中国区域信贷顺周期效应的异质性成因分解与时空特征研究——基于面板VAR模型  

The Research of Spatial and Temporal Characteristics of Procyclicality of Regional Credit in China:an Analysis Based on Pannel-VAR Model

作　　者：王周伟[1] 伏开宝 汪传江 胡德红[1] 

机构地区：[1]上海师范大学金融工程研究中心,200234

出　　处：《上海经济研究》2015年第5期41-52,共12页Shanghai Journal of Economics

基　　金：国家自然科学基金项目"基于流动性视角的资产定价模型重构研究"(批准编号:71471117);教育部人文社科研究项目"中国宏观审慎货币政策的调控机制研究"(批准编号:11YJA790107);教育部社科项目"通货膨胀惯性;金融市场摩擦与结构性冲击--债务危机下DSGE模型的扩展与应用研究"(批准编号:12YJC790020);上海市教委重点课题"综合风险网络传染的系统性风险评估与分析框架研究"(批准编号:12ZS125)的资助

摘　　要：依据区域生产函数及其经济增长理论,该文构建了包含区域GDP增长率、信贷余额增长率与财政支出增长率的面板向量自回归(Panel-VAR)模型,研究了我国区域信贷的顺周期效应。然后,用洛仑兹曲线与基尼系数,测度了区域信贷顺周期效应的异质性程度,用锡尔指数分解分析了该异质性成因,并利用Moran’I指数及其散点图,研究了区域顺周期效应的空间相关性与集聚性。研究表明,我国各区域信贷波动存在着明显的顺周期效应,该效应具有显著的区域异质性和空间集聚特征。According to regional production function and the theory of regional economic growth,this paper builds a panel-VAR model which contains the growth rate of GDP, credit and Local fiscal expenditure of eight economic regions to study the heterogeneity of procyclicality of credit in China. The empirical results show that the fluctuations of credit have apparent procyclicality and significant regional heterogeneity and spatial agglomeration. There are excessive growth of credit and the asynchronous proeyelicality of credit in some economic regions. To implement countercyclical credit supervision without differentiation cannot reflect the actual development situation of the different regions. Hence, to build a dynamic buffer mechanism with the regional eountercyclical capital and maintain the regional financial stability is the key link of Macro prudential supervision framework.

关 键 词：信贷顺周期 Panel-VAR模型 区域异质性 锡尔指数 Moran’I指数 

分 类 号：F830.45[经济管理—金融学]