【作者】 石晓军； 张顺明； 李杰；

【Author】 XIAOJUN SHI (Beihang University) SHUNMING ZHANG (Renmin University of China) JIE LI (Beihang University)

【机构】 北京航空航天大学经济管理学院； 中国财政金融政策研究中心； 中国人民大学财政金融学院；

【摘要】 本文的主要目的是研究在中国背景下,商业信用作为一种重要的"体外循环"对商业银行正式融资渠道中的信贷政策是否具有抵消作用,该作用的程度在不同经济周期中的变化规律是什么。以1998—2006年284家上市公司为样本,我们分别估计了随机效应Panel模型和时变系数随机效应Panel模型,得到样本期内商业信用对信贷政策的抵消作用大约为17.2%,而抵消作用的程度具有同步性反经济周期规律。我们还特别考虑了商业信用的时滞性特征的影响,建立了一阶动态Panel模型,GMM-SYS估计结果表明,时滞性效应显著。控制了时滞性效应后的抵消作用大约为8.8%。我们采用了ROC方法和含有经济周期指示变量交叉项的动态Panel模型,严格地验证了抵消作用程度确实是反周期的。基于行业分类的稳健性分析同样也验证了抵消作用的存在及抵消作用程度的反周期性。更多还原

【Abstract】 This paper seeks to find empirical evidence of trade credits’ offsetting effects on bank credits in China,and to describe the behavior of this effect through contracting and expanding business cycles.Using a panel dataset of 284 China’s listed companies covering the period 1998 to 2006,we estimate random-effect panel models with time-invariant and time-varying coefficients.Estimation results show that the average substitution ratio between trade credits and bank loans is about 17.2%,which provides supporting evidence for the offsetting effect.However,this effect decreases to 8.8%in the dynamic panel model that is purposefully designed to incorporate the lagged effect of trade credits.Furthermore,we find solid evidence on the counter-cyclic behavior of the offsetting effect by applying a ROC test and estimating another dynamic panel model with cross-terms of business cycle indicators.Robustness analysis based on different industrial sub-samples also provides supporting evidence for the offsetting effect and its counter cyclic behavior.更多还原