企业信贷依赖程度对金融加速器效应的非对称影响——基于信息非对称的视角和TVAR模型的检验  

An Asymmetric Impact on Financial Accelerator Effect Made by the Loan to Value Ratio of Enterprises:From the Perspective of Information Asymmetry and Based on TVAR Analysis

作　　者：骆祚炎[1] 王轶[1] 

机构地区：[1]广东财经大学金融学院

出　　处：《中央财经大学学报》2015年第11期35-44,共10页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金面上项目"金融加速器效应顺周期性的多维测度与逆周期调控政策研究"(项目编号:71473049)和"基于消费视角的居民资产财富效应测度与调控政策研究"(项目编号:71073030)

摘　　要：从金融加速器的机制来看,信贷对金融加速器存在非对称的影响,从而加剧经济波动。笔者对企业信贷依赖程度进行测度并以TVAR模型为依托,其实证检验表明,以企业信贷依赖程度为门限向量,当企业信贷依赖程度较低时,货币冲击、经济增长率冲击、价格冲击和信贷冲击对经济波动的冲击作用较小;当企业信贷依赖程度高时,货币冲击、经济增长率冲击、价格冲击和信贷冲击对经济波动的冲击作用较大。实证分析结果与理论分析取得了一致。这一方面验证了金融加速器效应的本质特征是非对称性,另一方面说明信贷依赖程度对金融加速器效应施加了非对称的影响。研究的政策涵义是,政策当局应该即时和全面地监测全社会的企业信贷依赖程度和社会信用水平,为货币政策的前瞻性和逆周期调控提供依据,并使信贷保持在合理的水平上。From the point of financial accelerator mechanism, there is an asymmetrical relationship between the loan to value ratio of enterprises and financial accelerator. Based on TVAR model and theoretical analysis, by means of estimate of the loan to value ratio of enterprises, this paper shows that under four kinds of shocks, such as monetary supply shock, economic growth shock, inflation shock and credit shock, the fi- nancial accelerator effect on the low credit condition is type of asymmetry of financial accelerator effect. It also bigger than that of high credit condition. This is another shows that leverage has an asymmetrical effect on the financial accelerator effect. In order to curb this kind of asymmetrical effect of financial accelerator, authorities should monitor the macro-state of credit timely and comprehensively in an effort to provide basic data for the proactive and counter-cyclical monetary policy adjustments, and maintain reasonable credit level.

关 键 词：金融加速器 信贷依赖 TVAR模型 

分 类 号：F832.0[经济管理—金融学]