我国商业银行亲周期性的实证研究  

Empirical study on pro-cyclicality of China's commercial banks

作　　者：滑静[1] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《上海理工大学学报》2007年第6期609-612,共4页Journal of University of Shanghai For Science and Technology

基　　金：上海市重点学科建设资助项目(T0502)

摘　　要：利用多元GARCH模型,研究了我国商业银行的亲周期性问题,分析了我国经济周期和信贷周期之间的相互关系.结果表明,我国商业银行的信贷行为具有十分明显的亲周期性特征,两者的当期波动状况不但受其自身前期波动的影响,还受各自前期波动的交叉影响.A multivariate GARCH model is used to investigate the pro-cyclicality of China＇s commercial banks, using the data of GDP growth rate and the remaining loan quantity at the end of each year of commercial banks in China from 1978 to 2005. The relationship between China＇ s business cycle and credit cycle is also examined. The empirical result indicates that the pro-cyclicality of China＇s commercial banks is significant, their contemporary fluctuation is not only affected by their own preceding fluctuation, but also affected crossly by that of the other.

关 键 词：商业银行 亲周期性 多元GARCH模型 

分 类 号：O211.64[理学—概率论与数理统计] F830.9[理学—数学]