中国货币政策信贷渠道有效性实证研究

Empirical Study on the Effectiveness of Credit Channel of Monetary Policy

选取中国1998~2017年的宏观经济数据,运用VAR模型考察了货币与信贷、信贷与产出及通胀之间的相互作用关系。研究发现,信贷规模与M2均是产出和CPI的格兰杰原因;信贷规模是M2的格兰杰原因,而M2并不是信贷规模的格兰杰原因。进一步研究发现,新增贷款数量对中国经济有显著的正效应,M2对实体经济的产出也存在正效应。在一定时期内,M2增加而贷款规模反而下降。

Based on the macroeconomic data from 1998 to 2017,this paper employs VAR model to examine the interrelationship between money and credit,credit and output,as well as credit and inflation.The results show that firstly credit scale and M2 are both Granger causes of output and CPI;secondly credit scale is the Granger cause of M2;and thirdly M2 is not the Granger cause of credit scale.Further research reveals that the number of new loans has a significant positive effect on China’s economy,so does M2 on the output of real economy.In a certain period of time,when M2 increases,the loan scale unexpectedly decreases.