Integrating multidimensional information of financial markets, this paper uses the principal component analysis to synthesize Chinas financial cycle index. On this basis, the TVPSVVAR model is constructed to study the timevarying interaction between Chinas monetary policy, financial cycle and macroeconomic variables during 2003—2017. The study found as follows: (1) There is a significant timevarying interaction between Chinas monetary policy, financial cycle and macroeconomic variables. (2) Financial transmission channels may distort the effectiveness of monetary policy. Through financial transmission channels, monetary policy will not only restrain economic growth, but may also increase inflation. (3) The effect of financial cycle on the output effect of monetary policy lags behind the effect on its price effect. In the short run, the timevarying characteristics of the output effect of monetary policy are not much different from the financial transmission channels. However, over time, the negative impact of financial prosperity on output may eventually distort the output effect of monetary policy and may even have negative macroeconomic effects. Based on this, we believe that the monetary authorities should be wary of the distortion of the effectiveness of the financial prosperity on monetary policy, prudent operation, and should not undertake too many tasks to stimulate output.

本文综合金融市场的多维信息，利用主成分分析法合成我国的金融周期指数。在此基础上，构建TVPSVVAR模型研究2003—2017年间我国货币政策、金融周期及宏观经济变量间的时变互动关系。研究发现：（1）我国货币政策、金融周期和宏观经济变量之间存在显著的时变互动关系。（2）金融传导渠道可能扭曲货币政策效力，通过金融传导渠道，货币政策不仅会抑制经济增长，还可能加剧通货膨胀。（3）金融周期对货币政策产出效应的影响滞后于对价格效应的影响。短期来看，货币政策产出效应的时变特征与金融传导渠道无太大关联，但随时间推移，金融繁荣对产出的负面影响可能最终使货币政策产出效应发生反转。货币当局应警惕金融繁荣对货币政策效力的扭曲，审慎操作，且不宜承担过多刺激产出的任务。