央行工作論文：金融周期和波動如何影響經濟增長與穩定

 中國人民銀行工作論文No.2016/5

PBC Working Paper  No.2016/5

2016年4月8日

April 8,2016

金融周期和金融波動如何影響經濟增長與金融穩定?

陳雨露馬勇阮卓陽1

摘要：本文通過對全球68個主要經濟體1981-2012年的面板數據進行實證分析，系統考察了金融周期和金融波動對經濟增長與金融穩定的影響。實證結果表明，在金融高漲期和衰退期，經濟增長率較低，同時容易爆發金融危機；相比之下，金融正常期的經濟增長率更高，同時金融體系的穩定性也更強。這意味着，只有當金融周期處於相對平穩的正常狀態時才有助於經濟增長和金融穩定，反之，不論金融周期過熱還是過冷，經濟增長和金融穩定都會受到明顯的負面影響。此外，無論金融周期處於何種階段（高漲期、衰退期或正常期），金融波動的增加都伴隨着更低的經濟增長率和更高的金融危機發生概率，這意味着，金融波動的增加不僅會顯著削弱一國的經濟增長，同時還會導致金融體系的不穩定性明顯上升。

Abstract:Based on dynamic panel data of 68 major economies overthe 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.

關鍵詞：金融周期；金融波動；經濟增長；金融穩定

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