摘要
本文基于新兴市场国家1994—2016年国内生产总值和信贷实际增长率数据,运用附加结构转变点的非线性MS模型,深入剖析新兴市场国家整体、各国经济周期以及信贷周期的阶段性特征。研究发现:(1)新兴市场国家经济周期以及信贷周期都在2008年前后表现出显著的结构差异,将2008年视为经济周期以及信贷周期蕴含"结构转变"的时间节点后,基于非线性MS模型获得的平滑概率在0与1之间转移变迁更加明显。(2)新兴市场国家整体信贷并未表现出显著的顺周期性,而是呈现出阶段性顺周期和逆周期特征,且两者间的异步性随时间推移有所增强。与经济周期相比较,信贷周期表现出在"扩张阶段"与"收缩阶段"之间更强的交替、徘徊特征。(3)外部冲击对亚洲、非洲、欧洲、美洲四个区域的影响具有非对称效应,其中,欧洲区域的经济以及信贷冲击相对最深,亚洲区域的信贷冲击相对最弱。此外,与宏观经济相比较,国内信贷发展在遭遇外部冲击时具备更大的弹性和可控性。(4)新兴市场各国的信贷顺周期性普遍较弱,宏观审慎政策的频繁运用以及经济周期与信贷周期之间的滞后效应在其中发挥重要作用。协同性程度指标显示,无论是在全样本期还是结构转变点前后时期,经济周期与信贷周期的协同性程度普遍较低。
Emerging market countries are important engines of global economic growth,depending on powerful increasing tendency of macro economy,emerging market countries have been attracting much attention from global investors for such a long time,after nearly 20 years of rapid development,the share of total domestic credit value in GDP for emerging countries have increased to 138.7 percent in 2016,but the situation has inevitably engendered much concern to capital market,whether the financial disaster will make a comeback that has sparked heated discussions.Under this background,to deeply understand and grasp the dynamic law of economy and credit in emerging market countries is undoubtedly full of profound implications for strengthening the effectiveness of macro control policies and preventing financial crisis.Based on the real growth rate data of GDP and domestic credit in emerging market countries from 1994 to 2016,we applied a nonlinear MS model with a structural break to identify the periodic characteristics of aggregate and national economic cycles and credit cycles in emerging market countries.By this empirical approach,it s feasible to easily capture and measure the dynamic connection and synchronicity degrees between economic cycles and credit cycles,thus we expect to deeply investigate and grasp the internal developing rules of economic cycles and credit cycles in emerging market countries.We finally obtain some meaningful findings as follows.Firstly,during the period 1994-2016,there are significant structural differences of economic cycles and credit cycles in these countries around 2008,after the year 2008,the aggregate economic growth appears with a development trend of“inverted V-shaped”,while the growing tendency of aggregate credit shows a transformation from modest growth to stronger growth.When we consider the year 2008 as an important time node where structure transition of economic cycles and credit cycles will probably occur in,the estimated expansion probability transfers more obviously between t
作者
隋建利
龚凯林
SUI Jian-li;GONG Kai-Lin(Quantitative Research Center of Economics,Jilin University,Changchun,Jilin,130012,China)
出处
《经济管理》
CSSCI
北大核心
2018年第9期18-40,共23页
Business and Management Journal ( BMJ )
基金
国家自然科学基金面上项目"非线性状态空间混频数据模型在中国第三产业结构演变研究中的应用"(71573104)
教育部重点研究基地重大项目"‘十三五’期间中国增长型经济波动态势与宏观调控模式研究"(16JJD790014)
吉林大学青年学术领袖培育计划项目"非线性状态空间混频数据模型在中国宏观经济研究中的应用"(2015FRLX15)
