收入不平等、信贷膨胀与金融危机——来自OECD国家的经验证据

Income Inequality, Credit Booms and Financial Crises——An Empirical Evidence from OECD Countries

2008年国际金融危机以后,不少学者认为收入不平等上升是信贷膨胀和金融危机的主要原因。本文基于OECD 14个国家1921-2008年数据利用Logit模型、Probit模型和面板VAR模型研究了收入不平等对信贷膨胀和金融危机的影响。研究结果表明,收入不平等和信贷对金融危机存在显著的正向影响。德国和日本等国家的收入不平等主要通过出口渠道和利率渠道影响信贷进而影响金融危机的发生,但利率渠道影响较小。美国和英国等国家的收入不平等主要通过资产证券化渠道和利率渠道影响信贷,进而提高了金融危机发生的可能性。方差分解表明,资产证券化是发达国家信贷扩张的主要因素,而收入不平等对信贷扩张的贡献较小。

After the international crisis in 2008, academic and policy fields suggest that income inequality is the main cause or root of the credit booms and financial crises. This paper studies the impact of income in-equality on credit booms and financial crises using data from 14 OECD countries between 1921 and 2008 and the Logit model, Probit model and the panel VAR model. It suggests that income inequality and credit are the main influencing factors and predictors of financial crises. Meanwhile income inequality has an impact on credit. Inequality affects credit mainly through export and interest rate channels thereby affecting the financial crisis in Germany and Japan and other countries, but interest rate has smaller effect on credit. Inequality af-fects credit mainly through interest rate channel and asset securitization channels thereby increasing the like-lihood of financial crises in the United States and Britain. Variance decomposition indicates that asset securi-tization becomes a major factor in the expansion of credit in developed countries, and the contribution of in-equality to credit expansion is small.