信贷周期与跨境贸易的互动关系研究——基于PVAR模型

Research on the Interaction Relationship between Credit Cycle and Cross-Border Trade—Based on the PVAR Model

摘要: 本文基于2004年第1季度至2024年第4季度15个国家和地区的季度面板数据，通过主成分分析构建信贷因子和货币政策因子，运用PVAR模型，系统考察信贷因子、货币政策因子与跨境贸易之间的动态传导机制。研究结果表明，三者之间并非简单的单向因果关系，而是构成了一个高度内生、相互反馈的动态系统。脉冲响应分析显示，货币政策因子对信贷扩张和跨境贸易具有显著的中长期影响，而跨境贸易和信贷波动在一定程度上对货币政策取向形成反向约束；信贷因子与跨境贸易之间则呈现出明显的动态联动特征。方差分解结果进一步表明，各变量短期波动主要由自身因素驱动，但在中长期，跨境贸易对货币政策因子的解释力逐步增强，信贷因子对跨境贸易的影响亦随时间推移有所上升。本文的研究结论为从系统视角理解全球金融周期背景下信贷、货币政策与跨境贸易的共振机制提供了经验证据，并为完善宏观调控框架、加强跨境贸易管理与金融稳定政策协调提供了有益启示。

Abstract: This study is based on quarterly panel data from 15 countries and regions from the first quarter of 2004 to the fourth quarter of 2024. Through principal component analysis, credit factors and monetary policy factors are constructed. Using the PVAR model, the dynamic transmission mechanism between credit factors, monetary policy factors and cross-border trade is systematically examined. The research results show that there is not a simple one-way causal relationship among the three, but they form a highly endogenous and mutually feedback dynamic system. The impulse response analysis indicates that the monetary policy factor has a significant medium- and long-term impact on credit expansion and cross-border trade, while cross-border trade and credit fluctuations have a certain degree of reverse constraint on the monetary policy orientation; the credit factor and cross-border trade present a clear dynamic linkage feature. The variance decomposition results further indicate that the short-term fluctuations of each variable are mainly driven by its own factors, but in the medium and long term, the explanatory power of cross-border trade on the monetary policy factor gradually increases, and the influence of the credit factor on cross-border trade also increases over time. The research conclusions of this study provide empirical evidence for understanding the resonance mechanism of credit, monetary policy and cross-border trade from a systemic perspective in the context of the global financial cycle, and offer useful insights for improving the macro-control framework, strengthening cross-border trade management and coordinating financial stability policies.