金融信贷渠道如何影响利率下调的政策效应?——基于混频数据模型的经济周期阶段划分  

How does Financial Credit Channel Affect the Policy Effect of Interest Rate Reduction?——Division of Economic Cycle Stages Based on Mixed Frequency Data Model

作　　者：金春雨[1,2] 刘鹏宇[2] JIN Chunyu;LIU Pengyu(Center for Quantitative Economics,Jilin University,Changchun 130012,China;School of Business and Management,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]吉林大学商学与管理学院,吉林长春130012

出　　处：《西安交通大学学报（社会科学版）》2023年第4期64-77,共14页Journal of Xi'an Jiaotong University：Social Sciences

基　　金：国家社会科学基金重点项目(22AJL016)。

摘　　要：中国于2022年上半年出台了一揽子政策,扩大信贷投放、推动实际贷款利率下行,然而新冠病毒感染疫情初期主要经济体下调利率导致经济滞胀和资产价格持续攀升。采用混频马尔可夫区制转移动态因子(MF-MS-DFM)模型测度中国经济周期,并通过反事实结构向量自回归(CSVAR)模型考察不同经济周期阶段内利率下调对中国宏观经济和资产价格的影响及其金融信贷渠道的作用。结果表明,经济扩张期内利率下调加快金融信贷扩张,金融信贷渠道放大利率下调对宏观经济的刺激作用;经济收缩期内利率下调抑制金融信贷的扩张速度,金融信贷渠道导致利率下调的宏观经济提振效果减弱;经济扩张期内金融信贷渠道会放大利率下调导致的人民币贬值与房价、股价上涨,缓解利率下调导致的债券价格上涨。研究结论证明,金融信贷渠道对利率下调的宏观经济提振效果具有显著影响,且可能导致经济收缩期内利率下调无法有效刺激经济复苏,经济扩张期利率下调的房价、股价存在信贷驱动因素,可为政府和央行的政策制定提供参考。In the first half of 2022,China issued a package of policies to stabilize the economy,which proposed to expand credit supply and promote the steady decline of real loan interest rates.However,at the beginning of COVID-19,the policy of interest rate reduction in major economies such as the US and Britain failed to effectively stimulate economic recovery,even led to increased pressure on economic stagflation risk and the rising of asset prices,which should be taken as a warning by China.This paper uses data from Wind database,the Peoples’s Bank of China and CIEnet statistics database.It constructs a mixed-frequency and markov-switching dynamic factor(MF-MS-DFM)model to measure the business cycle of China’s economy,then examines the impact of interest rate cuts on macroeconomic and asset prices and the role of financial credit channel during different periods of economic cycle by constructing a counterfactual structural vector auto-regressive(CSVAR)model.The results show that during the economic expansion period,the interest rate reduction will accelerate the expansion of financial credit,and the financial credit channel can amplify the stimulating effect of the interest rate reduction on the macro-economy,but during the economic contraction period,the interest rate reduction will slow down the expansion of financial credit,and the financial credit channel will weaken the boosting effect of the interest rate reduction on the macroeconomy.During the period of economic expansion,the financial credit channel will magnify the devaluation effect of interest rate reduction on RMB,strengthen the role of interest rate reduction in pushing up house prices and stock prices,and mitigate the rise in bond prices caused by interest rate reduction.This paper proves that 1)the financial credit channel is an important factor in the effect of interest rate reduction on macroeconomic boost,and financial credit channel in the economic contraction period may cause the interest rate reduction to be unable to effectively stimulate the

关 键 词：利率政策 金融信贷 经济周期 宏观经济 资产价格 

分 类 号：F832.4[经济管理—金融学] F832.5