存款利率市场化与中国宏观经济波动——基于TVAR模型的实证研究
发布时间：2018-07-24 14:35
【摘要】：本文运用门限向量自回归(TVAR)模型在宏观层面上对中国存款利率约束与宏观经济波动的非线性关联进行实证研究。研究发现:(1)中国在1996年1月至2013年11月期间的大部分时间都处于存款利率有约束状态,而存款利率约束在总体上减少了产出的波动;(2)存款利率有约束时,货币供应量等数量型冲击对产出影响幅度更小、持续时间更短,利率等价格型冲击对经济增长的作用周期更长,紧缩性的利率政策对经济的抑制效果更为明显;(3)存款利率无约束时,数量型冲击总体上持续性更强,价格型冲击则容易引起经济增长短期内大幅波动。
[Abstract]:In this paper, the threshold vector autoregressive (TVAR) model is used to study the nonlinear relationship between deposit interest rate constraints and macroeconomic fluctuations in China at the macro level. The findings are as follows: (1) China was in a constrained state of deposit interest rate for most of the period from January 1996 to November 2013, and the constraint of deposit interest rate generally reduced the fluctuation of output; (2) when the deposit interest rate was constrained, Quantitative shocks such as money supply have a smaller impact on output, a shorter duration, and price shocks such as interest rates have a longer impact on economic growth. (3) when the deposit interest rate is unconstrained, the quantitative impact is more persistent, and the price shock is easy to cause the economic growth to fluctuate sharply in the short term.
【作者单位】： 中山大学岭南学院;中山大学银行研究中心;
【基金】：国家自然科学基金面上项目“存款利率市场化与中国宏观金融风险研究”(71273287)
【分类号】：F832.2;F124;F224
[Abstract]:In this paper, the threshold vector autoregressive (TVAR) model is used to study the nonlinear relationship between deposit interest rate constraints and macroeconomic fluctuations in China at the macro level. The findings are as follows: (1) China was in a constrained state of deposit interest rate for most of the period from January 1996 to November 2013, and the constraint of deposit interest rate generally reduced the fluctuation of output; (2) when the deposit interest rate was constrained, Quantitative shocks such as money supply have a smaller impact on output, a shorter duration, and price shocks such as interest rates have a longer impact on economic growth. (3) when the deposit interest rate is unconstrained, the quantitative impact is more persistent, and the price shock is easy to cause the economic growth to fluctuate sharply in the short term.
【作者单位】： 中山大学岭南学院;中山大学银行研究中心;
【基金】：国家自然科学基金面上项目“存款利率市场化与中国宏观金融风险研究”(71273287)
【分类号】：F832.2;F124;F224
【参考文献】
相关期刊论文 前4条
1 吴林蔚;沈庆R，
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