中国货币政策信贷传导的非对称与时变效应研究——基于PCHVAR模型

摘要/Abstract

摘要：

本文构建以贸易开放度、第二产业比重和人均收入指数为条件变量，以经济增长、通货膨胀和本外币存贷款余额为内生变量，以中长期贷款为共同外生变量的条件同质面板向量自回归模型（PCHVAR），分析中国货币政策信贷传导非对称与时变效应。结果表明，本外币贷款余额与经济增长之间互为格兰杰因果关系，而与通货膨胀之间互不存在格兰杰因果关系。面对本外币贷款余额的正向冲击，以贸易开放度为条件变量时，贸易开放度高的地区，经济增长的脉冲响应程度也高，而通货膨胀的脉冲响应则低于贸易开放度低的地区；以第二产业比重作为条件变量时，第二产业比重高的地区，经济增长和通货膨胀的脉冲响应程度也高；以人均收入指数为条件变量时，人均收入指数高的地区，经济增长的脉冲响应程度也高，而通货膨胀的脉冲响应，则呈现出"两端高、中间低"的非对称格局。

关键词: 货币政策, 信贷传导, 非对称与时变效应, PCHVAR模型

Abstract:

Based on the trade openness, the second industry proportion and the per capita income index as the conditional variables, economic growth, inflation, local and foreign loan balance as the endogenous variables, medium and long term loan as common exogenous variable, this paper constructs a panel conditional homogeneous vector autoregressive model (PCHVAR) to analyze the asymmetric and time-varying effect of China's credit policy. The empirical results show that there is a Granger causality between local/foreign loan balance and economic growth, and there is no Granger causality relationship with inflation rate. In the face of the positive impact of the shock of local and foreign balance, when the degree of trade openness is a conditional variable, the impulse response of economic growth is also higher in region with high trade openness, while the impulse of inflation is lower than that of low trade openness region. In the proportion of the secondary industry as a conditional variable, the impulse response of economic growth and inflation is also high in the areas of high proportion of secondary industry. In the region where the per capita income index is the conditional variable, the impulse response of the economic is also high in the region with high per capita income index, while the impulse of inflation shows an asymmetric pattern.

Key words: monetary policy, credit transmission, asymmetric and time-varying effect, PCHVAR model

崔百胜, 高崧耀, 胡春燕. 中国货币政策信贷传导的非对称与时变效应研究——基于PCHVAR模型[J]. , 2020, 32(3): 37-49.

Cui Baisheng, Gao Songyao, Hu Chunyan. Study on the Regional Asymmetry and Time-varying Effects of Monetary Policy's Credit Channel in China: Based on PCHVAR Model[J]. , 2020, 32(3): 37-49.

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