信用衍生品对货币政策信用传导渠道影响的实证分析

An Empirical Analysis of the Influence of Credit Derivatives on the Credit Transmission Channel of Monetary Policy

信用衍生品市场的快速发展对信贷市场和债券市场的规模都会产生影响,从而对货币政策的信用传导渠道造成影响。本文利用美国金融市场数据,通过对复合利率、信用衍生品市场规模和信贷债券市场规模三个变量建立线性回归和VAR模型进行实证分析,发现信用衍生品市场的发展确实对信贷和债券市场有着显著的影响,弱化了货币政策信用传导渠道。而反过来,信贷和债券市场对信用衍生品市场的影响并不显著,即它们之间的影响具有非对称性。

The rapid development of credit derivative market will have influence on the size of credit market and bond market,and thus affect the credit transmission channel of monetary policy.Based on the data from U.S.financial market,the author establishes a linear regression model and VAR model for the three variables including composite interest rate,the size of credit derivative market and the size of credit and bond market and makes an empirical analysis.It is found that the development of the credit derivative market does have an obvious effect on bank credit and bond market and weaken credit transmission channel of monetary policy.In reverse,the effect of credit and bond market on credit derivative markets is not obvious.That is,the mutual effect of them is asymmetric.