本文在构建金融稳定指数和宏观经济因子的基础上,利用DY动态溢出指数研究了金融周期和经济周期之间的交互影响,结果发现我国金融周期对经济周期的动态溢出效应具有时变性,且居于主导地位。而经济周期对金融周期的溢出效应几乎可以忽略不计。进一步地,利用时变格兰杰因果检验两者之间的关系,结果表明,在控制通胀水平的条件下,金融周期和经济周期之间存在时变格兰杰因果关系,金融周期只有在特定时期是经济周期的格兰杰原因。因此,稳金融有利于宏观经济稳定,政策当局应创造有利于金融稳定的条件,确保宏观经济稳增长与金融系统防风险之间形成良好的平衡关系。

Based on the financial stability index and macroeconomic factors, this paper studies the interaction between the financial cycle and the economic cycle by using the DY dynamic spillover index. It is found that the dynamic spillover effect of financial cycle on business cycle is time-varying and dominant in China. The spillover effect of business cycle on financial cycle is negligible. Furthermore, we use the time-varying Granger causality test to test the relationship between the two cycles. The results show that there is a time-varying Granger causality between the financial cycle and the economic cycle under the condition of controlling the inflation level, and the financial cycle is the Granger cause of the economic cycle only in a specific period. Financial stability is conducive to macroeconomic stability. Policy authorities should create conditions conducive to financial stability and achieve financial and macroeconomic stability.