摘要
本文利用门限回归模型分析了不同经济发展阶段与货币环境下,我国企业商业信用需求对经济增速与利率反应的非对称特征.结果表明:我国信用需求对经济增速与货币环境存在显著的"门限效应":低增长水平下,利率对信贷需求的影响表现出跨期传导特征,经济增速是信贷需求提升的主要驱动因素;高增长水平下,经济增速对于信贷需求的扩张具有抑制作用.此外,高利率区间下信用需求对利率波动的反应显著高于低利率区制下对利率波动的反应,这表明紧缩货币环境下我国货币政策的信用传导渠道更加有效.因此,针对现阶段我国经济增长速度减缓,利率水平维持在较高水平这一特点,中央银行的货币政策操作应当充分意识到由低增长区间引起的商业信用需求提升与货币紧缩时期下信用对利率波动敏感加深的现象,保持商业信用水平处于合理区间,以进一步疏通货币政策的传导渠道,同时减小信用违约所带来的的经济风险.
In this paper,the threshold regression model is used to study the heterogeneity of China's credit demand response to economic growth and interest rate in different economic development stages and monetary environment.The results show that there is a significant“threshold effect”between China’s monetary policy and credit demand:under the low growt h level,the interest rate shows the cliaracteristics of cross period transmission to credit demand,and economic growth is the main driving factor for the improvement of credit demand;under the high growth level,economic growth has a restraining effect on the expansion of credit demand;in addition,under the high interest rate range,credit demand has a restraining effect on the expansion of credit demand.The response of interest rate fluctuation is significantly higher than that of interest rate fluctuation under the low interest rate regime,and the credit transmission channel of monetary policy in China under the tight monetary environment is more efTective.Therefore,the central bank's monetary policy operation should be fully aware of the phenomenon that credit demand is more sensitive to the fluctuation of interest rate during the period of low growth interval and monetary tightening,maintain the credit demand in a reasonable interval,and further improve the market-oriented reform of interest rate.At the same time of reforming the process and clearing the transmission mechanism of interest rate,we should adjust and control the macroeconomy effectively and reasonably.
作者
付一婷
张都
陈琼
FU Yi-ting;ZHANG Du;CHEN Qiong(Scliool of Economics and Statistics,Guangzhou University,Guangzhou 851000,China)
出处
《数理统计与管理》
CSSCI
北大核心
2021年第6期1080-1092,共13页
Journal of Applied Statistics and Management
基金
国家自然科学基金项目(71873042)。
关键词
货币政策
信用需求
门限模型
monetary policy
credit demand
threshold model
