| 我国保险市场与信贷市场作用关系的动态分析——基于bootstrap仿真的实证分析 |
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| 引用本文：贺磊，王雄.我国保险市场与信贷市场作用关系的动态分析——基于bootstrap仿真的实证分析[J].湖南大学学报社会科学版,2014,(1):84-89 |
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| 中文摘要:分别从财产保险市场和人身保险市场与信贷市场的Granger因果关系及累积作用两个方面研究了我国保险市场与信贷市场之间相互作用关系的动态变化。为克服传统Granger因果检验在小样本情形下所面临的精度问题，采用基于bootstrap仿真的Wald检验、似然比检验、Lagrange数乘检验对1985~2011年财产保险市场和人身保险市场与信贷保险市场分别在全样本和滚动窗口所选子样本情形下进行Granger因果检验，并对两大保险市场与信贷市场之间相互累积作用进行bootstrap模拟估计，结论表明我国财产保险市场和人身保险市场与信贷市场存在相互作用关系且随着保险市场的发展发生了结构性变化，其中财产保险市场与信贷市场存在互补关系而人身保险市场与其存在竞争关系。 |
| 中文关键词:保险市场 信贷市场 动态分析 |
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| Dynamic Analysis of the Role Relationship between Insurance and the Credit Market in China based on the Bootstrap Simulation |
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| Abstract:Test the Granger causality of between property insurance market and credit market and the Granger causality between life insurance market and credit market respectively to study the role relationship between insurance market and credit market deeply. In order to avoid the problem that the methods of testing the Granger causality often face inaccuracy in situation of small sample, Wald test Likelihood ratio test, and Lagrange number multiplied based on the bootstrap simulation will be used to test the relationship between property insurance market and credit market and relationship between life insurance market and credit market in situations of full sample and sub-sample by rolling window at period from 1985 to 2011, furthermore to estimate the cumulative effect between the insurance market and credit market by bootstrap simulation. The results show that there are relationship between two insurance markets, and the relationship varied with development of insurance market, where there are complementary effect and competitive effect between property insurance market and credit market and life insurance market and credit market respectively. |
| keywords:insurance market credit market dynamic analysis |
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