【作者】 杨博；

【导师】 李晶；

【作者基本信息】 东北财经大学 ， 国民经济学， 2017， 硕士

【摘要】 近二十年来,我国经济和社会结构、金融环境产生了巨大的变动,个人消费习惯和观念也明显改变,中国人民银行所公布的银行信贷余额总量,除了代表各个银行所承担的贷款业务量外,银行信贷余额总量这一数字背后所隐含的经济意义是什么?是否代表经济形势的好转?什么因素造成了银行信贷余额总量的变化?通过分析总体经济活动的变化,能否解释银行信贷余额总量激增的原因,并对银行信贷余额不合理激增现象有所警惕?因此,本文以消费者贷款余额为例,探讨其与总体经济活动之间的相互关系,分析总体经济活动中哪些因素是引起消费者贷款余额变化的主要因素。本文利用我国上海市及浙江省1998年7月至2015年6月份的月度数据,样本容量为204,使用这些数据实证研究消费者贷款余额与以货币供给额、利率、物价指数、股价指数、人均收入及失业率为代表的总体经济活动之间的关系。首先使用单位根检验方法检验各个变量是否平稳,然后进行Granger因果关系检验,并使用脉冲响应函数,分析变量遇到外来冲击时,各个总体经济变量对消费者贷款余额的影响以及彼此之间的冲击反应。通过协整检验、误差修正模型研究消费者贷款余额与各个总体经济因素之间的长期均衡关系与短期互动分析,实证分析后得到以下结论:(1)因果关系结果表明:物价具有领先消费者贷款余额的关系,因此可使用物价指数预测消费者贷款余额的变化,而消费者贷款余额对物价也具有反向作用。此外,消费者贷款余额也单向影响股价指数变化。消费者贷款余额与货币供给额、人均收入、利率、失业率相互独立。最后,货币供给额与物价、失业率与物价、失业率与贷币供给额之间具有的因果关系,彼此可以相互预测。(2)方差分解与脉冲响应分析结果表明:当消费者贷款余额发生变化时,对其他变量的影响,由方差分解来看,消费者贷款余额的外生性强,其被物价变量所解释时,其解释力相对最佳。此与Granger因果关系检验结论相符。在脉冲响应函数方面,其中物价和股价指数是模型中最重要的两个变量,消费者贷款余额对物价影响在第二期、第三期冲击达到最大,然后至第12期后影响逐渐消失,其中短期对物价影响是正向,而对长期的物价影响是负向。其次,消费者贷款余额对股价指数影响在第二期时冲击最大,消费者贷款余额对股价指数影响长期多为正向关系。(3)协整检验结果表明:消费者贷款余额与总体经济因素之间存在长期均衡关系,从长期来看,消费者贷款余额会受到人均收入、股价指数及失业率的影响并呈同方向变动;物价、货币供给额及利率的影响则为反向变动关系。(4)误差修正模型结果表明:消费者贷款余额在短期动态调整会受前二期物价影响较为显著。前一期货币供给额、失业率与前一、二期人均收入与利率对物价产生的影响较显著。货币供给额则受前二期物价影响较显著。人均收入受前二期物价及利率及前一期失业率影响效果显著。另外,股价指数受前一期消费者贷款余额及利率影响显著。利率则受前一期物价影响显著。而失业率受前一、二期物价及前二期货币供给额和前一期人均收入影响效果最为明显。更多还原

【Abstract】 Over the past two decades,China’s economic and social structure,the financial environment has undergone tremendous changes,personal consumption habits and concepts have changed significantly,the People’s Bank of China announced the total amount of bank credit balance,in addition to representing the bank’s loan business What is the economic significance implied by the total amount of bank credit balances?Does it represent the improvement of the economic situation?What factors have contributed to changes in the total amount of bank credit balances?How to understand the overall balance of bank credit through the overall economic activity is due to excessive competition and produce unreasonable surge phenomenon,and then be vigilant?Therefore,this paper,based on the balance of consumer loans,to explore its relationship with the overall economic activities,analysis of the overall economic activity which is caused by changes in consumer loans to increase or decrease the main factors.This research investigates the relationship of macroeconomic activity and consumer loans.Monthly data are collected from 1998.07 to 2015.06,totaling of 204 observations.The macroeconomic variables considered in this paper include consumer price index,loan rate,money supply,stock index,rate of unemployment and personal income,all of which are adopted to analyze the impact of the macroeconomic condition on the consumer loans.This research firstly tested stationary by unit root test.Granger causality test is used to investigate the lead-lag position among variables,Variance Decomposition(VDC)and Impulse Response Function(IRF)are also employed for testing the impulses caused by shocks of each variable and the relative exogenous among variables,and the Cointegration test used to analyze the long-run equilibrium relationship and further apply Vector Error Correction Model(VECM)to examine the short-run dynamic relationship among variables considered.After we take above steps we can find the results as follows:Firstly,consumer price index seriously leads the consumer loans,and is useful while predicting the consumer loans.The consumer loans have feedback relationship with consumer price index,and only have one-way connection with stock index.Secondly,when the impulses caused by shocks of each variable,consumer loans are mainly explained by consumer price index,although it have strong exogenous and the explaining power are more on themselves through Variance Decomposition.From the viewpoint of the Impulse Response Function,the consumer price index mostly impact consumer loans with negatively fluctuate.Moreover,it also shows us a positive impact to stock index.Finally,between consumer loans and macroeconomic factors there is a long-run equilibrium relation.Under long-run equilibrium relationship,consumer loans are affected by personal income,stock index and rate of unemployment where exists a co-movement condition,Moreover,consumer price index and money supply and loan rate apparently has negative effect on the consumer loans,the short-run dynamic findings show that the consumer loans is tend to be obviously influenced by earlier two stage consumer price index.更多还原