摘要
区分信贷供给和需求的动态变化是宏观经济分析的重要方面,也是科学制定货币政策的前提条件。但我们直接观测到的银行信贷数据是信贷市场供需均衡的最终结果,往往不能单独反映信贷供给或需求的及时动态。对此,我们创新性地根据贷款利率、贷款数量的量价组合变化规律,采用符号约束VAR模型,试图具体识别信贷供给和需求冲击,并在此基础上运用历史分解方法区分我国各时期信贷供给和需求的动态变化。实证结果表明,我国信贷需求总体上具有顺周期性,而信贷供给具有逆周期性。结合其他现实宏观证据,上述方法对信贷供给与需求变化的区分是基本可靠的。我们建议,在货币政策的调控过程中,应加强对上述量价变化的组合分析,挖掘其信号显示作用及其更深层的经济内涵,从而为前瞻性的科学决策提供技术支持。
Identification of the dynamic changes of loan supply and loan demand is important for macroeconomic analysis and monetary policy.However,what we directly observe are the equilibrium of the credit market that fails to depict the loan supply or demand separately.According to the basic variation rule of the price and volume combination,we employ the sign restriction VAR model to identify the loan supply shock and loan demand shock.Moreover,we decompose the loan supply factor and loan demand factor in China over the years.Our result shows that China's loan demand is usually pro-cyclical and loan supply is counter-cyclical.Contemporaneous macroeconomic evidence further confirms our findings.We suggest the signal from the price and volume combination and its deep economic implication could be a reference for monetary policy decision.
出处
《金融评论》
CSSCI
北大核心
2015年第6期30-40,124,共12页
Chinese Review of Financial Studies
基金
中国金融四十人论坛课题<货币数量
利率调控与政策转型>的阶段性成果
关键词
信贷供给
信贷需求
货币政策
Credit Supply
Credit Demand
Monetary Policy
