信贷配给视角下中国货币政策非对称性及阀值效应研究
发布时间：2018-07-25 07:53
【摘要】：货币政策阀值效应是货币政策效果非对称性的外在表现。本文详细阐述了货币政策阀值效应、阈值效应模型，辨析了非对称性、非线性的区别，在此基础上最终选择阀值效应模型作为本文的基本模型假设，，并通过1978-2011年数据实证分析发现中国货币政策效果确实存在明显的阀值效应，阀值为-0.06。本文认为存在于不同规模企业之间的信贷配给现象是货币政策阀值效应产生的主要原因。本文利用工业数据分析信贷配给对政策效果的影响，创新性的提出将工业贷款占总贷款比值的变化作为衡量工业所遭遇的信贷配给程度的指标，认为该值小于0时工业企业遭遇信贷配给，大于0时信贷配给弱化。接着本文利用AB-SVAR模型的结构化脉冲响应计算信贷配给冲击对不同规模企业总产值的影响，结果显示紧缩性的货币政策中，信贷向大企业集中，导致信贷配给现象加剧，而大型企业信贷资源本来就很充足，增加的信贷只能带来很少的产出，这部分产出远小于小型企业减少的信贷导致的产出减少；而扩张性的货币政策中，扩张的信贷首先满足大中型企业，然后才满足小型企业，所以产出增加不明显。信贷配给产生的根源是信息不对称导致的中小企业融资难问题，所以最后本文围绕如何改善这个问题提出了三个政策建议：完善制度建设，为市场发展提供保障；拓展融资渠道，为经济发展提供支持；有针对性引导，助银行盈利模式改变。
[Abstract]:The threshold effect of monetary policy is the external manifestation of the asymmetry of monetary policy effect. In this paper, the threshold effect model and threshold effect model of monetary policy are described in detail, and the difference between asymmetry and nonlinearity is analyzed. On this basis, the threshold effect model is chosen as the basic hypothesis of this paper. Through empirical analysis of the data from 1978 to 2011, it is found that there is a significant threshold effect in the effect of China's monetary policy, with a threshold of -0.06. This paper holds that the phenomenon of credit rationing between enterprises of different sizes is the main reason for the threshold effect of monetary policy. This paper uses industrial data to analyze the impact of credit rationing on policy effectiveness, and innovatively proposes to take the change of the ratio of industrial loans to total loans as an indicator to measure the degree of credit rationing encountered by industry. It is considered that the industrial enterprises encounter credit rationing when the value is less than 0, and the credit rationing is weakened when the value is greater than 0. Then we use the structured impulse response of AB-SVAR model to calculate the impact of credit rationing shock on the gross output value of enterprises of different sizes. The results show that in the tight monetary policy, credit is concentrated to large enterprises, which leads to the intensification of credit rationing phenomenon. Credit resources for large enterprises are already plentiful, with increased credit producing only a small amount of output, much less than the reduction in credit by small firms; and in expansionary monetary policy, Expansion of credit to large and medium-sized companies, then to small businesses, so the increase in output is not obvious. The root of credit rationing is the difficulty of financing SMEs caused by asymmetric information. Finally, this paper puts forward three policy suggestions on how to improve this problem: perfect the system construction to provide guarantee for the market development; To expand financing channels to provide support for economic development; targeted guidance to help banks change their profit model.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.4
本文编号：2143140
[Abstract]:The threshold effect of monetary policy is the external manifestation of the asymmetry of monetary policy effect. In this paper, the threshold effect model and threshold effect model of monetary policy are described in detail, and the difference between asymmetry and nonlinearity is analyzed. On this basis, the threshold effect model is chosen as the basic hypothesis of this paper. Through empirical analysis of the data from 1978 to 2011, it is found that there is a significant threshold effect in the effect of China's monetary policy, with a threshold of -0.06. This paper holds that the phenomenon of credit rationing between enterprises of different sizes is the main reason for the threshold effect of monetary policy. This paper uses industrial data to analyze the impact of credit rationing on policy effectiveness, and innovatively proposes to take the change of the ratio of industrial loans to total loans as an indicator to measure the degree of credit rationing encountered by industry. It is considered that the industrial enterprises encounter credit rationing when the value is less than 0, and the credit rationing is weakened when the value is greater than 0. Then we use the structured impulse response of AB-SVAR model to calculate the impact of credit rationing shock on the gross output value of enterprises of different sizes. The results show that in the tight monetary policy, credit is concentrated to large enterprises, which leads to the intensification of credit rationing phenomenon. Credit resources for large enterprises are already plentiful, with increased credit producing only a small amount of output, much less than the reduction in credit by small firms; and in expansionary monetary policy, Expansion of credit to large and medium-sized companies, then to small businesses, so the increase in output is not obvious. The root of credit rationing is the difficulty of financing SMEs caused by asymmetric information. Finally, this paper puts forward three policy suggestions on how to improve this problem: perfect the system construction to provide guarantee for the market development; To expand financing channels to provide support for economic development; targeted guidance to help banks change their profit model.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.4
【参考文献】
相关期刊论文 前10条
1 杨晓;杨开忠;;中国货币政策影响的区域差异性研究[J];财经研究;2007年02期
2 陆虹;;我国货币政策信贷传导渠道的非对称效应及地区经济影响[J];财经研究;2012年07期
3 何国华;袁仕陈;;货币政策的非对称性:基于前景理论的解释[J];财经理论与实践;2010年05期
4 任建军;;信贷配给理论发展、模型与实证研究[J];金融论坛;2009年04期
5 苟小菊;徐子奕;;货币政策效果非对称性研究综述[J];中国地质大学学报(社会科学版);2011年01期
6 张世贤;阀值效应:技术创新的低产业化分析——以中国医药技术产业化为例[J];中国工业经济;2005年04期
7 汪川;黎新;周镇峰;;货币政策的信贷渠道:基于“金融加速器模型”的中国经济周期分析[J];国际金融研究;2011年01期
8 黄先开,邓述慧;货币政策中性与非对称性的实证研究[J];管理科学学报;2000年02期
9 刘金全,刘兆波;我国货币政策作用非对称性和波动性的实证检验[J];管理科学学报;2003年03期
10 王征;;论信贷配给及其对我国金融运作机制的影响[J];中共济南市委党校学报;2010年01期
本文编号：2143140
本文链接：https://www.wllwen.com/guanlilunwen/bankxd/2143140.html
