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区分信贷供给和需求的动态变化是宏观经济分析的重要方面,也是科学制定货币政策的前提条件。但我们直接观测到的银行信贷数据是信贷市场供需均衡的最终结果,往往不能单独反映信贷供给或需求的及时动态。对此,我们创新性地根据贷款利率、贷款数量的量价组合变化规律,采用符号约束VAR模型,试图具体识别信贷供给和需求冲击,并在此基础上运用历史分解方法区分我国各时期信贷供给和需求的动态变化。实证结果表明,我国信贷需求总体上具有顺周期性,而信贷供给具有逆周期性。结合其他现实宏观证据,上述方法对信贷供给与需求变化的区分是基本可靠的。我们建议,在货币政策的调控过程中,应加强对上述量价变化的组合分析,挖掘其信号显示作用及其更深层的经济内涵,从而为前瞻性的科学决策提供技术支持。
Distinguishing the dynamic changes in credit supply and demand is an important aspect of macroeconomic analysis and a precondition for the scientific development of monetary policy. However, the bank credit data we directly observed is the final result of the equilibrium of supply and demand in the credit market, and we can not always reflect the timely dynamic of credit supply or demand. In this regard, we innovatively based on the lending rate, loan volume and price portfolio changes, the use of symbolic constrained VAR model, trying to identify the specific supply of credit and demand shocks, and on this basis, the use of historical decomposition method to distinguish between the credit supply And the dynamic changes in demand. The empirical results show that the demand for credit in our country generally has procyclicality and the supply of credit has countercyclicality. Combined with other macroscopic evidences, the above method can basically distinguish the credit supply from the demand change. We suggest that in the process of monetary policy regulation, we should strengthen the combination analysis of the above volume and price changes, tap the signal display function and its deeper economic connotation, and provide technical support for forward-looking scientific decision-making.