我国信贷是持续顺周期的吗——基于期限结构视角的时变参数研究

Is Chinese Credit Pro-Cyclical Continuously ?——Time-Varying Parameter Study from the Perspective of Term Structure

信贷顺周期问题一直是理论与实务界关注的热点。本文运用TVP-VAR模型对2000至2012年间中国信贷顺周期效应进行实证检验,结果显示,在控制了货币政策影响后,我国信贷的顺周期效应存在时变性;在部分时段信贷量逆经济周期变化;短期和中长期贷款的顺周期特征存在差异,中长期贷款的顺周期效应大于短期贷款。因此,逆周期资本监管应调整思路,避免一刀切。资本监管及信贷调控政策应加强对信贷期限结构的关注。

Credit' pro-cycle has been always a hot spot in theory and practice. This paper positively studies Chinese credit's pro-cyclical effects from 2000 to 2012 by using TVP-VAR model. The results show that after controlling the effect of monetary policy,the pro-cyclical effect of Chinese credit is time-varying; countercyclical phenomenon of credit exists in certain period; the characteristics of pro-cyclical effect are different for short-term and medium and long-term credit;the pro-cyclical effect of medium and long-term credit is larger than that of short-term credit. Therefore,the thought on counter-cyclical capital supervision and management should be adjusted and avoid one-size-fits-all strategy. Meanwhile,capital supervision and management and credit adjustment and control policy should pay more attention to the term structure of credit.