Abstract：The problem of uncertainty shocks is both an important basis for understanding a series of phenomena ranging from individual behavioral decisions to macroeconomic fluctuations, and a key factor that cannot be ignored in the construction of economic-financial theoretical models. In fact, compared with the fluctuations of the real economic cycle, the fluctuations of the financial cycle is more vulnerable to macroeconomic conditions, and its cyclical dynamics is likely to show unanticipated changes. In the current context of increasing uncertainties in China and outside China, clarifying the volatility characteristics and superposition mechanism of China′s financial cycle under uncertainty has become the key to enhancing the ability to prevent and resolve financial risks and alleviate the downward pressure of the economy. 

Based on the theoretical analysis of the correlation logic between uncertainty and financial cycle fluctuations, this study uses a combination of high-dimensional monthly macroeconomic data from 2002 to 2020, a high-dimensional factor model, principal component analysis and wavelet analysis to first dynamically estimate China′s economic uncertainty, financial uncertainty, and financial cycle and clarify their time-frequency correlation characteristics, and then apply the time-frequency twodimensional spillover index to deeply investigate the volatility characteristics and superposition mechanism of China′s financial cycle under uncertainty shocks.

The findings suggest that China′s financial cycle consists of a superposition of volatility components of different frequencies and exhibits a strong correlation between them and uncertainty shocks and that during phases of high economic and financial uncertainty, China′s financial cycle volatility deviates from the main cycle of three to four years, driven by the combined volatility of various financial submarkets, and even has a short-cycle volatility component of about two years. The spillover and feedback effects between China′s economic and financial uncertainty and financial cycle volatility exhibit significant nonlinearities under the influence of various types of domestic and foreign crisis events, and the dominant uncertainty shocks under different types of crisis events tend to drive up the long-term volatility level of the financial cycle significantly. In addition to that, there is also a differential impact of economic and financial uncertainty on the superposition mechanism of the financial cycle in China. When economic (financial) uncertainty dominates, the short-to medium-term volatility component of the financial cycle is mainly superimposed by the equity, bond, and currency (credit, exchange rate, and real estate) markets.

The above study integrates both theoretical and empirical analyses to obtain several characteristic facts about the volatility characteristics and superposition mechanism of China′s financial cycle under uncertainty shocks, which can not only provide a powerful grip for keeping the bottom line of no systemic financial risk, but also has important theoretical and practical values for improving the macroeconomic governance system.

Keywords：economic uncertainty；financial uncertainty；financial cycle；superposition mechanism；time-frequency two-dimensional spillover index