《保险研究》20200402-《我国保险周期与经济周期的动态关联研究》（李小林、李鑫、刘倩男）

［摘   要］本文采用BBQ算法和Morlet小波分析先后考察了2000~2018年我国保险周期和经济周期的波动特征与动态关联。研究发现:两大周期的平均长度均为3~4年,其中经济周期在全球金融危机爆发后由扩张型转为收缩型波动,而保险周期总体呈收缩型波动,且其波动幅度明显大于经济周期；两大周期的关联虽在中短期具有较强时变性,但仍在较多时段高度正相关,且经济周期是引起保险业周期波动的重要原因；而在长期内,二者在金融危机爆发前的部分时段里负相关,在危机后则转为正相关。这表明从中短期视角看,我国保险周期存在显著的顺经济周期效应,但从长期看,两大周期并非总是同向波动,二者的协动关系在危机前后发生了结构性变动；寿险市场和保险市场整体的周期波动与经济周期的关联高度相似,而产险市场波动与经济周期的关联则具有明显差异；两大周期的关联在扩张期更显著,且会受利率和股价波动的影响。本研究为深化认识我国保险业的周期波动规律及其与宏观经济波动的多重关联特征,进而为增强保险监管措施及产业发展政策的稳健性、预见性和有效性提供启示。

［关键词］保险周期；经济周期；Morlet小波分析；动态关联

［基金项目］本研究受到国家社科基金青年项目“双向开放条件下金融政策对企业投融资行为的影响研究”(16CJY069)的资助。

［作者简介］李小林,中国海洋大学经济学院金融系副教授；李鑫,中国海洋大学经济学院金融系硕士研究生；刘倩男(通讯作者),浙江工商大学杭州商学院管理学院助教。

The Dynamic Correlation between the Insurance and Economic Cycles in China

LI Xiao-Lin,LI Xin,LIU Qian-Nan

Abstract：Using the BBQ method and the Morlet wavelet analysis,this paper investigated the characteristics of the insurance and economic cycles as well as their dynamic interactions during 2000─2018 in China.Our paper concludes with several important findings.First,the insurance and economic cycles have a similar duration of 3 to 4 years.The economic cycle exhibits contractionary fluctuations after the global financial crisis rather than expansionary fluctuations before the crisis.In contrast,the insurance cycle presents contractionary fluctuations during the whole sample period,and its amplitude is obviously larger than that of the economic cycle.Second,though there are strong time-varying features for the correlation between the two cycles in the short to medium term,a highly positive co-movement can be observed for most periods.Besides,the economic cycle is the major reason for the fluctuation of the insurance cycle.In the long term,the two cycles are negatively correlated during some periods before the global financial crisis,but they become positively correlated in the wake of the crisis.This implies that in the short to medium term,the insurance cycle in China fluctuates synchronously with the economic cycle,but this is not the case in the long run,and their relationship undergoes structural changes due to the crisis.Third,the way the life insurance market correlates with the economic cycle is highly similar to that of the overall insurance market,but the property insurance market fluctuates differently with the economic cycle.Finally,the interactions between the two cycles are more pronounced in the expansionary periods,and can be significantly affected by the interest rate and stock price fluctuations.These findings are very helpful for the insurance regulatory authority to deepen the understanding of the cyclical characteristics of the insurance industry and the multiple correlations with economic cycle,and thus to enhance the robustness,predictability and effectiveness of insurance regulatory measures and industrial development policies.

Key words：insurance cycle;economic cycle;wavelet analysis;dynamic correlation