基于Hurst指数对我国信贷市场顺周期性的研究  

Research of the Procyclicality of China's Credit Market Based on Hurst Index

作　　者：秦莎 王明利 QIN Sha;WANG Mingli

机构地区：[1]河北经贸大学金融学院,河北石家庄050000

出　　处：《吉林金融研究》2018年第8期6-10,24,共6页Journal of Jilin Financial Research

摘　　要：为了研究我国信贷市场顺周期性问题,以1957-2016年国内生产总值增长率和信贷余额增长率为样本数据,通过计算Hurst值和构建向量自回归模型实证检验了我国信贷周期与经济周期之间的关系。研究发现,信贷市场与经济波动具有持续性,而信贷市场的Hurst值要小于GDP的Hurst值,说明信贷市场的波动要比经济波动剧烈,并且经济周期先于信贷市场发生波动。传统的向量自回归模型也对其进行了验证,得出的结论相一致。In order to study the procyclicality of China＇s credit market, the GDP growth rate and credit balance growth rate from 1957 to 2016 were used as sample data. The Hurst value was calculated and a vector autoregressive model was constructed to empirically test the relationship between China^s credit cycle and economic cycle. The study finds that the credit market and economic fluctuations are persistent, while the Hurst value of the credit market is smaller than the Hurst value of GDP, which indicates that the fluctuation of the credit market is greater than the economic fluctuation, and the economic cycle fluctuates before the credit market. Traditional vector autoregressive models have also been verified and the conclusions reached are consistent. Judging from the current situation, the procyclicality of Chinars credit market has not yet fully emerged. We should take precautions in advance to prevent it from harming financial security and economic stability.

关 键 词：信贷市场 顺周期性 HURST指数 协整检验 

分 类 号：F830[经济管理—金融学]