商业信用对信贷政策的抵消作用是反周期的吗_来自中国的证据

91200910()ChinaEconomicQuarterlyVol19,No11October,2009?3,,19982006284,PanelPanel,17.2%,,Panel,GMM2SYS,8.8%ROCPanel,,,,,3,;,,;,:,,100191;:010282339132;E2mail:[e-mail](:70502005)(:70825003),,,,,,(formalfinancingintermediary),,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9,(1),,,,(coincident),1(:%)181932243354302530251935802421252822346527:Worldscope,,,Meltzer(1960),,,Schwartz(1974),,,,;,,,,,(substitution),,,PetersenandRajan(1997),,,Nilsen(2002)(QFR)Compustat,,,,,,DanielsonandScott(2004),©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2004)MateutandMizen(2006)16000,,,,,GuarigliaandMateut(2006)(inventoryinvestment),19812000,,,,,,Love,PreveandSarria2Allende(2007)20906,,,,,,,,,,,Cull,XuandZhu(2009)19982003,,,,;;GeandQiu(2007)2000,,,,,,Cook(1999),,,(signal),,,,(supplementing),,,Ono(2001)AlphonseDucretandSverin(2006),,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()91,,Cull,XuandZhu(2009)GeandQiu(2007),:(1),,(19972006),Cull,XuandZhu(2009)19982003;GeandQiu(2007)19941999(2),,,,(3),,Cull,XuandZhu(2009)GeandQiu(2007)(4)Benishay(1968),Panel,,1,,(2004):,;;,,;Cull,XuandZhu(2009),,ER,BR;TPR,rRcR;rT,,I,I=0,I=1R=rRVR-cRBR-rTT,(1)'1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=ER+BR+T,,rf,:rf=r0+I=r0,I=0,r0+,I=1.(2),,,,r0;,,,r0,0,cR,rfR,R0:cR=rf+R.(3),rR,VR,rR(VR)0rR=R-RVR,(4)R0R,,(Cull,XuandZhu,2009),,,,,I,R=R-I=R,I=0,R-,I=1,(5),0,rT:rT=T-TT,(6):T=T-I=T,I=0,T-,I=1.(7)(2)(7)(1),R=R(ER+BR+T)-R(ER+BR+T)2-(rf+R)BR-(T-TT)T.(8),TR,RT,maxTR(9)RT©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()99R9T=2(T-R)T-2RBR+(R-T)-2RER.(10)T3=R(T-R)BR+2RER-(R-T)2(T-R).(11)TR(11),T3=R-I(T-R)BR+2RER-(R-T)2(T-R).(12)(11),,TR,,,,11,,,(12)TR,TR,(12),,R|T-R|R-|T-R|,,,22,(),,,,,,,,,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Nilsen,2002;DanielsonandScott,2004;GuarigliaandMateut,2006;Cull,XuandZhu,2009;GeandQiu,2007),,,,,;,,2,,,,3PanelBaltagi(2001)8,:,Panel;,2;,PanelHsiao(1986),Klevmarken(1989),Solon(1989)Baltagi(2001),,Panel,,:;;;,;,,,,Benishay(1968),,Panel,GMM2SYS3,,:,Panel,,,Panel,,,,:(1)Panel(1);(2)Panel(2);(3)Panel(3);(4)©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9Panel(4)(),RRAP,RR,AP,,,()(Cook,1999;Ono,2001;DanielsonandScott,2004),,,,,,STR,,50,100,2006,88%,80%4,4,,5,,,,,,,(MyersandMajluf,1984),,,5,GRANT:,5(),,GRNT0,;,1,,,,,,,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:TR,TE(2005)(1),(2007)(1),(2007)(2),:19972001,2002,20032006TR199720011,0;TE200320061,0,TRTESTR,STRSTRTRSTRTE,STR=STRTR+STRTE,STRTRSTRTE,PetersenandRajan(1997),,,,,STRCR22PR/STR/SIZECFO=/[(++)/365],,=+-PROFIT/VOL/VOLA/GROWTH(-)/STATE/DEBT/GRANT0;,1STRCR/©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9()19982006:(1),,(2)199820064(3),19982006()(4),,,53542006,535412,:,,,,,,,,,:894,685,502,608,3353Panel,(balancedsample),,5354,284199820069,2556,CCERSINOFIN©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()Panel,,,Panel(Hsiao,1986;Balt2agi,2001;,2006)Panel,,:(1)Panel?(2)?(3)STR?(4)?(1)(3),Baltagi(2001,53),(2006,305),(pooledregressionmodel)(period,andindividualmeancorrectedregressionmodels),STR(unrestrictedmodel),S1SiStSv,44S1SiStSv6.01032.12356.04002.0999(1)(3)Fm(m=i,t,v):Fm=(S1-Sm)/[(N-1)(K+1)]Sm/[N(T-K-1)]F[(N-1)(K+1);N(T-K-1)],(13)'1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()9N,K,T,:284,4,9,,4(STRPROFITDEBTGRANT)6,,4(13)Fm,m=i,t,vP,55(1)(3)FFiFtFvF1.4695-0.00391.4950P0.00000.0000FiFt,Panel;Fv,STR6,T-K-10(4),Hausmanspecificationtest(Baltagi,2001,65):H0:E(uit/Xit)=0;H1:E(uit/Xit)0:m4=Q4var(Q4)-1Q4,Q4=bGLS-bOLS,bGLSbOLS2KHausman,10(CR),EViews6.0,Hausman79.1965,18,P0.0000H0,66(OLS)FRH0:F=RPCFO-0.0022-0.00300.0058VOI0.0001-0.00010.0000VOLA0.00580.00670.0015GROWTH0.01150.01200.0110STATE-0.0049-0.00240.4086DEBT0.11610.12170.0001PROFIT-0.0389-0.05080.0001SIZE-0.0004-0.00080.1148GRANT0.02440.02590.0005STR21998-0.0949-0.10580.0000STR21999-0.1046-0.11520.0000STR22000-0.1057-0.11640.0000©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()FRH0:F=RPSTR22001-0.1106-0.12180.0000STR22002-0.0904-0.10240.0000STR22003-0.0908-0.10210.0000STR22004-0.079