民间金融利率与正规金融利率的动态联动关系——基于贝叶斯VAR模型的经验研究

The Dynamic Interaction Between the Interest Rate Of Informal Finance and Formal Finance——Based on Empirical Research of Bayesian VAR Model

目前我国借贷市场同时存在着民间金融和正规金融,两者均在国民经济中扮演着重要角色,深入把握它们利率之间的动态联动关系,对制定有效的金融政策十分必要。本文通过构建贝叶斯向量自回归模型,有效克服了模型待估参数较多和小样本条件下估计精度过低的问题,从而对全国层面上民间金融利率和正规金融利率之间的联动问题进行了研究。研究发现:两种利率受自身冲击的影响效果最为显著,且民间利率的波动幅度远大于正规利率;两种利率之间呈现出同向变动关系,民间利率受到正规金融短期利率的影响很大,而正规利率受民间利率的影响较小。

At present, there are informal finance and formal finance in China＇s lending market, and they both play important roles in the national economy. To deeply develop effective financial policies, grasping the dynamic linkage relationship between the two interest rates is essential. This article studies the linkage between the two interest rates by constructing the Bayesian Vector Autoregressive Model, which can effectively overcome the difficulties that too many parameters need to be estimated and low accuracy under small sample. The study finds thatthe influences by their own are the most significant and the fluctuation of the informal interest rate is much higher than the formal interest rate. Both interest rates show a change in the same direction, and the informal interest rate is greatly affected by the formal interest rate, while the formal interest rate is less affected by the informal interest rate. At Last, we propose some cor- responding suggestions for the current financial reform.