转型时期中国货币与信贷对产出预测效果的比较研究

发布时间：2018-03-15 01:22

本文选题：货币　切入点：信贷　出处：《浙江理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：2008年经济危机之后,中国经济不可避免地受到了以往高增长带来的“后遗症”,内需回落、外需疲软、经济增长动力不足、增速放缓。同时,金融创新飞速发展,利率市场化基本完成,深化改革全面推进,经济结构不断优化,中国经济进入了以增速放缓、结构升级与创新驱动为特征的“新常态”时期。此时中国信贷、货币与产出的关系是否发生了结构性的变化就成为了一个亟待研究的问题。本文在相关理论与研究的基础上,将特征工程与机器学习领域的诸多技术引入到经济计量分析的框架中,同时从“信贷、货币与产出同比增长率的关系”、“信贷、货币与产出变化趋势和变化空间的关系”、“信贷、货币与产出的周期波动特征的关系”,“金融创新的快速发展对信贷、货币同产出关系的影响”这四个方面对信贷、货币与产出的关系,以及信贷、货币对产出的预测效果进行了经验性的研究。研究发现:信贷规模对产出的预测效果要明显好于货币供给量对产出的预测效果;信贷规模与货币供应量对产出的预测效果在逐年下降,尤其是2013年后,对产出的预测效果大幅度降低;随着利率市场化的完善,无论是中长期的趋势,还是中短期的周期波动,信贷与货币对产出的影响均在不断减弱;金融创新会削弱信贷与货币对产出的预测能力,并且随着金融创新的发展,信贷与货币对产出的预测能力正在不断趋同。本文在经验研究的基础上,采用中国1986~2015年的三大产业与国企民营产权数据,运用机器学习与计量分析相结合的方法,建立门限回归模型,对“中国信贷与货币的增长对产业结构、产权结构的影响”进行了实证分析,得到了以下的结论:信贷规模对三大产业的影响是强于货币供应量的,但是货币供应量对国有企业和民营企业工业总产值的影响是强于信贷规模的;在“次贷危机”前,信贷与货币的增长对我国三大产业的发展均起到了促进作用,而“次贷危机”后,信贷与货币的增长对我国三大产业的影响发生了结构性的变化,由正向的影响转变为负向影响,且影响的程度在逐年减弱,甚至在近几年信贷与货币对第三产业的发展几乎不存在实质性的影响;最初信贷与货币对国有企业的发展起到了促进作用,但随着信贷与货币的增长,其对国有企业和民营企业的发展产生了逆转性的影响,并且在后经济危机时代,信贷、货币对国有企业的削弱与对民营企业的促进的量差被极具放大。上述的研究结论与分析有助于更加客观与准确的认识转型时期我国信贷与货币对经济产出的作用以及存在的问题。因为作者的学术水平有限,文章还存在着较多的瑕疵,所以本文在最后部分提出了研究的局限性以及未来的研究方向。
[Abstract]:In 2008, after the economic crisis, the Chinese economy inevitably suffered from the "sequelae" of the past high growth, with domestic demand falling back, external demand weak, economic growth lacking momentum, and growth slowing. Meanwhile, financial innovation developed rapidly. The interest rate marketization has basically been completed, the deepening reform has been comprehensively promoted, the economic structure has been continuously optimized, and the Chinese economy has entered a "new normal" period characterized by slowing growth, structural upgrading and innovation-driven. At this time, Chinese credit, Whether the relationship between money and output has changed structurally has become an urgent problem to be studied. This paper introduces many techniques in the field of characteristic engineering and machine learning into the framework of econometric analysis, and at the same time, from "the relationship between credit, money and output growth rate", "the relationship between credit, currency and output change trend and change space", "credit," The relationship between currency and the cyclical fluctuation of output, the relationship between the rapid development of financial innovation and credit, the relationship between currency and output, the relationship between money and output, and the relationship between money and output, as well as credit, The empirical study shows that the effect of credit scale on output is better than that of money supply. The forecasting effect of credit scale and money supply on output is decreasing year by year, especially after 2013, the forecast effect of output is greatly reduced, with the improvement of interest rate marketization, whether it is the trend of medium or long term, or the cycle fluctuation of medium and short term, The impact of both credit and money on output is weakening; financial innovation weakens the ability of credit and money to predict output, and as financial innovation develops, The forecasting ability of credit and currency to output is converging. On the basis of empirical research, this paper adopts the data of private property rights of three industries and state-owned enterprises from 1986 to 2015 in China, and applies the method of combining machine learning and econometric analysis. Based on the threshold regression model, this paper makes an empirical analysis on the influence of China's credit and money growth on industrial structure and property structure, and draws the following conclusions: the impact of credit scale on the three major industries is stronger than that of money supply. However, the influence of money supply on the total industrial output value of state-owned enterprises and private enterprises is stronger than the scale of credit, and before the subprime mortgage crisis, the growth of credit and money has played a role in promoting the development of the three major industries in China. After the subprime mortgage crisis, the influence of the growth of credit and currency on the three major industries of our country has undergone structural changes, from positive to negative, and the degree of influence is weakening year by year. Even in recent years, credit and money had little substantial impact on the development of the tertiary industry. At first, credit and money played a role in promoting the development of state-owned enterprises, but with the growth of credit and money, It has a reversal effect on the development of state-owned enterprises and private enterprises, and in the post-economic crisis, credit, The difference in quantity between the weakening of money to state-owned enterprises and the promotion of private enterprises is greatly magnified. The above conclusions and analysis are helpful to understand more objectively and accurately the role of credit and currency on economic output during the transition period in China. And the problems that exist. Because the author's academic level is limited, There are many defects in the paper, so in the last part of this paper, the limitations of the research and the future research direction are proposed.
【学位授予单位】：浙江理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4;F822

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