短期融资券市场存在金融加速器效应吗?——信用利差非对称性研究  

Is There Accelerator Effect in China’s Market of Short-Term Financing Bills?——Research on the Asymmetry of Credit Spreads

作　　者：牛新艳[1,2] 

机构地区：[1]中国社会科学院金融研究所 [2]中国科学院

出　　处：《金融评论》2011年第3期79-94,125,共16页Chinese Review of Financial Studies

摘　　要：本文基于门限向量自回归模型研究了我国货币政策对信用利差的影响。研究结果表明,短期融资券的信用利差存在着明显的非对称效应,即短期融资券的信用利差在紧缩货币政策时期的上升幅度大于放松货币政策时期的下降幅度。此外我们还发现,在紧缩货币政策时期,短期融资利率与股票收益率存在竞争关系,即短期融资信用利差的上升对股票指数上涨起到一定的抑制作用,而在放松货币政策时期,短期融资利率与股票收益率却存在互补关系。We use the threshold vector autoregressive model to analyze the impact of monetary policy on credit spreads in China’s short-term financing bills market. The results show that the credit spreads of short-term financing bills in the period of tightening monetary policy bear greater impact than those with loose monetary policy. We also find that during the period of tightening monetary policy, there is a competition between the interest rates of short-term financing bills and return on stock investment, i.e. the rise in credit spreads holds back the rise of the stock market. But during the period of loose monetary policy, the interest rates of short-term financing bills and stock return on investment are complementary.

关 键 词：信用利差 非对称性 门限向量自回归 

分 类 号：F832.5[经济管理—金融学] F224