货币电子化、宏观冲击与消费波动——基于跨国面板门槛模型的实证分析

Electronic Currency,Macroeconomic Shocks and Consumption Fluctuation: An Empirical Analysis Based on Cross-border Panel Threshold Model

货币电子化能够显著降低交易成本。通过建立同质经济个体,形成信息完全对称的网络金融市场微观理论模型发现,交易成本下降会使经济个体之间的资金借贷行为更加频繁,从而有利于减小宏观冲击带来的消费波动。进一步,基于国际清算银行下属支付与结算体系委员会成员中20个国家和地区2006~2015年的数据建立面板门槛模型,实证分析不同货币电子化程度下,货币供给冲击、实际贷款利率冲击、通货膨胀冲击、外需变化冲击、国际原油价格冲击和全球流动性冲击导致居民消费变化的差异性。结果表明,在各种宏观冲击带来的消费变化中,货币电子化程度的门槛效应显著存在,货币电子化程度的提高有利于缓解这些宏观冲击导致的消费波动。

Electronic currency significantly reduces transaction costs. The micro -theoretical model of network financial market with complete information symmetry based on homogeneous economic entities show that the decrease of transaction costs improves money borrowing and lending behaviors among the economic entities, which can help to reduce the consumption fluctuation brought by macroeconomic shocks. Furthermore, a panel threshold model is established based on the data of 20 countries and regions which belong to the members of Committee on Payment and Settlement Systems affiliated to bank for international settlements from 2006 to 2015. The empirical model analyzes the differences of residential consumption changes under the impacts of money supply shock, real loan interest rate shock, inflation shock, external demand shock, international crude oil price shock and global liquidity shock in different levels of electronic currencies. The results show that among the consumption changes brought by different kinds of macroeconomic shocks, the threshold effects of monetary electronic degree are significant, and increasing the degree of electronic currency is helpful to alleviate the consumption fluctuation caused by these macroeconomic shocks.