银行信贷期限结构与资产价格的联动性分析——基于中国市场数据的实证分析

Linkage between Term Structure of Credit and Asset Price——Empirical Analysis Based on Data from China

利用2001年1月～2011年12月中国短期信贷规模、中长期信贷规模、房产价格指数和股票价格指数的月度数据,根据协整理论构建向量误差修正模型,对中国长短期信贷规模与资产价格的关联性进行了实证分析。结果表明,这4个变量之间存在长期的均衡关系,房产价格和股票价格均与短期信贷规模呈反向相关,与中长期信贷规模呈正向相关,不同期限的信贷规模与两种资产价格之间存在一定的格兰杰因果关系。

Based on co-integration theory,this paper builds a VEC model to analyze the monthly data of short term credit volume,medium and long term credit volume,housing price index and stock price index in China market from 2001 Jan.to 2011 Dec.We find out that there exists a stable long term relationship among these four factors： both the housing price and stock price are negatively related to the short term credit volume,and both of them are positively related to the long term credit volume.We also do Granger causality test to find out more detailed Granger relationships between credit volumes of various terms and two kinds of asset prices.