本文選題：信貸 + 房?jī)r(jià)��； 參考：《金融與經(jīng)濟(jì)》2015年11期

【摘要】：經(jīng)過(guò)對(duì)國(guó)內(nèi)外文獻(xiàn)的總結(jié)發(fā)現(xiàn),銀行同業(yè)拆借市場(chǎng)日漸成為我國(guó)系統(tǒng)性危機(jī)發(fā)生的結(jié)點(diǎn),因此本文選擇三個(gè)月同業(yè)拆借利率作為系統(tǒng)性風(fēng)險(xiǎn)的代理變量,構(gòu)建結(jié)構(gòu)向量自回歸模型(SVAR),對(duì)信貸規(guī)模、房?jī)r(jià)波動(dòng)與銀行系統(tǒng)性風(fēng)險(xiǎn)三者之間的關(guān)系以及傳導(dǎo)機(jī)制進(jìn)行分析。通過(guò)格蘭杰因果檢驗(yàn)、脈沖響應(yīng)以及方差分解等方法分析表明:信貸、房?jī)r(jià)與銀行系統(tǒng)性風(fēng)險(xiǎn)三者間存在循環(huán)的影響機(jī)制。過(guò)度的信貸支持引發(fā)房?jī)r(jià)劇烈波動(dòng),進(jìn)一步地引發(fā)銀行系統(tǒng)性危機(jī),當(dāng)系統(tǒng)性風(fēng)險(xiǎn)上升到一定水平時(shí),信貸規(guī)模將會(huì)受到限制。此外,信貸、房地產(chǎn)以及銀行系統(tǒng)性風(fēng)險(xiǎn)三者的相互影響在第4個(gè)月達(dá)到最大,影響期限約為10個(gè)月,因此實(shí)施宏觀調(diào)控應(yīng)當(dāng)逆向調(diào)節(jié),且注意時(shí)滯、調(diào)控效果和影響期限。
[Abstract]:After summing up the domestic and foreign literature, it is found that the interbank lending market is becoming the node of the systemic crisis in our country, so this paper chooses the three-month interbank offered rate as the proxy variable of the systemic risk. A structural vector autoregressive model is constructed to analyze the relationship among credit scale, house price volatility and systemic risk of banks, as well as the transmission mechanism. The Granger causality test, impulse response and variance decomposition analysis show that there is a cyclic influence mechanism among credit, house price and systemic risk of banks. Excessive credit support leads to sharp fluctuations in house prices and further to a systemic crisis in banks. When systemic risk rises to a certain level, the size of credit will be limited. In addition, the mutual influence of credit, real estate and bank systemic risk reaches the maximum in the fourth month, and the influence period is about 10 months. Therefore, the macro-control should be adjusted in reverse, and pay attention to the time delay, the control effect and the influence period.
【作者單位】： 南京師范大學(xué);金融工程研究所;
【基金】：國(guó)家社科青年項(xiàng)目“中國(guó)商業(yè)銀行系統(tǒng)風(fēng)險(xiǎn)演化、測(cè)度和控制機(jī)制(12CJY108)”
【分類(lèi)號(hào)】：F832.4;F299.23

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本文編號(hào)：1861943