信贷配给与货币政策效果非对称性及“阀值效应”分析

Credit Rationing, the Effects of Monetary Policy Asymmetric and the Threshold Effects

本文基于1992年1季度至2005年2季度数据,运用LM检验和t检验,研究我国货币政策的非对称性以及“阀值效应”,得出我国货币政策的“阀值”处于-0.08～-0.05之间。同时,研究得出1998年前我国货币政策的阀值为-0.09～-0.03,1998年后为0.002～0.026,货币政策效果的非对称性减弱。货币政策的非对称性和“阀值”的存在是由于微观信贷市场上的信贷配给导致的,“阀值”和“阀值效应”的存在反映了信贷配给的强弱程度,“阀值”因此也可以用作度量信贷配给程度的指标,它间接地反映了信贷市场的完善程度。

Based on quarter national time- series data from 1992- Q1 to 2005 - Q2, the asymmetric and threshold effects of monetary policy have been studied in by LM test and t- test in this article. By estimates, the threshold value is between -0.08 and -0.05 during 1992 to 2005 and between -0.09 and -0.03, and between 0.002 and 0.026 before and after 1998 respectively. Credit rationing in the credit market results in the asymmetric of monetary policy, The threshold effects reflect the degree of credit rationing, so the threshold value can be used to measure the degree of credit rationing, and indirectly reflects the perfect degree of credit market.