金融信贷渠道如何影响利率下调的政策效应? ———基于混频数据模型的经济周期阶段划分 .

In the first half of 2022, China issued a package of policies to stabilize the economy, which proposed to expand credit supply and promote the steady decline of real loan interest rates. However, at the beginning of COVID-19, the policy of interest rate reduction in major economies such as the US and Britain failed to effectively stimulate economic recovery, even led to increased pressure on economic stagflation risk and the rising of asset prices, which should be taken as a warning by China. This paper uses data from Wind database, the Peoples's Bank of China and CIEnet statistics database. It constructs a mixed-frequency and markov-switching dynamic factor(MF-MS-DFM)model to measure the business cycle of China's economy, then examines the impact of interest rate cuts on macroeconomic and asset prices and the role of financial credit channel during different periods of economic cycle by constructing a counterfactual structural vector auto-regressive(CSVAR)model. The results show that during the economic expansion period, the interest rate reduction will accelerate the expansion of financial credit, and the financial credit channel can amplify the stimulating effect of the interest rate reduction on the macro-economy, but during the economic contraction period, the interest rate reduction will slow down the expansion of financial credit, and the financial credit channel will weaken the boosting effect of the interest rate reduction on the macroeconomy. During the period of economic expansion, the financial credit channel will magnify the devaluation effect of interest rate reduction on RMB, strengthen the role of interest rate reduction in pushing up house prices and stock prices, and mitigate the rise in bond prices caused by interest rate reduction. This paper proves that 1)the financial credit channel is an important factor in the effect of interest rate reduction on macroeconomic boost, and financial credit channel in the economic contraction period may cause the interest rate reduction to be unable to effectively stimulate the economic recovery; 2)during the economic expansion period, the housing price and the stock price rise after the interest rate reduction exist credit driven factor. Compared with the existing literature of the same kind, this paper makes the following three extensions: first, this paper takes into account the pro-cyclical nature of financial credit in the empirical research design. To accomplish this objective, it conducts a regional study on the sample data in the economic expansion period and the economic contraction period to make the research results more accurate and targeted. Secondly, in the view of data which are applicated, a single frequency of data is not used, but mixed frequency data is used to measure the economic cycle and construct macroeconomic indicators, retaining complete data information to make the measurement results of the economic cycle and the measurement of macroeconomic development level more reliable; Thirdly, in the view of model methodology, a counterfactual approach was used to strip away the impact of financial credit channel interference in the policy effect of interest rate cuts. By comparing the estimated results of benchmark models, the role of financial credit channel in the transmission mechanism of interest rate cuts can be accurately and intuitively demonstrated. The research in this article proves that financial credit channel is an important reason for the differences in the effects of interest rate reduction policies in different economic cycle stages. It provides references for the central bank to pay attention to the direction of interest rate policy formulation in different economic cycle stages, helps the central bank process interest rate policies more finely, and guides the central bank to enhance the macroeconomic boosting effect of interest rate reduction through financial credit management. [ABSTRACT FROM AUTHOR]