我国 GDP、CPI 对社会融资规模的影响研究--基于 VAR 模型的实证分析

摘要

In 2011,Chinese financial macro -control system introduces social financing scale,which is then used as the intermediate target of Chinese monetary policies as well as a new monitoring analysis index.Based on previous theoretical studies,we constructe a VAR model with data concerning social financing scale (SFS),GDP and CPI,ranging from the first quarter in 2002 to the third quar-ter in 2014.By co -integration test analysis,Granger causality test,impulse response function and variance decompose analysis,we examine the impact of GDP and CPI on social financing scale for empirical research.The results suggest that SFS is positively related with GDP,while negatively related with CPI.In addition,a long -term equilibrium relationship among these three factors does exist, which indicates that it is reasonable to set SFS as the intermediate target of monetary policies.%2011年中国金融宏观调控引入了一个新的监测分析指标———社会融资规模，并将其作为我国货币政策的中间目标。在理论综述的基础上，选取2002年第一季度至2014年第三季度的社会融资规模（SFS）、国内生产总值（GDP）和居民消费价格指数（CPI）数据，建立 VAR 模型，通过协整检验、格兰杰因果检验分析、脉冲响应函数分析和方差分解分析的方法对我国 GDP、CPI 对社会融资规模的影响进行实证分析。结果表明，国内生产总值对社会融资规模有一定的正向作用，而居民消费价格指数对社会融资规模有显著的负向作用，三者之间存在长期均衡关系。