中国金融加速器机制非对称传导的实证研究

··2011－3－30、、。EmpiricalResearchonAsymmetricFinancialAcceleratorConductionMechanisminChinaYANGSheng-gangHOUKun41007919942010。。“”。F832A1000－1549201107－0021－06FinancialacceleratorFinancialmarketscon-ditions、。。。。。、Bernanke。BernankeGertlerGilchrist1996。“”。。TitmanWessels1988。KiyotakiMoore1997。。。2009、、。、。1220117、。、1.TARCH。TARCHThresholdARCHTARCH。σ2t=ω+αu2t－1+γu2t－1dt－1+βσ2t－11dt－1ut－1＜0dt－1=1ut－1＞0dt－1=0。γu2t－1dt－1TARCH。。ut－1＞0αγu2t－1dt－10ut－1＜0α+γγu2t－1dt－1γu2t－1。γ＞0γ＜0。yt=αyt－1+βxt+ut2ytxt1。1ytxt12342.。。lnσ2t=ω+βlnσ2t－1+αut－1σt－1+γut－1σt－13utfxfλt=α|λt－1|+γλt－14λt=utσtfxutσtσ2t。ut－1＞0fλt－1=α+γut－1＜0fλt－1=γ－αut－1=0。TARCH。3.。GDPCREDITM2ASSETS6FRICTIONR。1994120103CCER。、1.ARCHTARCHARCH。QARCHLM。QAutocorrelationPartialCorrelationLjung-BoxQ。QQ=TT+2∑pj=1r2jT－j5Tprj。0QP0QP22201172QGDPM2CREDITASSETSFRICTIONRAC0.3680.3150.4290.3660.5500.485PAC0.3680.3150.4230.3660.5500.485Q9.35706.835915.6179.238720.90616.247P0.0020.0090.0000.0020.0000.000111Q1P。。3ARCH1234QAC0.5940.7450.2800.520PAC0.6100.7450.2250.443Q25.43935.5404.545019.799P0.0000.0000.0080.000LMF19.8935644.7834710.748516.681665T×R220.0519637.0238012.9283911.68670P0.00000.00000.00000.00000.00010.00160.00240.0029QACPAC1。LMFT×R2P。4TARCHARCH1234QAC－0.0150.0500.0690.045PAC－0.0150.0500.0690.047Q0.09010.15980.30850.2079P0.8240.6890.5790.766LMF0.6510640.0531660.5908450.158356T×R20.6648620.0549490.6050550.162973P0.42280.41480.81850.81470.44520.43670.69200.6864QACPAC1。LMFT×R2P。5TRACH1ZPω6.01E－062.44E－068.4591020.0000α0.2947990.0129697.7043430.0000γ0.5150090.0254176.5824060.0000β0.6314310.01874023.362720.00000。ARCHLM^u2t=β0+∑ps=1βsu2t－2+εt6u2t。FT×R2P。P。。2。10P05%。TGARCHARCH。1。3ARCH。3ARCHTGARCH。TARCHARCH4。4TARCHARCH。2.11。1。TARCH5。5113220117σ2t=6.01×10－6+0.294799u2t－1+0.515009u2t－1dt－1+0.631431σ2t－170.5150090。α0.294799α+γ0.8098080.294799+0.515009。1。100。。3.22。TARCH6。16TRACH2ZPω3.00E－062.03E－066.1975110.0000α0.1277450.0309416.4738110.0000γ0.5062160.0150835.8028470.0000β0.6647250.02004433.9091290.000062σ2t=3×10－6+0.127745u2t－1+0.506216u2t－1dt－1+0.664725σ2t－180.50621690。α0.127745α+γ0.6339610.127745+0.506216。2。200。。4.33。TARCH7。27TRACH3ZPω8.44E－067.96E－065.0607520.0000α0.3898940.0343383.8103430.0001γ－0.2929300.0524245.1604660.0000β0.7209250.03219045.8145620.000073σ2t=8．44×10－6+0．389894u2t－1－0．292930u2t－1dt－1+0．720925σ2t－194220117－0.2929300。TARCH3。α0.389894α+γ0.0969640.389894－0.292930。3。00。5.4438TRACH4ZPω0.0002080.0001466.4304560.0000α0.1453120.0390063.5253890.0002γ0.4756920.0213195.1493460.0000β0.8010800.04545321.2358520.0000。TARCH8。84σ2t=0．000208+0．145312u2t－1+0．475692u2t－1dt－1+0．801080σ2t－1100.50621690。α0.145312α+γ0.6210040.14531+0.475692。4。400。。4、。。。。5220117。“”。。。。。。。。。、。1BenSBernankeMarkGertler．AgencyCostsNetWorthandBusinessFluctuationsJ．TheAmericanEconomicReview19897914－31．2BenSBernankeMarkGertlerSimonGilchrist．TheFinancialAcceleratorandtheFlighttoQualityJ．ReviewofEconomics＆Statistics1996781－15．3BenSBernankeMarkGertlerSimonGilchrist．TheFinancialAcceleratorinaQuantitativeBusinessCycleFrameworkR．NBERWorkingPapersNO64551998．4TitmanSheridanWesselsRoberto．TheDeterminantsofCapitalStructureChoiceJ．JournalofFinanceAmericanFinanceAssociation1988431－19．5KiyotakiNobuhiroMooreJohn．CreditCycles．JournalofPoliticalEconomy1997105211－248．6PhilipVermeulen．BusinessFixedInvestmentEvidenceofaFinancialAcceleratorinEuropeR．EuropeanCentralBankWorkingPaperNO372000．7Milano．TheAsymmetricEffectsofMonetaryPolicyJ．JournalofEconomicSurveys200418409－426．8．J．2007627－37．9．、J．20061159－69．10．“”RBCJ．2005417－27．11．J．20091065－70．AbstractThispaperteststheasymmetricfinancialacceleratorconductionbyusingquarterlyeconomicdatafromfirstquarterof1994tothirdquarterof2010.Theempiricalresultsindicatethatthefinancialacceleratorcon-ductionmechanismisasymmetricinChina．Thatisbecauseonceanegativeshockisproducedthe“reflexive”functionoffinancialmarketwillbecompressedinanarrowperiodandwhichwillleadtocreditcrunchandshrink-ageofmortgageassets．Theeconomicvariableswillbeeffectedbyeachotherandtheeconomywillfluctuategreat-ly．KeywordsFinancialacceleratorAsymmetricconductionMonetaryshock6220117