中国和美国信贷冲击跨境溢出效应的比较研究

本文构建了基于符号约束识别的GVAR模型,并用以考察中国和美国的信贷市场冲击对全球41个国家的不同溢出效应.研究结果表明,中国紧缩性信贷市场冲击对本国实体经济有显著的负效应,但仅限于短中期;而美国信贷冲击对本国乃至全球经济都具有相当大且持久的负影响.中国信贷冲击的跨国效应较小,且主要通过贸易渠道.中国信贷市场的本国冲击能解释中国产出近10%的波动,但无论是本国效应还是跨境传导,总需求冲击仍是驱动中国经济周期波动的最主要力量.

Comparative studies on the spillover effects of credit market shocks between China and the US

We investigate the global spillover effects of identified credit market shocks from China and the US by employing a structural GVAR model with sign restrictions. We find that the tighten credit market shocks from China have a significantly negative spillover effect on domestic output, but only in short term. However, the tighten credit market shocks from the US have a significantly negative effect on domestic output, and strong and persistent effects on the GDP in other countries. We also find that spillover effects of the credit market shocks from China on the GDP in other countries are small and transmitted only through the trade channel. The credit market shocks from China explain about 10% of output fluctuations in China, suggesting that the aggregate demand shocks are still the most important driving force for China's business cycle.