动态拨备、金融风险与经济周期--基于DSGE模型的分析  

Dynamic provisioning,Financial Risk and Economic Cycle Based on DSGE Model

作　　者：黄锐[1] 蒋海[1] 黄剑[2] 

机构地区：[1]暨南大学金融系,广东广州510632 [2]广东金融学院华南金融研究,广东广州510521

出　　处：《现代财经（天津财经大学学报）》2014年第2期29-41,共13页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：中央高校基本科研业务费专项资金项目(11JYB3001);教育部人文社会科学基金项目(13YJA790038)

摘　　要：宏观审慎监管旨在降低宏观金融风险,平滑经济周期,其中巴塞尔协议Ⅲ中的动态拨备监管可以起到类似资本缓冲的作用。本文利用含金融中介的动态随机一般均衡模型(DSGE)研究前瞻型拨备规则及后顾型拨备规则和经济波动之间的相互作用。结果表明,前瞻型拨备在周期内较为平滑,持有更多的预期拨备可降低经济的顺周期性;传导渠道的分析表明,拨备类型、贷款拨备率会直接或间接的影响到不良贷款率和贷款利率,进而对金融体系和实体经济的顺周期性造成影响;在考虑逆周期资本监管的情形下,前瞻型拨备可进一步降低顺周期性,其幅度有赖于参数的选择。Macro-prudential regulation is designed to reduce macro-financial risks and smooth the economic cycle. In that aspect, dynamic provisioning in Basel ~ can play a similar role as regu- latory capital buffers. This paper studies backward-looking provisioning, forward-looking provisio- ning rules and their interactions with economic fluctuations using dynamic stochastic general equilib- rium model （DSGE） with financial intermediaries. The findings show that the provisioning in the forward-looking is smoother, and more provision is expected to reduce pro-cyclicality of economy; transmission channel analysis shows that the type of loan loss provisioning has a direct or indirect impact on the NPL ratio and loan interest rates. Thus, the financial system and the economy pro- cyclical are affected. Considering counter-cyclical capital regulation, forward-looking provisioning can further reduce pro-cyclical, and its magnitude depends on the choice of parameters.

关 键 词：动态拨备 金融风险 经济周期 逆周期缓冲 

分 类 号：F832.2[经济管理—金融学]