基于SVAR模型对我国外汇贷款增长问题的实证研究

An Empirical Study of China’s Increasing Loans in Foreign Currency Based on a SVAR Model

本文针对2005年人民币汇率形成机制改革以来我国外汇贷款增长过程中可能存在的本外币贷款替代和套利问题,利用相关月度数据,通过建立结构向量自回归(SVAR)模型解析了长期内我国外汇贷款基于人民币汇率和本外币利差变动所具有的套利机制及其对人民币贷款的替代效应,验证了我国外汇贷款增长过程中所具有的无风险套利特征。本文的研究结果既从数量分析上凸显了已有问题的严重性,也为问题的解决提供了有益的启示。

This paper makes an empirical analysis to arbitrage and substitution problems in the growth of loans in foreign currency since the reform of foreign exchange rate regime in 2005. By using the monthly data, we make use of a SVAR model to analyze substitution effect and the arbitrage mechanism of loans in ioreign currency to RMB loans based on the change of RMB exchange rate and the interest rate gap between U.S. and China. The results show that the growth of China＇ s loans in foreign currency takes on the characteristics of free-risk arbitrage. Our empirical study demonstrates the seriousness of the above problems and offers some instructive implications.