我国社会融资结构与资产价格水平的关联性实证分析

发布时间：2017-12-31 07:38

本文关键词：我国社会融资结构与资产价格水平的关联性实证分析　出处：《上海师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：2011年4月14日中国人民银行首次对外发布了“社会融资规模”作为更加广义的货币流通量监测指标。运用该指标统计我国实体经济发展过程中得到的金融体系资金支持,并系统地将我国社会融资结构分为以银行本外币贷款为主的间接融资和以信托贷款、委托贷款、企业债券、非金融企业IPO融资等为主的直接融资。但是从目前经济形势来看,我国实体经济在融资规模飞速增长的状况下却出现了相对走弱的趋势。著名学者刘煜辉先生将该现象称之为“潜在增长下沉”,同时提出了我国社会融资在支持实体经济过程中可能存在向虚拟经济分流的问题。基于我国长久的融资状况,大多数研究集中在银行信贷为主的间接融资对经济发展的关联关系上,从信贷的角度研究了房地产价格,股市增长量等相关指标的关系,验证了银行信贷对实体经济的促进作用以及在银行信贷过程中资金流向房地产市场的事实。但是,近年来我国直接融资的规模不断扩大,多种层次的金融市场逐渐完善,形成社会融资规模中直接融资和间接融资势均力敌的局面。然而,从直接融资出发来分析实体经济和虚拟经济导向的研究相对空白,同时关于直接融资和间接融资这两种货币释放的途径以及实体经济获得流动性支持的研究十分有限,已有的则多数集中在单一领域效率的探究中。就目前融资发展形势来看,直接融资的规模将进一步扩大,开始逐渐替代间接融资成为实体经济支持的主力,同时作为我国金融市场改革的突破口,被寄予了更多的创新意义。未来经济发展中间接融资与直接融资保持一个均衡合理的结构关系,打破市场现有的银行独大局面,对优化资本市场融资结构体系,提高实体经济融资效率有重大理论意义。本文依照货币流动性对价格波动的理论依据入手,从虚拟经济对实体经济的分流溢出角度切入,采用量化模型分析社会融资对实体经济的支持影响,并分直接融资和间接融资两部分做结构化对比,以融资过程中的漏出货币数量来进行验证。本文选取了央行发布的“社会融资结构”中社会间接融资、社会直接融资来进行对比分析,同时依据现有经验模型选用工业增加值、CP1、M2等指标来说明实体经济运行中经济增长、物价水平、货币供应量之间构建的稳定关系。建立实体经济VAR方程得到银行信贷、直接融资的模型估计值与央行统计值之间的残差,定义该残差为实体经济在吸纳融资过程中漏出的部分货币供应量,进一步将该残差作为变量做与房地产市场、股票市场的相关性影响研究。整个研究过程中每一步骤都采用了直接融资和间接融资的对比效应,分析两者在影响经济运行,资产价格方面的差异,从融资结构优化的方向来统筹全文。全文主要章节安排如下：第1章导论,阐述了本文的研究背景,目的意义,研究方法结构以及本文的主要贡献；第2章相关理论与文献综述,分别研究了国内外在该领域现阶段的研究水平；第3章我国社会融资结构变迁及资产价格影响因素,阐述了我国社会融资结构变迁和未来趋势,分析了影响资产价格水平的主要因素以及融资结构与资产价格的作用机理；第4章社会融资结构对资产价格影响的比较实证分析,首先分别建立了银行贷款和社会直接融资与实体经济主要指标的VAR向量自回归方程,通过Johansen协整检验、格兰杰因果检验、脉冲响应函数、方差分解法,验证了经济变量之间的相互关系,以及与银行贷款、直接融资之间的对比影响关系。最终得到了分融资结构不同的银行贷款统计值和VAR模型估计值的残差、社会直接融资统计值和VAR模型估计值的残差,用来表示融资在支持实体经济过程中的漏出部分,然后利用前期的残差,作为一个变量,引入后续的资产价格水平VAR模型,再依据现实实证经验分别加入影响股票市场、房地产市场的其他影响变量建立模型。对比分析得出实体经济的融资流出与房地产价格波动关系明显,这也和我国近几年房地产行业飞速发展,整体规模远超股票市场的现状相一致,房地产行业的火爆吸引了大量的资金。而且从本文的实证结果猜想,有一部分资金可能是从实体经济的社会融资中分流而得,并且分融资结构导致分流作用也有一定差异；第5章实证结论的解释与政策建议,解释以上实证的结果给出了在融资结构优化，房地产融资监管等方向的政策建议；第6章结论，对现有结果进行评价，展望未来研究侧重点。
[Abstract]:In April 14, 2011 the people's Bank of Chinese released the first "social financing scale" as the amount of money in circulation monitoring indicators more generalized. The financial system support funds obtained by using the index statistics of China's real economy development process, and the system of China's social financing structure is divided into indirect financing to bank loans in foreign currencies and mainly to trust loans, entrusted loans, corporate bonds, direct financing of non financial enterprises IPO financing and so on. But from the current economic situation, China's real economy in the scale of financing the rapid growth of the situation but the relative weakening trend. The famous scholar Mr. Liu Yuhui called this phenomenon "sink potential growth", at the same time put forward China's social financing may be diverted to the virtual economy in the process to support the real economy. China's long-term financing situation based on the most The research focused on indirect financing of bank credit for the economic development of the relationship, from the perspective of the credit of the real estate price, relationship between stock market growth rate, to verify the role of bank credit to the real economy and the fact that in the process of bank credit capital flow to the real estate market. However, in recent years China's direct financing scale is continually expanding, multi-level financial market gradually perfect, the formation of direct financing and indirect financing of social financing scale well-matched in strength situation. However, the research from the direct financing of the real economy and the virtual economy analysis oriented relatively empty, at the same time on the way of direct financing and indirect financing of the two currencies the release of the real economy and obtain liquidity support is very limited, the most concentrated exploration efficiency in single field. The current financial Capital development situation, direct financing will further expand the scale, began to gradually replace the indirect financing into the real economy of the main support, at the same time as a breakthrough in China's financial market reform, has been more innovative. To maintain a balanced and reasonable structure of the future relationship between direct and indirect financing of economic development, to break the existing market the bank monopoly, on the financing structure optimization of capital market, has important theoretical significance to improve the financing efficiency of the real economy. According to the theoretical basis of monetary liquidity on the price fluctuation of the start, starting from the real economy shunt Spillovers of fictitious economy, the quantitative analysis model of social support and financing the impact on the real economy, and the two part of direct financing and indirect financing to do structured comparison, the number of leakage of currency to the financing process to verify the anthology. The central bank issued the "social financing structure" in the society of indirect financing, direct financing to society are analyzed, at the same time on the basis of the existing empirical model selection of industrial added value, CP1, M2 and other indicators to explain economic growth, the real economy in the price level, the construction of stable relationship between money supply. The establishment of real economy VAR equation bank credit, direct financing model to estimate the residual value and between the central bank statistics, the definition of the residual part of the money supply in the real economy to absorb the leakage in the process of financing, the residuals as the variables and the real estate market, correlation between the impact of the stock market. The whole research process of each step are used comparison of effects of direct and indirect financing, analysis of both the impact of the economic operation, differences in asset prices, from the financing structure optimization direction to the whole paper.
The main sections are as follows: the first chapter is introduction, describes the research background, the purpose and significance, research methods and structure of main contribution of this paper; the second chapter related theory and literature review, the research level in this field at home and abroad at this stage of the study; Chapter third factors affecting China's social financing structure and asset prices. Describes the development of China's social financing structure and future trends, analyzes the main factors influencing the level of asset prices and financing structure and asset price mechanism; analysis and comparison of the fourth chapter of empirical research on the influence of social financing structure of asset prices, firstly established the VAR vector main indicators of economic and social financing and bank loans directly from the entity the regression equation, the Johansen cointegration test, Grainger causality test, impulse response function, variance decomposition method is proved between economic variables The relationship between, and bank loans, compared the impact of direct financing. The relationship between the obtained points and different financing structure of bank lending statistics and VAR model to estimate the value of residuals, social statistics and direct financing VAR model to estimate the value of residuals, used to represent the leakage part of the financing in support of the real economy, and then use the the residual, as a variable, the introduction of asset price level VAR model further, and then on the basis of the reality of empirical experience were added to the impact of the stock market and other variables to establish the model of the real estate market. The relationship of analysis than the real economy financing flows and real estate price fluctuations obviously, this is also our country in recent years the real estate industry rapid development, consistent with the overall status of far more than the size of the stock market, the real estate industry is hot to attract a lot of money. But from the empirical results That part of the funds may be from the real economy and the financing of social financing and shunt, structure leads to shunt function also has the certain difference; explanation and policy suggestions for the fifth chapter conclusion, explain the above empirical results are given in the optimization of financing structure, real estate financing supervision and direction of policy recommendations; Sixth conclusion to evaluate the existing results, the future research emphasis.

【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.48;F224

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