银行信贷、经济周期及货币政策调控：1984-2011.pdf

1984-2011 C-2011-016 2011 12 2 1984-2011 Bank Credit, Business Cycles and Monetary Policy: 1984-2011 * Lianfa LI School of Economics, Peking University *100871010mail 0006168486@pku.edu.cn 1 1984-2011 Bank Credit, Business Cycles and Monetary Policy: 1984-2011 Svensson 19844 7 JEL E51, E52, G21, G01 Abstract: Credit expansion has become an important driving force of modern business cycle. Given the fact that loan losses after credit expansion is larger than loss estimates prior to the expansion, this paper builds an extended Svensson model, which incorporates endogenous credit expansion and business cycle features, to study the driving factors and macroeconomic implications of credit expansions. This paper finds that underestimated credit losses and low costs of equity cause credit expansion. It is found that, after the credit expansion, the inflation pressure lasts at least 7 quarters while the momentum of output growth disappears after about 4 quarters. Based on the simulation in the model which share same lag effects, it concludes that the change in credit aggregates could enhance macroeconomic stability if it is well led. The cointegration analysis shows that the reserve ratios are often high when credits are expanded. The central bank is suggested to keep leading the credit aggregates closely. Keywords: Credit; Bank; Monetary Policy; Inflation JEL classification: E51, E52, G21, G01