Study On Characteristics Of Credit Fluctuation And The Relationship With Output In China

Chinese financial system is“bank-based”, credit market is the main channel of capital sources for enterprises, credit amount is an important indicator for macroencomy dynamics. If aggregated credit or the credit structure is irrational, it will not only have adverse impact on the lasting of credit allocation, but also may lead to disequilibrium of resource allocation or imbalance in industry structure. Therefore, studying on the characteristics of credit fluctuations and the impacts on macroeconomy is a hot topic in both theoretical and practical fields. Under the background of financial crisis occurred in 2008, this paper studies on credit fluctuation and its relationship with output in China, which includes: first, the characteristics of aggregate credit fluctuations, analyzing the equilibrium of credit market; second, structure characteristics of credit allocation in China; third, the impacts of credit fluctuations on real economy; as the relationship between credit and economic output is not strong, this paper argues that one possible reason is that credit funds flow into stock markets, and thus evaluate the size of credit funds that flows into stock market.The main research work and conclusions are in the following:1. Using disequilibrium method to analyze the equilibrium of credit market.In order to study the equilibrium of demand and supply in the credit market, and find the reasons that result in mismatch, according to“short-side rule”, this paper adopts maximum likelihood method to estimate parameters of disequilibrium model, using both quarterly data and monthly data. Empirical studies show: (1) there are 32 quarters that credit supply is less than credit demand, and 15 quarters that credit supply is larger than credit demand. Precisely speaking, the Chinese credit market can be divided into four phrases, in year 1997-2001 and 2005-2007, credit supply is seriously smaller than credit demand; while credit supply is smaller than credit demand in 2002-2004 and since the third quarter of 2008 in the credit market, the proportion of credit excess supply is about 18.37% in the first quarter of 2009; (2) Bank lending ability is a significant factor that can affect credit supply, the higher the bank lending ability, the more the credit supply. Credit supply in 2009 is far over the banks'lending capacity. (3)As for credit structure, enterprise department embodies more credit disequilibrium, while credit disequilibrium proportion is fluctuated between -10% and 10%.2. Using panel data and taking the structural break in credit market brought by financial crises into account, I get the threshold value endogenously, and use panel error correction model to analyze the regional and industrial allocation of credit funds. The conclusions are as follows: (1) there is structural break because of financial crisis, and the financial crisis shock is earlier than the reflection time of the society, the impact has“Ripple Effect”, the impact transmits from the east to other areas; (2) the positive impact of stock market on credit amount after financial crisis is bigger, before the crisis, the interest rate has positive impact on credit amount, while the impact is negative after the crisis; (3) no matter in the long run or in the short term, the stock market index and interest rate have relatively larger impact on east and west regions, and the impacts are relatively smaller in the middle and north east region. The impacts of real economy on east and north east regions are not significant, while the impacts on middle and west regions are significantly positive; (4) there is structural break because of financial crisis, before the crisis the impact of stock market on credit market is negative, while the impact is positive after the crisis; the real economy is negatively related to credit amount before crisis, while is positively related to credit amount after financial crisis; interest rate has positive effect on credit amount; (5) finance industry has significant negative deviation from the equilibrium, the deviation of traffic and storage industry credit amount becomes positive deviation after the crisis, and the deviation is increasing.3. The impacts of credit fluctuation on real economy, which includes three aspects: first, establish a simplified credit model taking into account output, and use panel data to conduct empirical analysis on the relationship between increased credit volatility and output volatility. Empirical results show that: (1) in the long run, the impact of new increased credit volatility and interest rate on the real output of industry volatility are positive, which is consistent with the theoretical model, and there are greater impacts of new increased credit volatility and interest rate on the real output of industry in the Middle and Northeast areas; (2) Except the Northeast, the impact of changes in one period lag output of industry volatility on the current changes in output of industry volatility is positive in the short term, on the whole, the persistence period of the shock of credit on real output of industry is approximate 2.5 years; second, based on the double deviations phenomena of rapid increase of money and credit while the economic growth is slow, CPI downward with substantially increase in the stock market in the first half of 2009, this paper argues one possible reason is that credit fund flows into stock market. Using department (household and enterprise department) and term (short term and medium-and-long term) loan data and Shanghai Stock Exchange data to carry out empirical analysis, the results show: first, from the department loan data, household consumption loan, enterprise paper financing and enterprise medium-and-long loans flow into the stock market; from the term loan data, mainly the medium-and-long loans flow into the stock market; second, the size of loans flow into stock market is estimated about 195.4 billion CNY in the first half of 2009, and the size of loans flow into stock market is estimated about 280-330 billion CNY in 2009. Finally, comparatively analyze the impact of credit on real economic output under bank-based and market-based financial systems. Empirical results show: (1) credit and stock price have positive effect on output under bank-based financial system and market-based financial system, the positive effect of credit on output is bigger in bank-based financial system than in market-based financial system, while the positive effect of stock price is larger in market-based financial system than in bank-based financial system; (2) when the economy is in disequilibrium, the speed of output deviations return to equilibrium state under the market-based financial system is faster than under the bank-based financial system.