摘要
本文从银行贷款的角度出发,运用马尔可夫区制转移向量自回归模型(MS-VAR)对1992-2008年间的信贷增长率与经济增长率以及通货膨胀率的关系分别进行总量研究。检验结果表明,我国的经济增长路径和通货膨胀路径均有明显的三区制特征;各区制的持续期、转移概率均存在非对称的特点;信贷增长率与经济增长率以及通货膨胀率在各区制的同期相关系数明显不同,并且表现出结构性变化。
In this article,we use Markov regime-switching vector autoregressive model(MS-VAR) to research on the relationship between credit growth rate with economic growth rate and credit growth rate with inflation rate during 1992 to 2008 The results show that,there exist three regimes of economic growth and inflation dynamic path;the duration of every regime and transition probabilities show asymmetric characteristic;the contemporaneous correlation between credit growth rate with economic growth rate and credit growth rate with inflation rate is significantly different and show structural changes.
出处
《统计研究》
CSSCI
北大核心
2010年第9期9-15,共7页
Statistical Research