CAJ | 학술논문

本文从金融加速器理论出发，运用门限向量自回归（TVAR）模型在宏观层面上对中国信贷市场与宏观经济波动的非线性关联展开实证研究。通过非线性脉冲响应函数的检验结果我们发现：在1990年1月至2006年5月期间，中国存在显著的金融加速器效应，表现为对于相同特征的各种外生冲击，经济波动在信贷市场处于“紧缩”状态下的反应均明显强于信贷市场处于“放松”状态下的反应。另外，信贷冲击对于信贷市场状态变化的作用最为显著，其次是货币冲击和价格冲击，最后是实际冲击。进一步的检验还表明：信贷市场在宏观经济波动过程中既是重要的波动源，同时也是波动的有力传导媒介，运用金融加速器理论有助于合理解释中国宏观经济波动的轨迹特征。最后本文阐述了实证结论的政策含义和未来研究的侧重点。
본문종금융가속기이론출발，운용문한향량자회귀（TVAR）모형재굉관층면상대중국신대시장여굉관경제파동적비선성관련전개실증연구。통과비선성맥충향응함수적검험결과아문발현：재1990년1월지2006년5월기간，중국존재현저적금융가속기효응，표현위대우상동특정적각충외생충격，경제파동재신대시장처우“긴축”상태하적반응균명현강우신대시장처우“방송”상태하적반응。령외，신대충격대우신대시장상태변화적작용최위현저，기차시화폐충격화개격충격，최후시실제충격。진일보적검험환표명：신대시장재굉관경제파동과정중기시중요적파동원，동시야시파동적유력전도매개，운용금융가속기이론유조우합리해석중국굉관경제파동적궤적특정。최후본문천술료실증결론적정책함의화미래연구적측중점。
Using theory of the financial accelerator for guidance, this paper applies threshold vector autoregression model to verify the nonlinear nexus between credit market and c fluctuations in China in macro level. The results from nonlinear impulse response function show that there exist remarkable financial accelerator effects during the period of 1990.1--2006.5 in China, which behaves that the same alternative shocks have substantially larger effects on output growth when system is in the tight - credit regime. Moreover, credit shock is more effective on controlling the credit market condition than the others. Money supply shock and price shock are in the next place, and actual shock is the last. Further test results prove that credit market is an important source of shocks and also acts as a nonlinear propagator of shocks to c fluctuations. Moreover, adopting financial accelerator in the analysis of characters of macroeconomic fluctuations in China will be very helpful for better understanding. At last, the paper presents some suggestion for the political application of the conclusion and direction in future research.