企业风险、影子银行与利率市场化改革路径——基于DSGE模型的分析
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摘要
近年来,我国利率市场化进程积极推进,但企业融资对利率不敏感、利率传导机制不畅、信贷规模管控等问题使得利率对资金的配置作用难以有效发挥,导致我国金融体系商业银行和影子银行共存。在此背景下,本文构建了包含异质性企业和影子银行的多部门新凯恩斯动态随机一般均衡模型(DSGE),并运用福利分析和脉冲响应分析研究了利率市场化对不同经济主体的影响,以及未来利率市场化改革的路径。研究发现:利率市场化改革能够给家庭、低风险企业和商业银行带来福利改善,而对高风险企业和影子银行则会造成福利损失;相较于价格单行改革模式以及数量单行改革模式,同步协调推进模式所带来的社会总福利增加最多;利率市场化能够进一步增强货币政策传导的有效性。基于此,未来的利率市场化改革,一方面应积极培育市场认可的政策利率,并在政策利率与市场基准利率之间建立更紧密的联系;另一方面,要更明确地向商业银行发出将取消存贷款基准利率的信号,实现从政策利率向市场利率的靠拢并入。此外,还应逐步取消MPA考核中旨在落实数量调控目标的部分内容,并进一步完善金融市场建设。
In recent years, the process of interest rate marketization in China has been actively promoted, but the problems such as the insensitivity of enterprise financing to interest rate, the poor transmission mechanism of interest rate, the control of credit scale and so on, make it difficult to give full play to the role of interest rate in the allocation of funds. It leads to the coexistence of commercial banks and shadow banks in China's financial system. In this paper, we construct a New-Keynesian Dynamic Stochastic General Equilibrium model which includes heterogeneous manufacturers and shadow banks. Then we use welfare analysis and impulse response analysis to study the impacts of interest rate liberalization on the welfare of different economic entities and the reform path of interest rate liberalization. The results show that interest rate liberalization can improve the welfare of the residents, low-risk enterprises and commercial banks while bring about welfare loss to high-risk enterprises and shadow banks. It also shows that compared to price-only patterns or quantity-only patterns, the coordinated pattern on both price and quantity can improve the total welfare. And interest rate liberalization can enhance the effectiveness of monetary policy transmission. The results also provide useful insights that the next step in the reform of interest rates liberalization should, on one hand, cultivate market-approved policy interest rates and establish closer links between policy interest rates and market benchmark interest rates, on the other hand, send a clear signal to commercial banks that the benchmark deposit and loan rates will be canceled to achieve the convergence of policy interest rates to market interest rates. Moreover, it makes a strong case for removal of quantity controls such as credits quota and improving the construction of financial market.
In recent years, the process of interest rate marketization in China has been actively promoted, but the problems such as the insensitivity of enterprise financing to interest rate, the poor transmission mechanism of interest rate, the control of credit scale and so on, make it difficult to give full play to the role of interest rate in the allocation of funds. It leads to the coexistence of commercial banks and shadow banks in China's financial system. In this paper, we construct a New-Keynesian Dynamic Stochastic General Equilibrium model which includes heterogeneous manufacturers and shadow banks. Then we use welfare analysis and impulse response analysis to study the impacts of interest rate liberalization on the welfare of different economic entities and the reform path of interest rate liberalization. The results show that interest rate liberalization can improve the welfare of the residents, low-risk enterprises and commercial banks while bring about welfare loss to high-risk enterprises and shadow banks. It also shows that compared to price-only patterns or quantity-only patterns, the coordinated pattern on both price and quantity can improve the total welfare. And interest rate liberalization can enhance the effectiveness of monetary policy transmission. The results also provide useful insights that the next step in the reform of interest rates liberalization should, on one hand, cultivate market-approved policy interest rates and establish closer links between policy interest rates and market benchmark interest rates, on the other hand, send a clear signal to commercial banks that the benchmark deposit and loan rates will be canceled to achieve the convergence of policy interest rates to market interest rates. Moreover, it makes a strong case for removal of quantity controls such as credits quota and improving the construction of financial market.
引文
1.巴曙松、华中炜和朱元倩,利率市场化的国际比较:路径、绩效与市场结构,华中师范大学学报(人文社会科学版),2012年第5期,33-46。
2.黄金老,利率市场化与商业银行风险控制,经济研究,2001年第1期,19-28。
3.黄树青和孙璐璐,存款利率市场化进程中商业银行定价策略的动态选择,上海金融,2014年第5期,34-39。
4.纪洋、谭语嫣和黄益平,金融双轨制与利率市场化,经济研究,2016年第6期,45-57。
5.纪洋、徐建炜和张斌,利率市场化的影响、风险与时机--基于利率双轨制模型的讨论,经济研究,2015年第1期,38-51。
6.金玲玲、朱元倩和巴曙松,利率市场化对商业银行影响的国际经验及启示,农村金融研究,2012年第1期,53-57。
7.金中夏、洪浩和李宏瑾,利率市场化对货币政策有效性和经济结构调整的影响,经济研究,2013年第4期,69-82。
8.雷辉,我国资本存量测算及投资效率的研究,经济学家,2009年第6期,75-83。
9.连平和陈鹄飞,利率市场化的宏观经济效应研究,金融监管研究,2014年第3期,6-28。
10.梁斯,利率市场化背景下的货币政策利率传导机制研究,金融监管研究,2018年第7期,82-92。
11.刘斌,动态随机一般均衡模型及其应用,中国金融出版社,2010年。
12.马骏和管涛,利率市场化与货币政策框架转型,中国金融出版社,2018年。
13.彭建刚、王舒军和关天宇,利率市场化导致商业银行利差缩窄吗?--来自中国银行业的经验证据,金融研究,2016年第7期,48-63。
14.王道平,利率市场化、存款保险制度与系统性银行危机防范,金融研究,2016年第1期,50-65。
15.张琰涛和王溪岚,利率市场化改革与关键政策利率的选择--基于国际经验及两区制阙值误差修正模型的分析,金融监管研究,2019年第2期,16-28。
16.Abiad,A.,E.Detragiache,and T.Tressel,A New Database of Financial Reforms,IMF Staff Papers,2010,Vol.57,281-302.
17.Bernanke B.S,M.Gertler and S.Gilchrist,The Financial Accelerator in A Quantitative Business Cycle Framework,in Handbook of Macroeconomics,Edited by J.B.Tylor and M.Woodford,North Holland,1999,Vol.1,1341-1393.
18.Calvo,G.,Staggered Prices in a Utility-maximizing Framework,Journal of Monetary Economics,1983,Vol.12,383-398.
19.Chen,Q.,M.Funke,and M.Paetz,Market and Non-Market Monetary Policy Tools in a Calibrated DSGEModel for Mainland China,BOFIT Discussion Papers,2012,No.16.
20.Chirwa,E.,M.Mlachila,,Financial Reforms and Interest Rate Spreads in the Commercial Banking System in Malawi,IMF Staff Papers,2004,Vol.51,96-122.
21.Christiano,L.,M.Trabandt,and K.Walentin,DSGE Models for Monetary Policy Analysis,Handbook of Monetary Economics,2010,285-367.
22.Ehlers,T.,S.Kong,and F.Zhu,Mapping Shadow Banking in China:Structure and Dynamics,BISWorking Papers,2018,No.701.
23.Funke,M.,and M.Paetz,Financial System Reforms and China's Monetary Policy Framework:A DSGE-Based Assessment of Initiatives and Proposals,BOFIT Discussion Papers,2012,No.30.
24.Funke,M.,P.Mihaylovski,and H.Zhu,Monetary Policy Transmission in China:A DSGE Model with Parallel Shadow Banking and Interest Rate Control,HKIMR Working Paper,2015,No.12.
25.Gerali A.,F.Lorenzo,P.Massimiliano,The macroeconomics of Fiscal Consolidations in Euro Area Countries,Journal of Economic Dynamics and Control,2010,Vol.34,1791-1812.
26.Hasan,I.,P.Wachtel,and M.Zhou,Institutional Development,Financial Deepening and Economic Growth:Evidence from China,Journal of Banking and Finance,2009,Vol.33,157-170.
27.Leonardo G.,M.Federico,Should Monetary Policy Lean Against the Wind?:An Analysis based on ADSGE Model with Banking,Journal of Economic Dynamics and Control,2014,Vol.43,146-174.
28.López-Espinosa,G.,A.Moreno,F.Gracia,Banks Net Interest Margin in the 2000s:A Macro-Accounting International Perspective,Journal of International Money and Finance,2011,Vol.30,1214-1233.
29.Lynch,D.,Measuring Financial Sector Development:A Study of Selected Asia Pacific Countries,The Developing Economies,1996,Vol.34,1-27.
30.Sarr,A.,Financial Liberalization,Bank Market Structure and Financial Deepening:An Interest Margin Analysis,IMF Working Papers,2000,No.38.
31.Schmitt-GrohéS.,M.Uribe,Optimal Simple and Implementable Monetary and Fiscal Rules,Journal of Monetary Economics,2007,Vol.54,1702-1725.
1该理论认为,金融抑制妨碍了储蓄投资的形成,造成资源配置的不合理从而阻碍了经济发展,而金融自由化政策既能避免通货膨胀,又不致引起经济衰退。
1 2017年年中,定期存款利率集中在基准利率1~1.3倍区间内的占比为74%,超过1.3倍基准利率的占比为26%。
2限于篇幅,本文参数校准未完全列出,读者若有需要,可联系作者索取。
2.黄金老,利率市场化与商业银行风险控制,经济研究,2001年第1期,19-28。
3.黄树青和孙璐璐,存款利率市场化进程中商业银行定价策略的动态选择,上海金融,2014年第5期,34-39。
4.纪洋、谭语嫣和黄益平,金融双轨制与利率市场化,经济研究,2016年第6期,45-57。
5.纪洋、徐建炜和张斌,利率市场化的影响、风险与时机--基于利率双轨制模型的讨论,经济研究,2015年第1期,38-51。
6.金玲玲、朱元倩和巴曙松,利率市场化对商业银行影响的国际经验及启示,农村金融研究,2012年第1期,53-57。
7.金中夏、洪浩和李宏瑾,利率市场化对货币政策有效性和经济结构调整的影响,经济研究,2013年第4期,69-82。
8.雷辉,我国资本存量测算及投资效率的研究,经济学家,2009年第6期,75-83。
9.连平和陈鹄飞,利率市场化的宏观经济效应研究,金融监管研究,2014年第3期,6-28。
10.梁斯,利率市场化背景下的货币政策利率传导机制研究,金融监管研究,2018年第7期,82-92。
11.刘斌,动态随机一般均衡模型及其应用,中国金融出版社,2010年。
12.马骏和管涛,利率市场化与货币政策框架转型,中国金融出版社,2018年。
13.彭建刚、王舒军和关天宇,利率市场化导致商业银行利差缩窄吗?--来自中国银行业的经验证据,金融研究,2016年第7期,48-63。
14.王道平,利率市场化、存款保险制度与系统性银行危机防范,金融研究,2016年第1期,50-65。
15.张琰涛和王溪岚,利率市场化改革与关键政策利率的选择--基于国际经验及两区制阙值误差修正模型的分析,金融监管研究,2019年第2期,16-28。
16.Abiad,A.,E.Detragiache,and T.Tressel,A New Database of Financial Reforms,IMF Staff Papers,2010,Vol.57,281-302.
17.Bernanke B.S,M.Gertler and S.Gilchrist,The Financial Accelerator in A Quantitative Business Cycle Framework,in Handbook of Macroeconomics,Edited by J.B.Tylor and M.Woodford,North Holland,1999,Vol.1,1341-1393.
18.Calvo,G.,Staggered Prices in a Utility-maximizing Framework,Journal of Monetary Economics,1983,Vol.12,383-398.
19.Chen,Q.,M.Funke,and M.Paetz,Market and Non-Market Monetary Policy Tools in a Calibrated DSGEModel for Mainland China,BOFIT Discussion Papers,2012,No.16.
20.Chirwa,E.,M.Mlachila,,Financial Reforms and Interest Rate Spreads in the Commercial Banking System in Malawi,IMF Staff Papers,2004,Vol.51,96-122.
21.Christiano,L.,M.Trabandt,and K.Walentin,DSGE Models for Monetary Policy Analysis,Handbook of Monetary Economics,2010,285-367.
22.Ehlers,T.,S.Kong,and F.Zhu,Mapping Shadow Banking in China:Structure and Dynamics,BISWorking Papers,2018,No.701.
23.Funke,M.,and M.Paetz,Financial System Reforms and China's Monetary Policy Framework:A DSGE-Based Assessment of Initiatives and Proposals,BOFIT Discussion Papers,2012,No.30.
24.Funke,M.,P.Mihaylovski,and H.Zhu,Monetary Policy Transmission in China:A DSGE Model with Parallel Shadow Banking and Interest Rate Control,HKIMR Working Paper,2015,No.12.
25.Gerali A.,F.Lorenzo,P.Massimiliano,The macroeconomics of Fiscal Consolidations in Euro Area Countries,Journal of Economic Dynamics and Control,2010,Vol.34,1791-1812.
26.Hasan,I.,P.Wachtel,and M.Zhou,Institutional Development,Financial Deepening and Economic Growth:Evidence from China,Journal of Banking and Finance,2009,Vol.33,157-170.
27.Leonardo G.,M.Federico,Should Monetary Policy Lean Against the Wind?:An Analysis based on ADSGE Model with Banking,Journal of Economic Dynamics and Control,2014,Vol.43,146-174.
28.López-Espinosa,G.,A.Moreno,F.Gracia,Banks Net Interest Margin in the 2000s:A Macro-Accounting International Perspective,Journal of International Money and Finance,2011,Vol.30,1214-1233.
29.Lynch,D.,Measuring Financial Sector Development:A Study of Selected Asia Pacific Countries,The Developing Economies,1996,Vol.34,1-27.
30.Sarr,A.,Financial Liberalization,Bank Market Structure and Financial Deepening:An Interest Margin Analysis,IMF Working Papers,2000,No.38.
31.Schmitt-GrohéS.,M.Uribe,Optimal Simple and Implementable Monetary and Fiscal Rules,Journal of Monetary Economics,2007,Vol.54,1702-1725.
1该理论认为,金融抑制妨碍了储蓄投资的形成,造成资源配置的不合理从而阻碍了经济发展,而金融自由化政策既能避免通货膨胀,又不致引起经济衰退。
1 2017年年中,定期存款利率集中在基准利率1~1.3倍区间内的占比为74%,超过1.3倍基准利率的占比为26%。
2限于篇幅,本文参数校准未完全列出,读者若有需要,可联系作者索取。