本文關(guān)鍵詞： 融資成本 金融結(jié)構(gòu) 通脹預(yù)期 向量誤差修正模型(VEC)　出處：《國(guó)際金融研究》2017年06期 　論文類型：期刊論文

【摘要】：本文構(gòu)建短期動(dòng)態(tài)VEC模型,并利用我國(guó)2000年第一季度至2014年第四季度數(shù)據(jù)來(lái)實(shí)證研究金融總供給、金融總需求、融資供給結(jié)構(gòu)、融資需求結(jié)構(gòu)和通脹預(yù)期對(duì)我國(guó)融資成本的短期波動(dòng)影響及動(dòng)態(tài)效應(yīng),并進(jìn)行了穩(wěn)健性分析。實(shí)證結(jié)果表明:(1)我國(guó)融資成本短期波動(dòng)更多來(lái)源于金融結(jié)構(gòu)和通脹預(yù)期變化。在金融結(jié)構(gòu)中,金融總供給中的狹義金融深化比例的變化對(duì)融資成本短期波動(dòng)有負(fù)向影響且最顯著,金融總需求的變化對(duì)融資成本短期波動(dòng)有正向影響,融資供給結(jié)構(gòu)的變化對(duì)融資成本短期波動(dòng)有負(fù)向影響,但不顯著,融資需求期限結(jié)構(gòu)、主體結(jié)構(gòu)和功能結(jié)構(gòu)的變化分別對(duì)融資成本短期波動(dòng)有負(fù)向、正向、正向影響,但融資需求主體結(jié)構(gòu)影響不顯著;在通脹預(yù)期中,適應(yīng)性預(yù)期和理性預(yù)期的變化對(duì)融資成本短期波動(dòng)均有正向影響,且理性預(yù)期影響較顯著。(2)沖擊響應(yīng)分析和方差分解表明,狹義金融深化比例、廣義金融深化比例、金融總需求、融資供給結(jié)構(gòu)、融資需求期限結(jié)構(gòu)、融資需求功能結(jié)構(gòu)、適應(yīng)性通脹預(yù)期、理性通脹預(yù)期的沖擊均會(huì)在短期內(nèi)引起融資成本較大波動(dòng),而狹義金融深化比例、廣義金融深化比例、金融總需求、融資需求期限結(jié)構(gòu)、融資需求功能結(jié)構(gòu)和理性預(yù)期的沖擊對(duì)融資成本方差貢獻(xiàn)率較大。
[Abstract]:This paper constructs a short-term dynamic VEC model, and uses the data from in the first quarter of 2000 to in the fourth quarter of 2014 to empirically study the total financial supply, total financial demand and financing supply structure. The influence and dynamic effect of financing demand structure and inflation expectation on the short-term fluctuation of financing cost in China. The empirical results show that the short-term volatility of financing costs in China is more due to the changes in financial structure and inflation expectations. The change of the narrow financial deepening ratio in the total financial supply has a negative and most significant effect on the short-term fluctuation of financing cost, and the change of the financial aggregate demand has a positive impact on the short-term volatility of the financing cost. The change of financing supply structure has negative influence on the short-term fluctuation of financing cost, but it is not significant. The change of financing demand term structure, main body structure and function structure have negative and positive effect on the short-term fluctuation of financing cost respectively. The positive influence, but the structure of the main body of financing demand is not significant; In inflation expectations, the changes of adaptive expectations and rational expectations have a positive impact on short-term volatility of financing costs, and rational expectations have a significant impact on impact response analysis and variance decomposition. Narrow financial deepening ratio, generalized financial deepening proportion, financial aggregate demand, financing supply structure, financing demand term structure, financing demand function structure, adaptive inflation expectation. The impact of rational inflation expectations will cause large fluctuations in financing costs in the short term, while the narrow financial deepening ratio, the broad financial deepening ratio, the total financial demand, and the term structure of financing demand. The impact of functional structure and rational expectation of financing demand contributes to the variance of financing cost.
【作者單位】： 東北財(cái)經(jīng)大學(xué)研究生院;東北財(cái)經(jīng)大學(xué);東北財(cái)經(jīng)大學(xué)金融學(xué)院;
【基金】：國(guó)家自然科學(xué)基金(71373038、71273042) 遼寧省高等學(xué)校優(yōu)秀科技人才支持計(jì)劃(WR2014012) 遼寧省教育廳重點(diǎn)實(shí)驗(yàn)室項(xiàng)目(LZ2015029、LZ2014048)資助
【分類號(hào)】：F224;F822.5;F832.1
【正文快照】： 引言當(dāng)前,受國(guó)內(nèi)外經(jīng)濟(jì)金融形勢(shì)的影響,我國(guó)經(jīng)濟(jì)下行壓力依然較大,同時(shí)在信用風(fēng)險(xiǎn)有所抬頭的背景下,市場(chǎng)化利率進(jìn)一步下降的空間也將受阻。盡管我國(guó)貨幣政策相對(duì)穩(wěn)健、信貸增速保持平穩(wěn),但信貸投資增量與全社會(huì)融資增量仍存在較大缺口,這也抑制了融資成本的下降。因此,在信用

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