whether there is a synergy between the financial cycle and the real economic cycle in the process of volatility, combined with the common trend and common cycle theory proposed by Engle. The common cycle factors between the financial cycle and the real economic cycle in China from 2000 to 2012 are extracted by the method of dynamic factor model, and the correlation between the common cycle factor and the two fluctuation cycles is analyzed respectively. Furthermore, the similarities and differences between the two characteristics in the short and long term of economic operation are investigated, and the characteristics of this relationship are explained. Finally, on the basis of theoretical explanation and empirical results, this paper puts forward targeted policy suggestions in order to help our economy to take effective measures in macro-control and actively prevent the adverse impact of emergencies on the domestic economy. Based on the above theories and empirical examples, the following conclusions can be drawn: first, there is a certain dynamic correlation between the financial cycle and the real economic cycle in the short term, and there is a similar fluctuation trend in the long run. Second, there are differences in the definition and pricing mechanism between the financial cycle and the real economic cycle. Third, the financial cycle and the real economic cycle play a mutual promotion in the process of volatility, the same rise and fall of the development trend.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832;F124.8;F224

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