银行信贷、经济周期与货币政策调控：1984-2011
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| Title | Bank Credit, Business Cycles and Monetary Policy: 1984-2011
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| 作者 | 李连发 |
| Author | Li Lianfa |
| 作者单位 | 北京大学经济学院 |
| Organization | Peking University School of Economics Department of Finance |
| 作者Email | lfli@pku.edu.cn |
| 中文关键词 | 信贷 银行 货币政策 通货膨胀 |
| Key Words | Credit; Bank; Monetary Policy; Inflation |
| 内容提要 | 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增加的趋势仅持续4个季度左右，而通胀压力则会持续7个季度以上；同时发现，信贷总量适度的逆周期变化有助于减少宏观经济的波动和福利损失，且我国信贷总量与存款准备金率变化之间存在协整关系。建议央行继续密切关注信贷总量，并合理引导。 |
| Abstract | Given the fact that credit expansion has become an important driving force of modern business cycle, this paper builds an extended Svensson model, which incorporates endogenous 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 stops to rise after about 4 quarters. It also concludes that the optimal change in credit aggregates could enhance macroeconomic stability if it is well led. The cointegration analysis shows that the reserve ratios are often high when credits are expanded. The central bank is suggested to keep leading the credit aggregates closely. |
| 文章编号 | WP213 |
| 登载时间 | 2012-01-17 |
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