影子银行、信贷资源错配与中国经济波动
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摘要
影子银行在金融市场中发挥越来越重要的作用。本文考虑现阶段中国企业产权异质性,将中间品厂商分为国有企业和民营企业,构建一个反映转型期中国经济"二元"结构的动态随机一般均衡模型(DSGE),使用贝叶斯方法估计模型的结构参数,模拟出影子银行对信贷资源错配及中国经济波动的影响。研究发现,由民营企业融资受阻所反映出的信贷资源错配问题,使得我国信贷投放的使用效率低下,而影子银行尽管部分缓解了这一问题,但却加剧了宏观经济的不稳定性,同时削弱了货币政策的执行效果。
Based on the DSGE model with the shadow banking, this paper adopts DSGE framework to significantly describe the China's dual economic structure in the transformational period. It draws on the shadow banking system of monopolistic competition with China's characteristics and the enterprise-based dual structure. Finally, this paper estimates the structural parameters of the model through Bayesian estimation methods in order to present the impacts of credit misallocation on China's economic stability. In conclusion, the facts that the private enterprises which more dynamic can't get credit through market regulation exacerbate the macro-economy's instability and weaken the effect of monetary policy.
Based on the DSGE model with the shadow banking, this paper adopts DSGE framework to significantly describe the China's dual economic structure in the transformational period. It draws on the shadow banking system of monopolistic competition with China's characteristics and the enterprise-based dual structure. Finally, this paper estimates the structural parameters of the model through Bayesian estimation methods in order to present the impacts of credit misallocation on China's economic stability. In conclusion, the facts that the private enterprises which more dynamic can't get credit through market regulation exacerbate the macro-economy's instability and weaken the effect of monetary policy.
引文
[1]毕燕君.我国货币政策数量型工具调控绩效的测度[J].统计与决策,2018(4):13-27
[2]杜清源,龚六堂.带“金融加速器”的RBC模型[J].金融研究,2005(4):16-30
[3]方军雄.所有制、制度环境与信贷资金配置[J].经济研究,2007(12):82-92
[4]江春,向丽锦,肖祖沔.货币政策、收入分配及经济福利——基于DSGE模型的贝叶斯估计[J].财贸经济,2018(3):23-45
[5]康立,龚六堂,陈永伟.金融摩擦、银行净资产与经济波动的行业间传导[J].金融研究,2013(5):32-46
[6]李波,伍戈.影子银行的信用创造功能及其对货币政策的挑战[J].金融研究,2014(12):77-84
[7]林琳,曹勇,肖寒.中国式影子银行下的金融系统脆弱性[J].经济学(季刊),2016(3):1113-1136
[8]林仁文,杨熠.中国市场化改革与货币政策有效性演变——基于DSGE的模型分析[J].管理世界,2014(6):39-52
[9]刘斌.动态随机一般均衡模型及其应用[M].北京:中国金融出版社,2014:213-236
[10]罗娜,程方楠.房价波动的宏观审慎政策与货币政策协调效应分析——基于新凯恩斯主义的DSGE模型[J].国际金融研究,2017(1):39-48
[11]马亚明,徐洋.影子银行、货币窖藏与货币政策冲击的宏观经济效应——基于DSGE模型的分析[J].国际金融研究,2017(8):54-64
[12]裘翔,周强龙.影子银行与货币政策传导[J].经济研究,2014(5):91-105
[13]仝冰.货币、利率与资产价格[M].北京:北京大学出版社,2010:136-187
[14]杨坤,曹晖,孙宁华.非正规金融、利率双轨制与信贷政策效果——基于新凯恩斯动态随机一般均衡模型的分析[J].管理世界,2015(5):41-51
[15]庄子罐,崔小勇,龚六堂.预期与经济波动——预期冲击是驱动中国经济波动的主要力量吗[J].经济研究,2012(6):46-56
[16] Bernanke B. S,Gertler M. and Gilchrist S. The Financial Accelerator in a Quantitative Business Cycle Framework[R].IMF Working Papers,1999(1):1341-1393
[17] Calvo G.A. Staggered Prices in a Utility-Maximizing Framework[J]. Journal of Monetary Economics, 1983(3):383-398
[18] Christiano L. J,Eichenbaum M. and Evans C. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy[J]. Journal of Political Economy,2013(1):1-45
[19] Christiano L. J,Ilut C. L. and Motto R. Monetary Policy and Stock Market Booms[R]. NBER Working Papers,2010:85-145
[20] Christiano L. J,Motto R. and Rostagno M. The Great Depression and the Friedman-Schwartz Hypothesis[J]. Journal of Money Credit&Banking,2003(6):1119-1197
[21] Funke M.,Mihaylovski P. and Zhu HB. Monetary Policy Transmission in China:A DSGE Model with Parallel Shadow Banking and Interest Rate Control[J]. Social Science Electronic Publishing,2015
[22] Gertler M.,Kiyotaki N. and Queralto A. Financial Crises,Bank Risk Exposure and Government Financial Policy[J].Journal of Monetary Economics,2010,59(33):17-34
(1)篇幅所限,未列示具体推导过程,感兴趣的读者可向作者索取。
(1)篇幅所限,未列示中间过程,感兴趣的读者可向作者索取。
[2]杜清源,龚六堂.带“金融加速器”的RBC模型[J].金融研究,2005(4):16-30
[3]方军雄.所有制、制度环境与信贷资金配置[J].经济研究,2007(12):82-92
[4]江春,向丽锦,肖祖沔.货币政策、收入分配及经济福利——基于DSGE模型的贝叶斯估计[J].财贸经济,2018(3):23-45
[5]康立,龚六堂,陈永伟.金融摩擦、银行净资产与经济波动的行业间传导[J].金融研究,2013(5):32-46
[6]李波,伍戈.影子银行的信用创造功能及其对货币政策的挑战[J].金融研究,2014(12):77-84
[7]林琳,曹勇,肖寒.中国式影子银行下的金融系统脆弱性[J].经济学(季刊),2016(3):1113-1136
[8]林仁文,杨熠.中国市场化改革与货币政策有效性演变——基于DSGE的模型分析[J].管理世界,2014(6):39-52
[9]刘斌.动态随机一般均衡模型及其应用[M].北京:中国金融出版社,2014:213-236
[10]罗娜,程方楠.房价波动的宏观审慎政策与货币政策协调效应分析——基于新凯恩斯主义的DSGE模型[J].国际金融研究,2017(1):39-48
[11]马亚明,徐洋.影子银行、货币窖藏与货币政策冲击的宏观经济效应——基于DSGE模型的分析[J].国际金融研究,2017(8):54-64
[12]裘翔,周强龙.影子银行与货币政策传导[J].经济研究,2014(5):91-105
[13]仝冰.货币、利率与资产价格[M].北京:北京大学出版社,2010:136-187
[14]杨坤,曹晖,孙宁华.非正规金融、利率双轨制与信贷政策效果——基于新凯恩斯动态随机一般均衡模型的分析[J].管理世界,2015(5):41-51
[15]庄子罐,崔小勇,龚六堂.预期与经济波动——预期冲击是驱动中国经济波动的主要力量吗[J].经济研究,2012(6):46-56
[16] Bernanke B. S,Gertler M. and Gilchrist S. The Financial Accelerator in a Quantitative Business Cycle Framework[R].IMF Working Papers,1999(1):1341-1393
[17] Calvo G.A. Staggered Prices in a Utility-Maximizing Framework[J]. Journal of Monetary Economics, 1983(3):383-398
[18] Christiano L. J,Eichenbaum M. and Evans C. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy[J]. Journal of Political Economy,2013(1):1-45
[19] Christiano L. J,Ilut C. L. and Motto R. Monetary Policy and Stock Market Booms[R]. NBER Working Papers,2010:85-145
[20] Christiano L. J,Motto R. and Rostagno M. The Great Depression and the Friedman-Schwartz Hypothesis[J]. Journal of Money Credit&Banking,2003(6):1119-1197
[21] Funke M.,Mihaylovski P. and Zhu HB. Monetary Policy Transmission in China:A DSGE Model with Parallel Shadow Banking and Interest Rate Control[J]. Social Science Electronic Publishing,2015
[22] Gertler M.,Kiyotaki N. and Queralto A. Financial Crises,Bank Risk Exposure and Government Financial Policy[J].Journal of Monetary Economics,2010,59(33):17-34
(1)篇幅所限,未列示具体推导过程,感兴趣的读者可向作者索取。
(1)篇幅所限,未列示中间过程,感兴趣的读者可向作者索取。