信贷错配和商业银行脆弱性特征下的金融加速器效应

基于我国经济现实,放松企业同质性(国有企业与民营企业)和"完美银行"的隐含假设,将国有、民营的"二元"信贷错配和商业银行脆弱性特征引入带有金融加速器效应的DNK-DSGE模型.模拟结果表明,随着金融市场约束条件的不同,金融加速器效应存在显著性差异.由于放松了"完美银行"假设,外界微小冲击通过企业资产负债表和银行资产负债表双重扩大(收缩)机制,使得金融加速器效应更加显著,又由于我国典型的国有企业与民营企业"二元"信贷错配的存在,造成了我国整体外部融资风险升水的杠杆率弹性被低估,对金融加速器效应又具有一定的冲抵效应.模拟结果还表明,信贷错配和商业银行脆弱性特征叠加的外部冲击影响程度存在差异,其货币政策对调控通货膨胀效果最好,对调控总产出效果欠佳.同时其外部冲击具有传递性和持续性,并且这种持续性会延长1～2个季度.本研究可为宏观调控决策提供理论依据.

The financial accelerator and macroeconomic effect under the characteristics of credit mismatch and commercial banks vulnerability

Based on the economic reality of China, relaxing the implicit hypothesis of firm homogeneity (state-owned and private enterprises) and "perfect bank", the state-owned and private "duality" credit mismatch and the vulnerability of commercial banks were introduced into the DNK-DSGE model with financial accelerator effect. The simulation results show that there are significant differences in the significance of the financial accelerator effect with different financial market constraints. Due to the relaxation of the "perfect bank" hypothesis, the financial accelerator effect is more significant by the double expansion (contraction) mechanism of the external shock through the balance sheet of the enterprise and the balance sheet of the bank. Moreover, due to the existence of the "duality" credit mismatch between the typical state-owned enterprises and private enterprises in China, the elasticity of leverage of the overall external financing risk premium in China is underestimated. It has a certain offset effect on the financial accelerator effect. The simulation results also show that there is a difference in the impact degree of external shocks that are superimposed on credit mismatch and the characteristics of commercial banks' vulnerability. Its monetary policy has the best effect on regulating inflation, and it has a poor effect on regulating total output. At the same time, its external impact is transitive and continuous, and this continuity will be extended for 1~2 quarters. This study can provide a theoretical basis for macro-control decisions.