Abstract: The paper adopts dynamic spillover index method based on TVP-VAR model to systematically examine the spillover effect of the financial cycle fluctuations between China and the United States from time-varying and directional aspects, and the transmission mechanism of the dynamic spillover effect between financial cycle fluctuations in the two countries is revealed. The results show that during the two financial crises and since the economy of China steps into the "new normal" phase, the total spillover effect and the directional spillover effect between financial cycle fluctuations in China and the United States are obviously at a higher level; the directional spillover effect between financial cycle fluctuations of the two countries shows significant asymmetric characteristics, as the directional spillover effect level from financial fluctuation of the United States is significantly higher than that of the reverse spillover effect; at this stage, the fluctuation of China's financial cycle is mainly transmitted to the United States through interest rate market and exchange rate market, while interest rate market, money market and credit market are the main ways in which the United States financial cycle fluctuation is transmitted to the Chinese financial system. Therefore, while actively adjusting the financial structure to ensure the process of China's financial opening-up is gradual and orderly, China and the United States should also establish a long-term cooperation mechanism in the financial field, formulate unified financial supervision standards, and improve the transnational risk sharing mechanism so as to prevent the resonance of the financial systems of the two countries from aggravating the systemic financial risks of the world.

Keywords: Financial Cycle; Dynamic Spillover Index; Transmission Mechanism; Sino-US