内生的杠杆阈值、金融加速器与宏观经济波动--基于动态随机一般均衡模型(DSGE)的分析  

Endogenous Leverage Threshold,Financial Accelerator and Economic Fluctuation: A DSGE model

作　　者：刘一楠 王亮[3] Liu Yinan;Wang Liang

机构地区：[1]中央国债登记结算有限公司博士后科研工作站 [2]复旦大学经济学院 [3]中国船舶重工集团公司第七二六研究所

出　　处：《南方经济》2018年第12期57-77,共21页South China Journal of Economics

摘　　要：建立一个内嵌金融加速器和名义"债务-通缩"机制的DSGE分析框架,首先证明高杠杆通过金融加速器与名义"债务-通缩"加剧宏观经济波动:一方面高杠杆通过金融加速器导致"高杠杆-外部融资溢价"的恶性循环,另一方面名义计价的高债务可能导致"偿还债务-通缩-债务负担加重"的"债务-通缩"风险。进一步,虽然高杠杆可能触发系统性金融风险,但不同经济条件下债务的可持续性不同,杠杆阈值具有内生性,经济体最高能承受的杠杆率是经济系统的内生变量,与金融市场信息效率、债务合约、储蓄率、银行资产负债表结构相关。文章为供给侧改革与去杠杆提供了理论支持,一方面要降低宏观债务负担,另一方面要提升经济承担杠杆、抵御金融风险的能力,同时提示去杠杆要避免骤然紧缩信贷导致的流动性风险。After 10-year repaid grow th,China has paced into a stage of transition since 2013. With the declining trend of economic grow th,the debt problem has gradually become prominent. As of June30,2017,database of Bank for International Settlements show s that China’s non-financial sector’s total debt is 200. 67 trillion Yuan,accounting for 255. 9% of GDP,w hich is higher than the major developed countries and emerging countries. Non-financial corporate debt leverage is more prominent.In the history of w orld economic development,excessive debt is one of the triggering factors of the financial crisis. The Latin American debt crisis and the subprime mortgage crisis of 2008 have all experienced a rapid increase in the leverage ratio before the crisis. The more serious the pre-crisis debt problem,the greater the negative volatility of output during the crisis and the more difficult the post-crisis recovery. The current high debt burden in China w ill not only affect steady economic grow th,but w ill even trigger systemic financial risks. The debt issue has also aroused the attention of the policy makers. In the National Economic Work Conference 2015,the supply-side reforms w ere proposed and deleveraging is of great significance.Embedded w ith financial accelerator and"debt-deflation",a DSGE model is built to analyze how the macroeconomic fluctuations is amplified by high leverage. High leverage,on one hand,w ould amplify the exogenous shocks through financial accelerator mechanism. On the other hands,high leverage and nominal debt contract w ould lead to "debt-deflation"risk,w hich increase the enterprise debt burden.Financial accelerator mechanism portrays the intrinsic link betw een leverage and external financing premiums. "Debt-deflation"mechanism figures out the relationship betw een real debt burden and deflation. The above-mentioned economic self-feedback endogenous cycle determines that high leverage contains a large systematic financial risk.After analyzing the impact mechanism,the next important question is

关 键 词：金融加速器 杠杆阈值 宏观经济波动DSGE 

分 类 号：F832[经济管理—金融学]