全球金融危机下的银行贷款供给冲击研究——基于符号限定的SVAR的实证分析

Loan Supply Shocks in China during the Global Financial Crisis——An Empirical Analysis Based on SVAR with Sign Restrictions

本文基于符号限定的SVAR模型,考察了全球金融危机下贷款供给冲击对于我国宏观经济变量的影响。研究表明:贷款供给冲击和总需求冲击对于贷款规模的影响非常显著,并且持续时间较长;货币政策冲击和总供给冲击对于贷款规模的影响相对较短暂;在同为一个标准差的负向冲击下,贷款供给冲击、总需求冲击和总供给冲击对于实际GDP的负向影响非常显著,并且持续时间较长;货币政策冲击对于实际GDP的负向影响较短,但波动影响较大;贷款供给冲击对于实际GDP波动的解释力度约为15%,货币政策冲击是造成实际GDP波动的最主要的冲击,其解释力度达20%左右,总需求和总供给冲击对于实际GDP的波动的解释力度相当,约达17%左右。

Based on SVAR with sign restrictions, this paper studies how the loan supply shocks impact on China’s macro-economic variables during the global financial crisis. The results show the impact of loan supply shocks and aggregate demand shocks on loan volume is significant and persistent; the impact of monetary policy shocks and aggregate supply shocks on loan volume is short-lived. The loan supply shocks, aggregate demand shocks and aggregate supply shocks have a significant negative long-duration impact on real GDP. The impact of the monetary policy shocks on real GDP is negative and significant, but short-lived. The contribution of loan supply shocks to the fluctuation of real GDP is about 15%and the contribution of monetary policy shocks is about 20%;aggregate demand shocks and aggregate supply shocks both account for about 17%of the variation in the real GDP.