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| China's Financial Cycle: Indicators, Methods and Empirical Research |
| ZHU Taihui, HUANG Haijing
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| Policy Research Bureau,China Banking and Insurance Regulatory Commission; PBC School of Finance, Tsinghua University |
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Abstract On the basis of the domestic and foreign financial cycle researches,this paper designs the empirical method of China's financial cycle. According to the institutional characteristics and development practice of China's economic and financial system, this paper selects the generalized credit and generalized credit /GDP and real estate price as the construction index of China's financial cycle; improves the rationality and effectiveness of the empirical research on China's financial cycle by adjusting the parameter setting of the band-pass filter and turning-point analysis method.On this basis, this paper conducts an empirical analysis and cross test on China's financial cycle with data from 1st quarter of 1998 to 1st quarter of 2018. The empirical results show that China's financial short cycle is highly consistent with the guidance of government's macro policy, and interlaced with the economic short cycle, and the duration and volatility of the financial cycle is significantly lower than that of the western developed countries. This reflects that China's active monetary policy and financial regulation play a key role in control and smooth the economic cycle, and reduce fluctuations of China's financial system in the long run.
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Received: 01 August 2018
Published: 22 January 2019
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