商业银行信贷投资传导机制的统计分析  

A Statistical Analysis on the Transmission Mechanism of Credit Investment in Chinese Commercial Banks

作　　者：邓淇中[1,2] 邹新月[1] 

机构地区：[1]湖南科技大学管理学院 [2]武汉大学经济与管理学院

出　　处：《金融论坛》2008年第11期10-14,共5页Finance Forum

基　　金：国家自然科学基金项目(70573032);国家社会科学基金项目(06BJL017);教育部2005年度新世纪优秀人才支持计划(NCET-05-0709);湖南省资源型企业经营管理研究基地开放基金项目(07ZY06)资助

摘　　要：本文利用4家商业银行1992～2006年经济数据,根据协整理论和VAR模型等方法,从不同角度研究了我国大、中、小型商业银行信贷投资之间的动态关系,定量刻画了大、中型商业银行在小型商业银行信贷投资额波动中作用的大小。实证结果表明:大、中型商业银行与小型商业银行的信贷投资额之间具有长期均衡关系,且大、中型商业银行信贷投资的取向均是小型商业银行信贷投资取向的Granger原因,但大型商业银行之间的信贷传导力度比较微弱;大、中型商业银行信贷投资对小型商业银行投资波动的贡献度都表现出正向效应,相比而言,中型商业银行对小型商业银行信贷投资的传导力度要更大些。By collecting the economic data of four Chinese commercial banks from 1992 to 2006, the paper analyzes the dynamic relationship of credit investments among large-sized, medium-sized and small-sized commercial banks, and quantitatively describes how large-and-medium-sized commercial banks play the role in the fluctuation of credit investment of small commercial banks with co-integration theory and VAR model. The results show that there is a long-term equilibrium relationship between large-and-medium-sized commercial banks and small commercial banks in their credit investment, and the investment orientation of large-and-medium-sized commercial banks is the Granger cause for that of small ones. However, such credit transmission effect is weak among large banks. Moreover, the credit investment of large-and-medium-sized commercial banks has a positive effect on the fluctuation of that of small ones. By comparison, the transmission effect of medium-sized banks＇ credit investment on small banks is more significant.

关 键 词：商业银行 信贷投资 传导机制 VAR模型 

分 类 号：F832.4[经济管理—金融学] F224