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本文在流动性影响资产价格的理论框架下,研究了银行信贷与资产价格之间的关系,认为银行信贷是货币流动性能否影响资金流动性和市场流动性的关键,银行顺周期的信贷扩张或者收缩造成资产价格过度上涨和下跌,并且是金融危机的一个重要诱因。作者在实证中用VEC模型证实了在中国银行业信贷与资产价格成正相关关系,银行信贷与资产价格如果偏离其长期均衡关系会得到修正,银行信贷和资产价格的变化都会对后期的银行信贷和资产价格造成正面影响。银行信贷的滞后期对资产的价格有影响但不显著。
This paper studies the relationship between bank credit and asset prices under the theoretical framework that liquidity affects asset prices. It holds that bank credit is the key to whether liquidity can affect liquidity and market liquidity. Banks’ cyclical credit expansion or Shrinking has caused asset prices to rise and fall too much, and is an important incentive for the financial crisis. The author uses the VEC model in the empirical study to confirm that there is a positive correlation between bank credit and asset prices in China. If bank credit and asset prices deviate from their long-run equilibrium, the changes in bank credit and asset prices will affect bank credit and Asset prices have a positive impact. The lag of bank credit has an effect on the price of assets but not significant.