摘要
本文通过构建一个同时包含双重金融摩擦和宏观审慎政策的新凯恩斯DSGE模型,考察贷款价值比和资本充足率两种宏观审慎政策工具的逆周期调控机制,以及双重金融摩擦对这两种宏观审慎工具政策效果的影响。结果发现,包含双重金融摩擦因素的模型能够较好地刻画中国经济波动特征,尤其能较好地捕捉产出、消费与投资之间联动关系。贷款价值比工具和资本充足率工具均能够调控宏观经济。前者对于实体经济逆周期调控效果更明显,而后者对信贷市场逆周期调控效果更显著。需求端金融摩擦和供给端金融摩擦均会对贷款价值比和资本充足率工具的政策效果产生影响。在需求端金融摩擦情形下,贷款价值比工具的经济稳定效应更明显;而在供给端金融摩擦情形下,资本充足率工具的逆周期调控效果更显著。基于此,本文认为,政府应重视双重金融摩擦对不同宏观审慎政策工具的差异性影响,针对不同金融摩擦类型和摩擦大小,合理搭配使用贷款价值比和资本充足率这两种政策工具。
After the 2008 international financial crisis,governments around the world have included financial stability in their policy goals,together with the emergence of macro-prudential policies.Counter-cyclical macro-prudential policies can effectively slow down the fluctuations of the real economy and financial markets,but the policy effects will be affected by financial market frictions.The purpose of this study is to analyze the impact of dual financial friction factors on the economic stability effects of macro-prudential policies.By incorporating financial friction of the credit supply-side and macro-prudential policies into the financial accelerator theoretical framework of Bernanke et al.(1999),this article constructs a theoretical model containing both dual financial frictions and macro-prudential policies,and studies the counter-cyclical regulation mechanism of two macro-prudential policy tools,loan-to-value ratio and capital adequacy ratio,and then focuses on the impact of dual financial friction factors on the effects of these two types of macro-prudential policies.The results show that:firstly,the model with dual financial friction factors can better depict the characteristics of China’s economic fluctuation,especially capture the linkage relationship among output,consumption and investment.Secondly,both loan-to-value ratio instrument and capital adequacy ratio instrument can regulate the macro-economy,among which the former has a more obvious effect on the counter-cyclical regulation of real economy variables,while the latter has a more significant effect on the credit market variables.Thirdly,both financial frictions have an impact on the policy effects of loan-to-value ratio and capital adequacy ratio instruments.In the case of demand-side financial friction,the policy effect of loan-to-value ratio instrument is more obvious,while the capital adequacy ratio instrument has more significant effect in the case of supply-side financial friction.Based on this,this paper suggests that the government should k
作者
戴华娟
陈乐一
王超
Dai Huajuan;Chen Leyi;Wang Chao(School of Economics and Trade,Hunan University)
出处
《国际金融研究》
CSSCI
北大核心
2021年第9期14-24,共11页
Studies of International Finance
基金
国家社会科学基金一般项目“近代中国物价周期波动史研究(1867—1937)”(18BJY172)资助。
