【摘要】：本文運(yùn)用門限向量自回歸(TVAR)模型在宏觀層面上對中國存款利率約束與宏觀經(jīng)濟(jì)波動的非線性關(guān)聯(lián)進(jìn)行實證研究。研究發(fā)現(xiàn):(1)中國在1996年1月至2013年11月期間的大部分時間都處于存款利率有約束狀態(tài),而存款利率約束在總體上減少了產(chǎn)出的波動;(2)存款利率有約束時,貨幣供應(yīng)量等數(shù)量型沖擊對產(chǎn)出影響幅度更小、持續(xù)時間更短,利率等價格型沖擊對經(jīng)濟(jì)增長的作用周期更長,緊縮性的利率政策對經(jīng)濟(jì)的抑制效果更為明顯;(3)存款利率無約束時,數(shù)量型沖擊總體上持續(xù)性更強(qiáng),價格型沖擊則容易引起經(jīng)濟(jì)增長短期內(nèi)大幅波動。
[Abstract]:In this paper, the threshold vector autoregressive (TVAR) model is used to study the nonlinear relationship between deposit interest rate constraints and macroeconomic fluctuations in China at the macro level. The findings are as follows: (1) China was in a constrained state of deposit interest rate for most of the period from January 1996 to November 2013, and the constraint of deposit interest rate generally reduced the fluctuation of output; (2) when the deposit interest rate was constrained, Quantitative shocks such as money supply have a smaller impact on output, a shorter duration, and price shocks such as interest rates have a longer impact on economic growth. (3) when the deposit interest rate is unconstrained, the quantitative impact is more persistent, and the price shock is easy to cause the economic growth to fluctuate sharply in the short term.
【作者單位】： 中山大學(xué)嶺南學(xué)院;中山大學(xué)銀行研究中心;
【基金】：國家自然科學(xué)基金面上項目“存款利率市場化與中國宏觀金融風(fēng)險研究”(71273287)
【分類號】：F832.2;F124;F224

【參考文獻(xiàn)】

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1 吳林蔚;沈慶R，

本文編號：2141687