An Empirical Study On The Impact Of Credit Term Structure To The Macroeconomic

2008, the impact of the outbreak of the international financial crisis on China was not small. In order to maintain stable economic growth, the government issued of large number of loans, GDP growth rate remained at8.7%in2009. However, the CPI rose to5.4%in2010. To keep the balance between growth and stable prices in the process of credit issued, we need to understand the impact mechanism of credit to the macroeconomic.Through combing the literature, there are many papers about study on the impact of credit to economic growth and price levels, at the same time there is a trend to the credit classification to study the impact of macroeconomic. Those papers are based on the following points:1. Domestic literature already exist the credit issued in accordance with the different corporate ownership, issued in accordance with the different regions as well as flows to the different departments;2. Credit in most foreign literature are classified in accordance with the holders. For example, the credit is divided into residential loans and corporate loans, but resident credit underdeveloped in China, so this classification is not realistic in the country;3. Domestic literatures have this study about credit to the term structure classification to affect macroeconomic, but none overall as the object empirical research, the above is research background and significance of this article.Before empirical analysis, we need some theories, the first is to analyze the effectiveness of the credit transmission, and the second is to analyze theoretical relationship about the effect of different maturities credit for economic growth and price level.Empirical analysis is divided into descriptive statistical analysis and modeling to establish. Descriptive statistical analysis can depicts the relationship between the variables intuitively. In this paper, the model is Factor-augmented vector auto regression model (FAVAR). Concrete steps to establish model are as follow:1. Extract the principal component of the macroeconomic variables and exclude correlation with major study variables.2. Establish the VAR model with the principal component and the main variables of the study.3. Impulse response analysis and variance decomposition of macroeconomic variables.Following conclusions in the comparative analysis of the model are as follow:1) Short-term loans and long-term loans have a positive impact to GDP and CPI, either in the short-term or long-term, in fact which is a realistic portrayal of the domestic.2) The degree of the correlation of short-term loans and macroeconomic and the impact of short-term loans to macroeconomic are weaker than the degree of the correlation of medium and long-term loans and macroeconomic and the impact of medium and long-term loans to macroeconomic.3) The impact of the credit for economic growth is stronger than the impact of the credit on the price level4) The macroeconomic impact of short-term credit is almost non-existent in the long term. The duration of medium and long-term loans to macroeconomic is relatively long. And more, the effects of medium and long-term loans to macroeconomic were different in the short-term and long-term.Finally, on this basis, given recommendations for short-term loans and long-term loans, in order to weaken the imbalance effects of the credit on economic growth and price level.The paper highlights:Chapters good convergence, clear logical structure, introducing into the FAVAR model to solve the defects of the VAR model processing variables less, building four models to clarify the effects of the credit term structure to macroeconomic variables.