金融周期和金融波动如何影响经济增长与金融稳定?

Journal of Financial Research

2016, Vol. 428

Issue (2): 1-22 DOI:

Current Issue | Archive | Adv Search

How Do Financial Cycle and Financial Volatility Affect Economic Growth and Financial Stability?

CHEN Yulu, MA Yong, RUAN Zhuoyang

China Financial Policy Research Center, Renmin University of China

Abstract
Figure/Table
References
Related Citation (15)

Download:

PDF (2162KB)
Export: BibTeX | EndNote (RIS)

Abstract Based on dynamic panel data of 68 major economies over the period of 1981-2012, this paper investigates the impact of financial cycle and financial volatility on economic growth and financial stability. The empirical results show that the boom and recession phases of the financial cycle are often associated with lower economic growth and higher probability of financial crisis. By comparison, in the normal phase of the financial cycle, economic growth is higher and the financial system is more stable. This indicates that both the overheating and overcooling of the financial system is harmful to economic growth and financial stability, and the reverse is true vice versa. In addition, no matter what phases the financial cycle is in, larger financial volatility is always associated with lower economic growth and higher probability of financial crisis, suggesting that the increase in financial volatility is harmful to both economic growth and financial stability.

Key words： Financial Cycle Financial Volatility Economic Growth Financial Stability

Received: 20 December 2015 Published: 01 January 1900

JEL分类号:	G21
	O11
	O40

	Service
	E-mail this article
	Add to my bookshelf
	Add to citation manager
	E-mail Alert
	RSS
	Articles by authors
	CHEN Yulu
	MA Yong
	RUAN Zhuoyang

Cite this article:

CHEN Yulu,MA Yong,RUAN Zhuoyang. How Do Financial Cycle and Financial Volatility Affect Economic Growth and Financial Stability?[J]. Journal of Financial Research, 2016, 428(2): 1-22.

URL:

http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2016/V428/I2/1

[1]	曹永琴和李泽祥,2009:《中国金融经济周期与真实经济周期的动态关联研究》,《统计研究》第5期,第9~16页。
[2]	陈雨露和马勇,2013:《大金融论纲》,中国人民大学出版社。
[3]	邓创和徐曼,2014:《中国的金融周期波动及其宏观经济效应的时变特征研究》,《数量经济技术经济研究》第9期,第75~91页。
[4]	何德旭和张捷,2009:《经济周期与金融危机:金融加速器理论的现实解释》,《财经问题研究》第10期,第65~70页。
[5]	李麟和索彦峰,2009:《经济波动、不良贷款与银行业系统性风险》,《国际金融研究》第6期,第55~63页。
[6]	马勇、杨栋和陈雨露,2009:《信贷扩张、监管错配与金融危机:跨国实证》,《经济研究》第12期,第93~105页。
[7]	宋玉华和徐前春,2004:《世界经济周期理论的文献述评》,《世界经济》第6期,第66~76页。
[8]	Adrian, T., A. Estrella, and H. Shin, 2010, “Monetary Cycles, Financial Cycles, and the Business Cycle”, Federal Reserve Bank of New York Staff Reports, No. 421.
[9]	Aikman, D., G. Andrew, and D. Benjamin, 2015, “Curbing the Credit Cycle”, The Economic Journal, 125(585), 1072-1109.
[10]	Alonso-Borrego, C., and M. Arellano, 1996, “Symmetrically Normalized Instrumental Variable Estimation Using Panel Data”, Journal of Business and Economic Statistics, 17(1), 36-49
[11]	Arellano, M., and O. Bover, 1995, “Another Look at the Instrumental Variable Estimation of Error-components Models”, Journal of Econometrics, 68(1), 29–51.
[12]	Arellano, M., and S. Bond, 1991, “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations”, Review of Economic Studies, 58(2), 277-297.
[13]	Barajas, A., G. Dell’ Ariccia, and A. Levchenko, 2007, “Credit Booms: the Good, the Bad and the Ugly”, International Monetary Fund.
[14]	Barth, J.,G. Caprio, and R. Levine, 2000, “Banking Systems Around the Globe: Do Regulation and Ownership Affect Performance and Stability?” World Bank Policy Research Working Paper, No. 2325.
[15]	Bernanke, B., 1983, “Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression”,American Economic Review, 73(3), 257-276.
[16]	Bernanke, B. and A. Blinder, 1988, “Credit, Money and Aggregate Demand”, American Economic Review, 78(2), 435-439.
[17]	Bernanke, B. and M. Gertler, 1989, “Agency Costs, Net Worth, and Business Fluctuations”, American Economic Review, 79(1), 14-31.
[18]	Bernanke, B., M. Gertler and S. Gilchrist, 1999, “The Financial Accelerator in a Quantitative Business Cycle Framework”, in B. John and M. Woodford, Handbook of Macroeconomics, 1341-1393.
[19]	Bezemer, D., and L. Zhang, 2014, “From Boom to Bust in the Credit Cycle: the Role of Mortgage Credit”, Research Institute SOM, Faculty of Economics and Business University of Groningen.
[20]	Bezemer, D., M. Grydaki, and L. Zhang, 2014, “Is Financial Development Bad for Growth?” Research Institute SOM, Faculty of Economics and Business University of Groningen.
[21]	Blundell, R., and S. Bond, 1998, “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models”, Journal of Econometrics, 87(1), 115-143.
[22]	Bond, S., C. Bowsher, and F. Windmeijer, 2001, “Criterion-based Inference for GMM in Autoregressive Panel Data Models”, Economic Letters, 73(3), 379-388.
[23]	Borio, C., 2014, “The Financial Cycle and Macroeconomics: What Have We Learnt?” Journal of Banking and Finance, 45, 182-198.
[24]	Borio, C., P. Disyatat, and M. Juselius, 2013, “Rethinking Potential Output: Embedding Information about the Financial Cycle”, BIS Working Papers, Bank for International Settlements.
[25]	Borio, C., R. McCauley, and P. McGuire, 2011, “Global Credit and Domestic Credit Booms”, BIS Quarterly Review,Bank for International Settlements.
[26]	Braun, M., and B. Larrain,2005, “Finance and the Business Cycle: International, Interindustry Evidence”, Journal of Finance, 60 (3), 1097–1128.
[27]	Bruno, V., and H. Shin, 2013, “Capital Flows, Cross-Border Banking and Global Liquidity”, NBER Working Papers 19038, National Bureau of Economic Research.
[28]	Calderon, C., and M. Kubota, 2012, “Gross Inflows Gone Wild: Gross Capital Inflows, Credit Booms and Crises”, Policy Research Working Paper Series 6270, The World Bank.
[29]	Christensen, I., and A. Dib, 2008, “Monetary Policy in an Estimated DSGE Model with a Financial Accelerator”,Review of Economic Dynamics, 11, 155–178.
[30]	Christiano, L., R. Motto, and M. Rostagno, 2010, “Financial Factors in Economic Fluctuations”, European Central Bank Working Paper 1192.
[31]	Claessens, S., M. Kose, and M. Terrones, 2011, “Financial Cycles: What? How? When”, IMF Working Paper WP/11/76.
[32]	Claessens, S., M. Kose, and M. Terrones, 2012, “How Do Business and Financial Cycles Interact?” Journal of International economics, 87(1): 178-190.
[33]	Demirg-Kunt, A., and R. Levine, 1999, “Bank-based and Market-based Financial Systems: Cross-country Comparisons”, World Bank Policy Research Working Paper 2143.
[34]	Drehmann, M, C. Borio, and K. Tsatsaronis, 2011, “Anchoring Countercyclical Capital Buffers:the Role of Credit Aggregates”, BIS Working Paper, Bank for International Settlements.
[35]	Elekdag, S., and Y. Wu, 2013, “Rapid Credit Growth in Emerging Markets: Boon or Boom-Bust”, Emerging Markets Finance and Trade, 49(5), 45-62.
[36]	Ferreira da Silva, G., 2002, “The Impact of Financial System Development on Business Cycles Volatility: Cross-country Evidence”, Journal of Macroeconomics, 24(2), 233-253.
[37]	Gertler, M., S. Gilchrist, and F. Natalucci, 2007, “External Constraints on Monetary Policy and the Financial Accelerator”,Journal of Money, Credit and Banking, 39, 295–330.
[38]	Gilchrist, S., Hairault, J.O. and H. Kempf., 2002, “Monetary Policy and the Financial Accelerator in a Monetary Union”, European Central Bank Working Paper No.175.
[39]	Gourinchas, P., and M. Obstfeld, 2012, “Stories of the Twentieth Century for the Twenty-First”, American Economic Journal, 4(1), 226-65.
[40]	Hauk, W., and R. Wacziarg, 2009, “A Monte Carlo Study of Growth Regressions”, Journal of Economic Growth, 14(2), 103-147.
[41]	Iacoviello, M., 2005, “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle”,American Economic Review, 95(3), 739-764.
[42]	Kindleberger, C., 1978. Manias, Panics, and Crashes: A History of Financial Crises, John Wiley and Sons, New York.
[43]	Kiyotaki, N.,and J. Moore, 1997, “Credit Cycles”, The Journal of Political Economy, 105(2), 211-248.
[44]	Laeven, L, and F. Valencia, 2012, “Systemic Banking Crises Database: An Update”, IMF Working Paper, No. 12/163.
[45]	Levine, R., 2000, “Bank-Based or Market-Based Financial Systems: Which Is Better”, World Bank Working Paper.
[46]	Levine, R., Loayza, N., and T. Beck, 2000, “Financial Intermediation and Growth: Causality and Causes”, Journal of Monetary Economics, 46, 31-77.
[47]	Magud, N., E. Vesperoni, and C. Reinhart, 2012, “Capital Inflows, Exchange Rate Flexibility, and Credit Booms”, IMF Working Papers 12/41, International Monetary Fund.
[48]	Mendoza, E., and M. Terrones, 2008, “An Anatomy of Credit Booms:Evidence from Macro Aggregates and Micro Data”, NBER Working Papers, National Bureau of Economic Research.
[49]	Mendoza, E., and M. Terrones, 2012, “An Anatomy of Credit Booms and Their Demise” NBER Working Papers,National Bureau of Economic Research.
[50]	Meh, C., and K. Moran, 2008, “The Role of Bank Capital in the Propagation of Shocks”, Journal of Economic Dynamics and Control, 34(3), 555-576.
[51]	Minsky, H., 1975, John Maynard Keynes, Columbia University Press.
[52]	Schularick, M., and A. Taylor, 2009, “Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870–2008”, NBER Working Papers, National Bureau of Economic Research.
[53]	Tobin, J., 1975, “Keynesian Models of Recession and Depression”,American Economic Review, 65(2), 195-202.
[54]	Windmeijer, F., 2005, “A Finite Sample Correction for the Variance of Linear Efficient Two-step GMM Estimators”, Journal of Econometrics, 126(1), 25-51.