信用规模变动冲击的部门间传递效应与影响路径——基于美国1952Q2—2016Q4时间序列的实证分析

On the Inter-sectoral Transferring Effects and Influencing Paths Impacted by Credit Scale Changes: An Empirical Analysis Based on the Data of 1952Q2—2016Q4 Time Series of America

基于美国1952Q2-2016Q4共259个季度的四部门信用规模数据,运用WLS方法实证考察了信用规模变动冲击的部门间传递效应与影响路径。研究表明,信用规模变动冲击的部门间传递效应不仅仅存在于单部门之间,两部门与三部门之间也存在传递效应;四部门信用规模变动冲击的传递效应不同,居民与金融部门最强,政府与非金融企业部门次之。从传染度与敏感度差异来看,居民部门敏感度最弱,但其传染度最强;政府与非金融企业部门的敏感度最强,传染度最弱。从四部门信用规模变动冲击的影响路径来看,部门之间的相互影响路径具有差异性,有正向影响也有负向影响。

Based on the credit scale data of 259 quarters of four sectors of America from 1952Q2 to 2016Q4,this article empirically explores the inter-sectoral transferring effects and influencing paths caused by credit scale changes.The study demonstrates that the inter-sectoral transferring effects caused by credit scale changes not only exist inside single sector,but also between two or three sectors.The four sectors differ in the transferring effects and the effects displayed among these four sectors in descending order are non-financial enterprises sector,government department,financial sector,and household sector.In terms of the differences in contagion and sensitivity,the household sector is weakest in sensitivity,but strongest in contagion;the nonfinancial sector is strongest in sensitivity and weakest in contagion;the government department is stronger than financial sector in sensitivity,but weaker in contagion.In terms of the influencing paths caused by credit scale changes,the paths of interaction between sectors are different and there are both positive and negative influences.The impacts of household sector on financial and non-financial enterprise sectors are the most complicated,with positive and negative impact intermingled.