大宗商品价格波动与中国信贷市场运行分析

Volatility of Commodity Prices and the Operation of Chinese Credit Market

本文基于LA-VAR方法和CCF方法,对大宗商品价格与中国银行信贷市场主要变量之间的关系进行因果检验。检验结果显示:在5%的显著性水平上,大宗商品价格波动是存贷比、短期贷款利差、中长期贷款利差、总贷款余额、短期贷款余额变动的单方向原因。作者利用协整检验、VEC模型、脉冲响应和方差分解技术,分析了大宗商品价格波动对中国商业银行信贷市场的静态与动态影响。本文针对中国商业银行信贷市场的监管提出了两条政策建议:一是密切关注大宗商品价格并稳定大宗商品价格波动区间,二是货币政策的制定过程应纳入大宗商品价格。

By using LA-VAR approach and CCF approach, the paper empirically tests the causality between commodity prices and several key variables of Chinese banking credit market. The results show that at 5% significance level, the volatility of commodity prices is the cause of variation of the deposit-loan ratio, short-term interest rate spread, medium- and long-term interest rate spread, total loan balance and short-term loan balance. Furthermore, the paper carries out a quantitatively analysis on the static and dynamic impacts of volatility of commodity prices on Chinese banking credit market by using co-integration test, VEC model, impulse response function and variance decomposition technology. The paper puts forward two suggestions for financial authorities to effectively regulate Chinese banking credit market： （1） they should pay close attention to commodity prices and try to stabilize the prices in an acceptable range; （2） they should take commodity prices into consideration in the process of formulating monetary policies.