摘要
鉴于银行信贷已成为现代经济波动的重要驱动因素之一,本文构建了一个包含银行信贷与经济周期特征的Svensson扩展模型,考察了由贷款损失推断偏差等因素所导致的银行信贷扩张及其宏观效应。通过对我国1984年以来的季度数据分析发现,信贷扩张发生后产出缺口扩大的趋势仅持续4个季度左右,而通胀压力则会持续7个季度以上;信贷总量的适度逆周期调整有助于减少宏观经济的波动和福利损失;信贷总量还与存款准备金率变化之间存在协整关系。应继续密切关注信贷总量变动,并合理引导。
Given the fact that credit expansion has been an important driving force of modern business cycle, this paper builds an extended Svensson model, which incorporates credit expansion and business cycle features, to study the driving factors and macroeconomic implications of credit expansions induced by the extrapolation bias in estimating credit losses. It is found that, using China＇s data since 1984, after the credit expansion, the inflation pressure lasts at least 7 quarters while the output gap cease to rise after about 4 quarters. It also concludes that the optimal change in credit aggregates could enhance macroeconomic stability if it were well directed. The cointegration analysis shows that the reserve ratios are high when credits are expanded. It is suggested to keep monitoring and directing the credit aggregates closely.
出处
《经济研究》
CSSCI
北大核心
2012年第3期102-114,共13页
Economic Research Journal
基金
教育部社会哲学科学重大课题研究攻关项目“我国货币政策体系与传导机制研究”(08JZD0015)
教育部人文社会科学一般项目"全球化背景下人民币汇率政策与货币政策协调的微观基础理论与实证研究"(10YJA790094)
国家社会科学基金重点项目“我国中长期经济增长与结构变动趋势研究”(09AZD013)
北京大学经济学院中青年教师科研种子基金的资助
