在利用动态因子模型测度2000年1月-- 2018年5月中国经济周期和金融周期的基础上, 构建DCCGARCH模型研究经济周期与金融周期内部结构间的作用机制, 进一步阐述非对称和动态相依特征. 结论表明: 中国经济周期与金融周期具有非对称特征, 并且表现出周期错配现象; 中国经济周期与金融周期的周期错配使得两者间的相依性呈现出剧烈动态变化特点; 中国经济周期与金融周期结构上的相依性具有周期``错配''、波动``传递''、频幅``叠加''效应, 这些效应共同驱动两周期相依性的动态变化.

Using the dynamic factor model, our study measures the business cycle and financial cycle during the period from January 2000 to May 2018. We construct the dynamic condition correlated GARCH model to investigate the interaction between the business cycle and financial cycle and analysis the periodicity and asymmetric features. Then, an empirical analysis is made on the dynamic dependence between the two cycles in China, showing the following three results. First, there is an asymmetric feature between business cycle and financial cycle, displaying the phenomenon of cyclical mismatch. Second, it is the cyclical mismatch between the two cycles that causes violent dynamic change on the dependence. Third, there are cyclical mismatch, wave transmission and frequency superposition effects in the structural dependence between Chinese business cycle and financial cycle, which jointly drive dynamic changes of the dependence between the two cycles.