信贷周期与经济周期的关联性：中国和日本的比较研究

发布时间：2018-11-04 14:14

【摘要】：经济大萧条、东南亚金融危机和2008年全球金融危机给相关经济体都带来了严重的负面影响，而金融体系的顺周期性更是加深了这种影响。在金融危机到来前掩盖隐患，造成虚假繁荣；在金融危机发生后收缩信贷规模，再一次的加重了经济衰退的程度。这一现象引起了学者对信贷顺周期性的关注，大量文献从不同的角度对该现象进行分析和解释，得到丰富的研究成果。文章以日本和中国为例，研究信贷周期和经济周期之间的关系和相互作用机制，为了保证结论的稳健性和准确性，文章选择多种实证方法进行详尽的分析，，然后采用日本和中国对比分析发现金融监管改革的必要性和重要性。文章首先在分析信贷周期，经济周期以及两者关系的理论基础上，分析出现信贷顺周期的现象时，金融监管对这种现象的有效抑制的作用机制。其次从周期性度量的角度介绍了H-P滤波和BBQ算法，从同步性度量的角度介绍了Pearson相关系数，基于VAR预测误差的时域方法和基于谱分析的频域方法。然后，文章使用这五种方法对日本进行分析发现日本经济从1990年至2013年期间大概有五个周期，日本信贷从1992年至2013年期间大约有四个周期；在整个时期日本信贷顺（逆）周期不明显，但是分阶段后发现日本信贷出现阶段顺周期阶段逆周期的现象，最主要原因可能是日本金融监管体制进行有效的改革。对中国进行研究后发现中国经济从1992年至2013年期间约有四个周期，中国信贷在2000年至2013年期间大约存在两个半大周期。并且中国在这段时期出现信贷顺周期的现象，信贷周期领先经济周期约三个季度。最后，文章给出相应的政策建议，提出中国应当强化金融监管和宏观经济运行的协调机制，进行反周期监管；监管主体要集中，确定“一行三会”中的核心地位；健全金融监管的相关法律法规，保护金融消费者的合法权益；加强国内监管和国际监管的协调；完善货币政策的机制；提升商业银行自身的风险管理能力。
[Abstract]:The Great Depression, the financial crisis in Southeast Asia and the global financial crisis in 2008 have had a serious negative impact on the economies concerned, and the procyclicality of the financial system has deepened this impact. Before the financial crisis to cover up hidden dangers, resulting in false prosperity; after the financial crisis to shrink the size of credit, once again exacerbated the extent of the recession. This phenomenon has attracted scholars' attention to the credit procyclicality. A large number of literatures have analyzed and explained the phenomenon from different angles and obtained rich research results. This paper takes Japan and China as an example to study the relationship and interaction mechanism between credit cycle and business cycle. In order to ensure the robustness and accuracy of the conclusions, this paper chooses a variety of empirical methods to carry out detailed analysis. Then using Japan and China to find out the necessity and importance of financial regulatory reform. Based on the analysis of credit cycle, economic cycle and the relationship between them, this paper first analyzes the mechanism of the effective suppression of this phenomenon by financial supervision when the phenomenon of credit pro-cycle appears. Secondly, H-P filter and BBQ algorithm are introduced from the angle of periodicity metric, Pearson correlation coefficient is introduced from the angle of synchronism metric, time-domain method based on VAR prediction error and frequency-domain method based on spectrum analysis. Then, using these five methods to analyze Japan, we find that there are about five cycles in Japanese economy from 1990 to 2013, and there are about four cycles in Japanese credit from 1992 to 2013. In the whole period, the credit in Japan is not obvious, but it is found that the main reason is the effective reform of the Japanese financial supervision system. A study of China found that there were about four cycles in the Chinese economy from 1992 to 2013, and credit in China had about two and a half cycles between 2000 and 2013. And there was a credit boom in China during this period, with the credit cycle leading the economic cycle for about three quarters. Finally, the article gives the corresponding policy recommendations, and points out that China should strengthen the coordination mechanism of financial supervision and macro-economic operation, carry out counter-cyclical supervision, and the main body of supervision should concentrate to determine the core position of "one line and three sessions"; Improve the relevant laws and regulations of financial supervision, protect the legitimate rights and interests of financial consumers; strengthen the coordination of domestic and international supervision; improve the mechanism of monetary policy; enhance the risk management ability of commercial banks themselves.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F124;F131.3

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