我国信贷规模、资产价格波动与银行脆弱性——基于有向无环图的应用研究

Chinese Credit Scale,Asset Price Volatility and Banking Fragility——Applied Research Based on Directed Acyclic Graph Method

本文运用有向无环图(DAG)方法考察了我国信贷规模、资产价格波动与银行脆弱性的同期因果关系,并采用基于DAG识别的SVAR固定样本期和递归的预测方差分解研究了其动态变化过程。研究结果表明,信贷规模和资产价格与银行脆弱性之间不仅均存在同期因果关系,而且存在中长期的影响,但信贷规模与资产价格之间影响有限,房地产价格波动主要来自于自身因素。因此,对房地产价格的调控要遵循市场运行规则,引导市场参与者形成合理预期,健全房地产市场相关秩序法规显得非常必要;同时降低银行体系运行的脆弱性,除了监管银行自身的各项指标外,还需要同时关注信贷规模和房地产价格的波动。

Based on the directed acyclic graph( DAG) method,this paper examines the contemporaneous causality relationships between the credit scale and asset price volatility with the fragility of bank and uses the forecast error variance decomposition based on a DAG identification of SVAR to study their dynamic changes during the fixed sample period and recursive process. The results show that the causality exists in both the contemporaneous and long-term period between the credit scale and asset prices volatility with the fragility of bank,but the impact is limited on the credit scale and asset prices. The real estate price fluctuation is mainly from their own factors. Therefore,the regulation of real estate prices needs to follow market operation rules and it is very necessary to guide a reasonable expectation of market participants and improve order and regulations related to the real estate market. Meanwhile,to reduce the vulnerability of the banking system,it is necessary to monitor the indicators of the banks themselves and also need to concern the fluctuations of the credit scale and real estate price.