中国存贷款派生过程的实证研究

EMPIRICAL STUDIES ON DYNAMIC RELATIONS BETWEEN DEPOSITS AND LOANS IN CHINA

以存款总额、贷款总额、储蓄存款、企业存款、银行贷款、收入、利率、CPI为变量,依据变量之间的经济关系,构建6组VAR模型,考察存贷款派生关系以及与其他影响因素之间的关系,并且进一步利用协整分析、误差修正模型、景气分析方法考察上述不同组经济变量之间的影响方向、时滞和力度。实证分析结果显示存贷款之间具有派生关系,但是不同存贷款科目的派生过程各有不同。特别地,存款是贷款的先行指标,存贷款之间的增长拐点大概有9-12个月的时滞。存款是指标组中影响贷款最重要的指标,但是贷款不是影响存款最重要的指标。贷款转化成存款的速度很快,但是存款转化成贷款需要一个过程。除了存贷款之间的相互影响外,CPI、收入对存款有影响,CPI对贷款有影响,但是名义利率对存款和贷款没有显著影响。

The dynamic relations between deposits and loans in China are investigated by means of vector autoregressive models, cointegration analysis, vector error correction models, business cyclical analysis method. The empirical results show that the deposits and the loans affect each other, but infieuencing degrees between them are different. Particularly, the deposits are the leading indicators of the loans, and the turning point of the deposits is earlier for 9-12 months than that of loan. Deposits is the most important factor for the loans, but loans is not the most important factor for the deposits. Moreover, CPI and the income are two influencing factor for the deposits, CPI is an influencing factor for the loans, but nominal interest rate has no significant influence on both the deposits and the loans.