| 股票价格对信贷冲击的动态影响 |
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| 引用本文： | 张鹏,孔德婧. 股票价格对信贷冲击的动态影响[J]. 金融论坛, 2010, 0(8) |
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| 作者姓名： | 张鹏 孔德婧 |
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| 作者单位： | 中国人民大学财政金融学院;建银国际投资咨询有限公司业务创新部; |
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| 摘 要： | 本文使用基于马尔科夫区制转移方法的协整模型(MS-ECM和MS-VECM),以长期信贷需求方程为基础,研究了我国信贷市场的稳定状态与非稳定状态。实证结果显示:在信贷市场的非稳定状态中,我国股票价格变化对信贷冲击形成了较为明显的动态影响。这种动态影响的出现除了与西方学者所关注的信贷配给效应有关以外,还与信贷资金流入股市有着密切联系。另外,实体经济与信贷的动态互动可以显著增加信贷冲中击的持续性。基于以上结论,本文提出我国应该整合各种监管资源和政策工具,对股票价格变动引起持续性信贷冲击的现象进行动态预防和监控。
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| 关 键 词： | 银行信贷 信贷市场 信贷配给效应 股票价格 区制转移模型 |
The Dynamic Impact of Stock Prices on Bank Credit |
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| ZHANG Peng KONG De-jing. The Dynamic Impact of Stock Prices on Bank Credit[J]. Finance Forum, 2010, 0(8) |
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| Authors: | ZHANG Peng KONG De-jing |
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| Affiliation: | ZHANG Peng KONG De-jing |
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| Abstract: | On the basis of long-term credit demand equation,this paper uses Markov Regime-Switching cointegration models(MS-ECM and MS-VECM)to analyze the steady state and unsteady state of Chinese credit market.The empirical result shows that changes of stock prices have significant disturbances on bank credit and causes credit shocks when credit market is in an unsteady state.Such dynamic impact results from both credit rationing effect,which attracts wide attention of western scholars,and the entrance of credit fun... |
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| Keywords: | bank credit credit market credit rationing effect stock prices Markov Regime-Switching Model |
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