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本文利用4家商业银行1992～2006年经济数据,根据协整理论和VAR模型等方法,从不同角度研究了我国大、中、小型商业银行信贷投资之间的动态关系,定量刻画了大、中型商业银行在小型商业银行信贷投资额波动中作用的大小。实证结果表明:大、中型商业银行与小型商业银行的信贷投资额之间具有长期均衡关系,且大、中型商业银行信贷投资的取向均是小型商业银行信贷投资取向的Granger原因,但大型商业银行之间的信贷传导力度比较微弱;大、中型商业银行信贷投资对小型商业银行投资波动的贡献度都表现出正向效应,相比而言,中型商业银行对小型商业银行信贷投资的传导力度要更大些。
Based on the economic data of four commercial banks from 1992 to 2006, this paper studies the dynamic relationship between credit investment of China’s large, medium and small commercial banks from different perspectives according to the cointegration theory and VAR model, and quantitatively depicts the relationship between large and medium-sized Commercial banks in small commercial bank credit investment fluctuations in the size of the role. The empirical results show that there is a long-term equilibrium relationship between the credit investment of large and medium-sized commercial banks and small commercial banks, and the orientation of credit investment of large and medium-sized commercial banks are all Granger causes of the credit orientation of small commercial banks. However, large commercial banks ; The credit investment of large and medium-sized commercial banks shows a positive effect on the contribution of small and medium-sized commercial banks to investment volatility; in contrast, the medium-sized commercial banks’ Larger.