信贷周期、经济周期与“双支柱”政策调控  

Credit Cycle,Business Cycle and“Double Pillar”Policy Regulation

作　　者：刘金全 陈润东 李佩瑶 LIU Jin-quan;CHEN Run-dong;LI Pei-yao

机构地区：[1]广州大学经济与统计学院

出　　处：《中央财经大学学报》2024年第10期39-49,共11页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金项目“经济周期形态变异、经济周期成分分解与经济政策周期相依性的动态机制研究”(项目编号:72073040)。

摘　　要：本文首先使用Hamilton滤波估算我国的信贷周期和经济周期,然后使用TVP-VAR模型探讨我国信贷周期与经济周期的双向互动机制及其内在机理,发现信贷周期与经济周期具有良性的“负反馈机制”,这很大程度上是货币政策逆周期调控的结果,而市场信心渠道是信贷周期影响经济周期的重要方式,使得信贷周期对经济周期的影响大大增加。最后,本文探讨了货币政策和宏观审慎政策交互作用对各自调控产出和调控信贷的边际效率的影响,发现货币政策在宏观审慎政策收紧时对产出和信贷的边际影响减弱了,而宏观审慎政策在货币宽松时期对产出和信贷的边际效应增强了,这意味着必须建立起“双支柱”政策的协调配合模式和效率互补机制。This paper first uses the Hamilton filter to estimate China s credit cycle and business cycle.Using the TVP-VAR model,we explore the bidirectional interaction mechanism and intrinsic dynamics between China s credit cycle and business cycle.We find that there is a positive“negative feedback mechanism”between the credit cycle and the business cycle,which is largely a result of counter-cyclical monetary policy.The market confidence channel is a significant way in which the credit cycle influences the business cycle,doubling the impact of the credit cycle on the business cycle.Finally,we examine the interaction between monetary policy and macro prudential policy on their respective marginal efficiencies in regulating output and credit.We find that the marginal impact of monetary policy on output and credit weakens when macro prudential policy tightens,while the marginal effect of macro prudential policy on output and credit strengthens during periods of monetary easing.This indicates the necessity of establishing a coordinated and complementary mechanism for the“dual-pillar”policy framework.

关 键 词：信贷周期 经济周期 货币政策 宏观审慎政策 

分 类 号：F015[经济管理—政治经济学]