经济理论与经济管理
經濟理論與經濟管理
경제이론여경제관리
Economic Theory and Business Management
2012年
1期
44~58
,共null页
信贷增长周期 经济增长周期 顺周期性 状态空间模型
信貸增長週期 經濟增長週期 順週期性 狀態空間模型
신대증장주기 경제증장주기 순주기성 상태공간모형
credit cycle; economic growth cycle; pro-cyclical; state space models
本文使用峰谷相关分析对我国的经济增长周期和信贷增长周期进行划分；使用普通线性回归模型和马尔科夫状态转移模型研究了信贷投放、通货膨胀在利率变化、经济增长周期处于上行阶段、人民币升值等不同时期对于经济增长的影响；使用状态空间模型分析了信贷投放分别通过投资渠道和消费渠道对于经济增长的促进效率。实证结果表明，信贷增长周期对于经济增长周期存在一定的顺周期性，信贷的投放效果存在非对称性，即存在“金融加速器”效应。信贷在温和通胀和人民币贬值时期对于经济增长有促进作用，但是对于消费存在明显的挤出效应。
本文使用峰穀相關分析對我國的經濟增長週期和信貸增長週期進行劃分；使用普通線性迴歸模型和馬爾科伕狀態轉移模型研究瞭信貸投放、通貨膨脹在利率變化、經濟增長週期處于上行階段、人民幣升值等不同時期對于經濟增長的影響；使用狀態空間模型分析瞭信貸投放分彆通過投資渠道和消費渠道對于經濟增長的促進效率。實證結果錶明，信貸增長週期對于經濟增長週期存在一定的順週期性，信貸的投放效果存在非對稱性，即存在“金融加速器”效應。信貸在溫和通脹和人民幣貶值時期對于經濟增長有促進作用，但是對于消費存在明顯的擠齣效應。
본문사용봉곡상관분석대아국적경제증장주기화신대증장주기진행화분；사용보통선성회귀모형화마이과부상태전이모형연구료신대투방、통화팽창재리솔변화、경제증장주기처우상행계단、인민폐승치등불동시기대우경제증장적영향；사용상태공간모형분석료신대투방분별통과투자거도화소비거도대우경제증장적촉진효솔。실증결과표명，신대증장주기대우경제증장주기존재일정적순주기성，신대적투방효과존재비대칭성，즉존재“금융가속기”효응。신대재온화통창화인민폐폄치시기대우경제증장유촉진작용，단시대우소비존재명현적제출효응。
In this paper the economic growth cycle and credit cycle in China were calculated by the correlation analysis of peak and trough. Based on the cycles, this paper applied linear regressions and Markov switching models to study the relations between the economic growth, credit cycle and inflation in China, and analyzed the contribution of credit loan to the economic growth from consumption channel and invest- ment channel respectively. The results showed that the credit cycle was pro-cyclical and had asymmetric effects on the economic growth, i. e. financial accelerator effect. Furthermore, the credit loan was more efficient to prompt economic growth during mild inflation or domestic currency appreciation but had crowdout effect on consumption.
