金融结构、通胀预期与融资成本短期波动:基于VEC模型的实证研究

发布时间：2018-01-31 07:58

本文关键词： 融资成本金融结构通胀预期向量误差修正模型(VEC)　出处：《国际金融研究》2017年06期 　论文类型：期刊论文

【摘要】：本文构建短期动态VEC模型,并利用我国2000年第一季度至2014年第四季度数据来实证研究金融总供给、金融总需求、融资供给结构、融资需求结构和通胀预期对我国融资成本的短期波动影响及动态效应,并进行了稳健性分析。实证结果表明:(1)我国融资成本短期波动更多来源于金融结构和通胀预期变化。在金融结构中,金融总供给中的狭义金融深化比例的变化对融资成本短期波动有负向影响且最显著,金融总需求的变化对融资成本短期波动有正向影响,融资供给结构的变化对融资成本短期波动有负向影响,但不显著,融资需求期限结构、主体结构和功能结构的变化分别对融资成本短期波动有负向、正向、正向影响,但融资需求主体结构影响不显著;在通胀预期中,适应性预期和理性预期的变化对融资成本短期波动均有正向影响,且理性预期影响较显著。(2)冲击响应分析和方差分解表明,狭义金融深化比例、广义金融深化比例、金融总需求、融资供给结构、融资需求期限结构、融资需求功能结构、适应性通胀预期、理性通胀预期的冲击均会在短期内引起融资成本较大波动,而狭义金融深化比例、广义金融深化比例、金融总需求、融资需求期限结构、融资需求功能结构和理性预期的冲击对融资成本方差贡献率较大。
[Abstract]:This paper constructs a short-term dynamic VEC model, and uses the data from in the first quarter of 2000 to in the fourth quarter of 2014 to empirically study the total financial supply, total financial demand and financing supply structure. The influence and dynamic effect of financing demand structure and inflation expectation on the short-term fluctuation of financing cost in China. The empirical results show that the short-term volatility of financing costs in China is more due to the changes in financial structure and inflation expectations. The change of the narrow financial deepening ratio in the total financial supply has a negative and most significant effect on the short-term fluctuation of financing cost, and the change of the financial aggregate demand has a positive impact on the short-term volatility of the financing cost. The change of financing supply structure has negative influence on the short-term fluctuation of financing cost, but it is not significant. The change of financing demand term structure, main body structure and function structure have negative and positive effect on the short-term fluctuation of financing cost respectively. The positive influence, but the structure of the main body of financing demand is not significant; In inflation expectations, the changes of adaptive expectations and rational expectations have a positive impact on short-term volatility of financing costs, and rational expectations have a significant impact on impact response analysis and variance decomposition. Narrow financial deepening ratio, generalized financial deepening proportion, financial aggregate demand, financing supply structure, financing demand term structure, financing demand function structure, adaptive inflation expectation. The impact of rational inflation expectations will cause large fluctuations in financing costs in the short term, while the narrow financial deepening ratio, the broad financial deepening ratio, the total financial demand, and the term structure of financing demand. The impact of functional structure and rational expectation of financing demand contributes to the variance of financing cost.
【作者单位】：东北财经大学研究生院;东北财经大学;东北财经大学金融学院;
【基金】：国家自然科学基金(71373038、71273042) 辽宁省高等学校优秀科技人才支持计划(WR2014012) 辽宁省教育厅重点实验室项目(LZ2015029、LZ2014048)资助
【分类号】：F224;F822.5;F832.1
【正文快照】： 引言当前,受国内外经济金融形势的影响,我国经济下行压力依然较大,同时在信用风险有所抬头的背景下,市场化利率进一步下降的空间也将受阻。尽管我国货币政策相对稳健、信贷增速保持平稳,但信贷投资增量与全社会融资增量仍存在较大缺口,这也抑制了融资成本的下降。因此,在信用

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