民间借贷利率对宏观经济冲击的区制非对称响应:以温州为例  

An Analysis on Regime Asymmetric Response of the Informal Lending Interest to the Macroeconomic Impact: Evidence from Wenzhou

作　　者：童笛[1] 张文彬[2] 

机构地区：[1]武汉大学,武汉430072 [2]北京大学,北京100871

出　　处：《中国经济问题》2013年第4期80-90,共11页China Economic Studies

摘　　要：本文通过从区制非对称这一新的视角出发探讨民间借贷的自主性和反应性。在低利率区制下,民间借贷利率自主性基于主导地位;在高利率区制下,小微企业信贷受限、应收账款增加、对通胀过度反应等三种机制导致民间借贷利率对宏观经济的反应性显著提升,形成货币紧缩政策负向冲击的乘数效应。变系数的马尔科夫区制转化模型证明了温州市金融机构贷款波动和通货膨胀对民间借贷利率的影响具有明显的区制非对称效应,紧缩性的货币政策和高通胀导致处于高利率区制的民间借贷利率显著提升。This paper focuses on regime asymmetries of reactiveness and autonomy in informal lending. Autonomy plays the key role in the low interest regime, and reactiveness plays leading role of fluctuation of interest in the high interest regime due to the credit ration of micro and small enterprise, expansion of accounts receivable and the excessive reaction to the inflation, and will lead to the multiplier effects of contraction monetary policy. The Markov regime switching model showes the existence of re- gime asymmetric effect on the informal lending interest from the impact of formal lending and CPI fluctuation in Wenzhou, and the contraction monetary policy and high inflation lead the excessive raise of the informal lending interest recently.

关 键 词：民间借贷 区制非对称 马尔科夫区制转化模型 

分 类 号：F832.4[经济管理—金融学] F127