统计研究 ›› 2009, Vol. 26 ›› Issue (7): 70-77.

• 论文 • 上一篇    下一篇

中国经济的利率敏感度分析 ——基于一个灵活的非线性模型的考察

罗毅丹 徐俊武   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2009-07-15 发布日期:2009-07-15

The Analysis of the Sensitivity of Interest Rate in China

  • Received:1900-01-01 Revised:1900-01-01 Online:2009-07-15 Published:2009-07-15

摘要: 为了更准确的研究中国经济的利率敏感度,本文引入一种新计量方法——灵活的非线性模型,在信贷需求的框架下,对中国实体经济与利率之间的关系进行考察。这种新方法具有高度的灵活性,它相对目前宏观实证领域流行的非线性模型而言减少了主观随意性,因此分析结论更为客观可靠。利用该模型分析发现:中国经济的利率敏感度表现出时变性,即当经济衰退或增长过快时,实体经济对利率是缺乏弹性的,而当经济增长速度适中时,实体经济对利率的弹性显著为负。

关键词: 信贷需求, 利率, 灵活的非线性模型, 利率敏感度

Abstract: In order to study the sensitivity of interest rate in China economy more accurately, this paper inspects the relationship of China’s real economy and interest rate in the framework of credit demand using a flexible nonlinear model. With the high flexible nonlinear model, which reduces subjective artificial set as to popular nonlinear model of current macroempirical field, the analysis result is more objective and reliable. From the analysis, we get the conclusion that the sensitivity of interest rate in China economy is time-varying. While economic grow is too low or too high, the real economy on interest rate is lack of flexibility, and while moderate economic growth rate, the flexibility is significantly negative.


 

Key words: credit demand, interest rate, flexible nonlinear model, the sensitivity of interest rate