信贷约束、资源错配与全要素生产率波动
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摘要
本文通过一个具有不同生产率和信贷约束的两部门动态随机一般均衡(DSGE)模型,研究了货币政策和信贷条件对中国全要素生产率波动的影响。研究表明,宏观经济政策的外生冲击会改变资本在部门间的配置效率,导致全要素生产率(TFP)发生内生波动,政策冲击对TFP的影响主要由民营企业受到信贷约束所决定。紧缩货币政策以及民营部门信贷抵押要求的上升都会降低资源配置效率,从而导致TFP出现长时间下降;民营部门信贷条件的变化是重要的外生冲击,能解释很大部分的产出增长率波动和民营部门投资增长率波动。
The impact of monetary policy and credit conditions on China's total factor productivity fluctuations is studied by a two-sector dynamic stochastic general equilibrium(DSGE) model with different productivity and credit constraints. Studies have shown that the exogenous impact of macroeconomic policies will change the efficiency of capitalallocation among departments, leading to endogenous volatility of total factor productivity(TFP). The impact of policy shocks on TFP is mainly determined by private enterprises being subject to credit constraints. Tight monetary policy and rising private sector credit collateral requirements will reduce resource allocation efficiency, leading to a long-term decline in TFP; changes in private sector credit conditions are important exogenous shocks that can explain a large portion of output growth volatility and the growth rate of private sector investment is fluctuating.
The impact of monetary policy and credit conditions on China's total factor productivity fluctuations is studied by a two-sector dynamic stochastic general equilibrium(DSGE) model with different productivity and credit constraints. Studies have shown that the exogenous impact of macroeconomic policies will change the efficiency of capitalallocation among departments, leading to endogenous volatility of total factor productivity(TFP). The impact of policy shocks on TFP is mainly determined by private enterprises being subject to credit constraints. Tight monetary policy and rising private sector credit collateral requirements will reduce resource allocation efficiency, leading to a long-term decline in TFP; changes in private sector credit conditions are important exogenous shocks that can explain a large portion of output growth volatility and the growth rate of private sector investment is fluctuating.
引文
①陈斌开、金箫、欧阳涤非:《住房价格、资源错配与中国工业企业生产率》,《世界经济》2015年第4期。
②陈诗一:《资源误配、经济增长绩效与企业市场进入:国有与非国有部门的二元视角》,《学术月刊》2017年第1期。
③陈晓光、张宇麟:《信贷约束、政府消费与中国实际经济周期》,《经济研究》2010年第12期。
④丁从明、陈仲常:《价格波动与资源配置效率研究》,《统计研究》2010年第6期。
⑤方军雄:《所有制、制度环境与信贷资金配置》,《经济研究》2007年第12期。
⑥盖庆恩、朱喜、程名望、史清华:《要素市场扭曲、垄断势力与全要素生产率》,《经济研究》2015年第5期。
⑦龚关、胡关亮:《中国制造业资源配置效率与全要素生产率》,《经济研究》2013年第4期。
⑧罗德明、李晔、史晋川:《要素市场扭曲、资源错置与生产率》,《经济研究》2012年第3期。
⑨罗知、张川川:《信贷扩张、房地产投资与制造业部门的资源配置效率》,《金融研究》2015年第7期。
⑩聂辉华、贾瑞雪:《中国制造业企业生产率与资源误置》,《世界经济》2011年第7期。
(11)杨光、孙浦阳、龚刚:《经济波动、成本约束与资源配置》,《经济研究》2015年第2期。
(12)杨汝岱:《中国制造业企业全要素生产率研究》,《经济研究》2015年第2期。
(13)Ai,H.,Li,K.and Yang,F.,Financial intermediation and capital misallocation.Carlson School Of Management Of University Of Minnesota,Working Paper,2016.
(14)An,S.and Schorfheide,F.,Bayesian analysis of DSGE models.Econometric Reviews,Vol.26,No.2-4,2007.
(15)Arias,A.,Hansen,G.D.and Ohanian,L.E.,Why have business cycle fluctuations become less volatile?.Economic Theory,Vol.32,No.1,2007.
(16)Brandt,L.,Hsieh,C.T.and Zhu,X.,Growth and structural transformation in China.In Brandt,L.and Rawski,T.G.,(Eds.),China’s Great Economic Transformation.New York:Cambridge University Press,2008.
(17)Buera,F.J.,Kaboski,J.P.and Shin,Y.,Finance and development:A tale of two sectors.American Economic Review,Vol.101,No.5,2011.
(18)Calvo,G.A.,Staggered prices in a utility-maximizing framework.Journal Of Monetary Economics,Vol.12,No.3,1983.
(19)Caselli,F.and Gennaioli,N.,Dynastic management.Economic Inquiry,Vol.51,No.1,2013.
(20)Chang,C.,Liu,Z.,Spiegel,M.M.and Zhang,J.,Reserve requirements and optimal Chinese stabilization policy.Journal Of Monetary Economics,Vol.103,2019.
(21)Chari,V.V.,Kehoe,P.J.and McGrattan,E.R.,Business cycle accounting.Econometrica,Vol.75,No.3,2007.
(22)Chen,K.and Song,Z.,Financial frictions on capital allocation:A transmission mechanism of TFP fluctuations.Journal Of Monetary Economics,Vol.60,No.6,2013.
(23)Chow,G.C.and Li,K.W.,China’s economic growth:1952-2010.Economic Development And Cultural Change,Vol.51,No.1,2002.
(24)Christiano,L.,Eichenbaum,M.and Evans,C.,Nominal rigidities and the dynamic effects of a shock to monetary policy.Journal Of Political Economy,Vol.113,No.1,2005.
(25)Cull,R.,Li,W.,Sun,B.and Xu,L.C.,Government connections and financial constraints:Evidence from a large representative sample of Chinese firms.Journal Of Corporate Finance,Vol.32,No.C,2015.
(26)He,D.,Zhang,W.and Shek,J.,How efficient has been China’s investment?Empirical evidence from national and provincial data.Pacific Economic Review,Vol.12,No.5,2007.
(27)Hsieh,C.T.and Klenow,P.J.,Misallocation and manufacturing TFP in China and India.Quarterly Journal Of Economics,Vol.124,No.4,2009.
(28)Iacoviello,M.,House prices,borrowing constraints and monetary policy in the business cycle.American Economic Review,Vol.95,No.3,2005.
(29)Iacoviello,M.and Neri,S.,Housing market spillovers:Evidence from an estimated DSGE model.American Economic Journal:Macroeconomics,Vol.2,No.2,2010.
(30)Khan,A.and Thomas,J.K.,Credit shocks and aggregate fluctuations in an economy with production heterogeneity.Journal Of Political Economy,Vol.121,No.6,2013.
(31)Kiyotaki,N.and Moore,J.,Credit cycles.Journal Of Political Economy,Vol.105,No.2,1997.
(32)Midrigan,V.and Xu,D.Y.,Finance and misallocation:Evidence from plant-level data.American Economic Review,Vol.104,No.2,2014.
(33)Oberfield,E.,Productivity and misallocation during a crisis:Evidence from the Chilean crisis of 1982.Review Of Economic Dynamics,Vol.16,No.1,2013.
(34)Pratap,S.and Urrutia,C.,Financial frictions and total factor productivity:Accounting for the real effects of financial crises.Review Of Economic Dynamics,Vol.15,No.3,2012.
(35)Schmitt,G.S.and Uribe,M.,What’s news in business cycles.Econometrica,Vol.80,No.6,2012.
(36)Smets,F.and Wouters,R.,Shocks and frictions in US business cycles:A Bayesian DSGE approach.American Economic Review,Vol.97,No.3,2007.
(37)Szamosszegi,A.and Kyle,C.,An Analysis Of State-owned Enterprises And State Capitalism In China.Washington:Capital Trade,Inc.,2011.
①原始数据均来源于国家统计局。GDP、社会消费品零售总额、总固定资产投资、国有企业及其控股企业的固定资产投资、民营企业固定资产投资数据为用GDP平减指数和人口换算的人均实际值,民营企业固定投资为总投资扣除国有企业及其控股企业的固定资产投资,通胀由GDP平减指数换算得到。
②陈诗一:《资源误配、经济增长绩效与企业市场进入:国有与非国有部门的二元视角》,《学术月刊》2017年第1期。
③陈晓光、张宇麟:《信贷约束、政府消费与中国实际经济周期》,《经济研究》2010年第12期。
④丁从明、陈仲常:《价格波动与资源配置效率研究》,《统计研究》2010年第6期。
⑤方军雄:《所有制、制度环境与信贷资金配置》,《经济研究》2007年第12期。
⑥盖庆恩、朱喜、程名望、史清华:《要素市场扭曲、垄断势力与全要素生产率》,《经济研究》2015年第5期。
⑦龚关、胡关亮:《中国制造业资源配置效率与全要素生产率》,《经济研究》2013年第4期。
⑧罗德明、李晔、史晋川:《要素市场扭曲、资源错置与生产率》,《经济研究》2012年第3期。
⑨罗知、张川川:《信贷扩张、房地产投资与制造业部门的资源配置效率》,《金融研究》2015年第7期。
⑩聂辉华、贾瑞雪:《中国制造业企业生产率与资源误置》,《世界经济》2011年第7期。
(11)杨光、孙浦阳、龚刚:《经济波动、成本约束与资源配置》,《经济研究》2015年第2期。
(12)杨汝岱:《中国制造业企业全要素生产率研究》,《经济研究》2015年第2期。
(13)Ai,H.,Li,K.and Yang,F.,Financial intermediation and capital misallocation.Carlson School Of Management Of University Of Minnesota,Working Paper,2016.
(14)An,S.and Schorfheide,F.,Bayesian analysis of DSGE models.Econometric Reviews,Vol.26,No.2-4,2007.
(15)Arias,A.,Hansen,G.D.and Ohanian,L.E.,Why have business cycle fluctuations become less volatile?.Economic Theory,Vol.32,No.1,2007.
(16)Brandt,L.,Hsieh,C.T.and Zhu,X.,Growth and structural transformation in China.In Brandt,L.and Rawski,T.G.,(Eds.),China’s Great Economic Transformation.New York:Cambridge University Press,2008.
(17)Buera,F.J.,Kaboski,J.P.and Shin,Y.,Finance and development:A tale of two sectors.American Economic Review,Vol.101,No.5,2011.
(18)Calvo,G.A.,Staggered prices in a utility-maximizing framework.Journal Of Monetary Economics,Vol.12,No.3,1983.
(19)Caselli,F.and Gennaioli,N.,Dynastic management.Economic Inquiry,Vol.51,No.1,2013.
(20)Chang,C.,Liu,Z.,Spiegel,M.M.and Zhang,J.,Reserve requirements and optimal Chinese stabilization policy.Journal Of Monetary Economics,Vol.103,2019.
(21)Chari,V.V.,Kehoe,P.J.and McGrattan,E.R.,Business cycle accounting.Econometrica,Vol.75,No.3,2007.
(22)Chen,K.and Song,Z.,Financial frictions on capital allocation:A transmission mechanism of TFP fluctuations.Journal Of Monetary Economics,Vol.60,No.6,2013.
(23)Chow,G.C.and Li,K.W.,China’s economic growth:1952-2010.Economic Development And Cultural Change,Vol.51,No.1,2002.
(24)Christiano,L.,Eichenbaum,M.and Evans,C.,Nominal rigidities and the dynamic effects of a shock to monetary policy.Journal Of Political Economy,Vol.113,No.1,2005.
(25)Cull,R.,Li,W.,Sun,B.and Xu,L.C.,Government connections and financial constraints:Evidence from a large representative sample of Chinese firms.Journal Of Corporate Finance,Vol.32,No.C,2015.
(26)He,D.,Zhang,W.and Shek,J.,How efficient has been China’s investment?Empirical evidence from national and provincial data.Pacific Economic Review,Vol.12,No.5,2007.
(27)Hsieh,C.T.and Klenow,P.J.,Misallocation and manufacturing TFP in China and India.Quarterly Journal Of Economics,Vol.124,No.4,2009.
(28)Iacoviello,M.,House prices,borrowing constraints and monetary policy in the business cycle.American Economic Review,Vol.95,No.3,2005.
(29)Iacoviello,M.and Neri,S.,Housing market spillovers:Evidence from an estimated DSGE model.American Economic Journal:Macroeconomics,Vol.2,No.2,2010.
(30)Khan,A.and Thomas,J.K.,Credit shocks and aggregate fluctuations in an economy with production heterogeneity.Journal Of Political Economy,Vol.121,No.6,2013.
(31)Kiyotaki,N.and Moore,J.,Credit cycles.Journal Of Political Economy,Vol.105,No.2,1997.
(32)Midrigan,V.and Xu,D.Y.,Finance and misallocation:Evidence from plant-level data.American Economic Review,Vol.104,No.2,2014.
(33)Oberfield,E.,Productivity and misallocation during a crisis:Evidence from the Chilean crisis of 1982.Review Of Economic Dynamics,Vol.16,No.1,2013.
(34)Pratap,S.and Urrutia,C.,Financial frictions and total factor productivity:Accounting for the real effects of financial crises.Review Of Economic Dynamics,Vol.15,No.3,2012.
(35)Schmitt,G.S.and Uribe,M.,What’s news in business cycles.Econometrica,Vol.80,No.6,2012.
(36)Smets,F.and Wouters,R.,Shocks and frictions in US business cycles:A Bayesian DSGE approach.American Economic Review,Vol.97,No.3,2007.
(37)Szamosszegi,A.and Kyle,C.,An Analysis Of State-owned Enterprises And State Capitalism In China.Washington:Capital Trade,Inc.,2011.
①原始数据均来源于国家统计局。GDP、社会消费品零售总额、总固定资产投资、国有企业及其控股企业的固定资产投资、民营企业固定资产投资数据为用GDP平减指数和人口换算的人均实际值,民营企业固定投资为总投资扣除国有企业及其控股企业的固定资产投资,通胀由GDP平减指数换算得到。