甘肃省经济波动的金融加速器效应研究--基于TVAR模型的实证检验

The Research on the Financial Accelerator Effect of Economic Fluctuation in Gansu Province an Empirical Test based on TVAR model

本文运用门限向量自回归模型(TVAR),在宏观层面对甘肃省经济的金融加速器效应进行研究,并计算出信贷市场"紧缩"状态概率对于四类备选冲击的反应敏感度,得出信贷冲击的金融加速器效应最为显著。其次,建立预测函数的变化方程进一步检验甘肃省信贷市场影响经济波动的作用机理并提出相关政策启示。

the"financial accelerator"was first proposed by Bernanke,Gertler and Gilchrist(BGG)in 1996.It is an authoritative theory to explain the"great crisis"and explains the role of"small shocks and great fluctuations"of financial markets in economic fluctuations.In this paper,the threshold vector autoregressive model(TVAR)is used to study the financial accelerator effect of Gansu economy on the macro level.Then,it calculates the reaction sensitivity of"tightening"state probability of credit market to four kinds of alternative shocks,drawing the conclusion that the financial accelerator effect of the credit shock is the most significant.Secondly,the changeable equation of the predictive function is established to further examine the mechanism of the impact of the credit market on the economic fluctuation in Gansu Province.Finally,the relevant policy implications are put forward.