世界利率冲击、人民币汇率与企业杠杆率  

Research on World Interest Rate Shock, RMB Exchange Rate and Firms’ Leverage Ratio

作　　者：汪勇 李雪松[2] 

机构地区：[1]北京大学国家发展研究院 [2]中国社会科学院财经战略研究院

出　　处：《国际金融研究》2018年第11期35-45,共11页Studies of International Finance

基　　金：国家社科基金重大项目“新常态下我国宏观经济监测和预测研究”(15ZDA011);中国社会科学院研究所创新工程项目“宏观经济形势与政策跟踪研究”资助

摘　　要：本文构建了一个包含贸易与非贸易品生产企业的小型开放经济DSGE模型，并在模型中引入了“资产负债表衰退”与“金融摩擦”机制．考察了世界利率冲击对我国不同贸易性质企业杠杆率的影响。研究发现：第一．世界利率下行冲击增大我国货币升值压力。并通过贸易条件与要素成本变化引起国内贸易品生产企业杠杆率的上升和非贸易品生产企业杠杆率的下降：第二．本国提高经济对外开放度会扩大世界利率下行冲击对国内不同贸易性质企业杠杆率的影响，而加大外汇汇率管制却会减弱这种影响：第三．以传统意义上的产出与通胀波动为目标。完全浮动汇率制更优．但在增加本国非金融企业杠杆率目标之后。管理浮动汇率制在维护国内宏观经济与金融系统稳定上更有优势。The paper establishes a small open DSGE model, which involves the traded and non-traded goods firms and introduces the Balance Sheet Recession and Financial Friction mechanisms. With the model, it explores how the world interest rate shock impacts the different types of tradable firm＇s leverage ratios in China. It is concluded that firstly, the negative world interest rate shock enlarges the pressure of the RMB appreciation, and leads to the rise of domestic traded goods firms~ lever- age ratio as well as the decline of domestic non-traded goods firms＂ leverage ratio through the trade terms and the factor cost. Secondly, with the increasing degree of opening up, the effect of the world interest rate shock on the leverage ratios of traded and non-traded goods firms will amplify. Thirdly, with the increasing control over foreign exchange rate, the effect of the world interest rate shock on the leverage ratios of traded and non-traded goods firms will mitigate. Fourthly, following the tar- get of traditional fluctuation of output and inflation, a full floating exchange rate system is better for calming the effect of the world interest rate on domestic macro-economy compared with managed floating exchange rate system. However, taking into consideration the nonfinancial firms＂ leverage ratio, the managed floating exchange rate system has more advantages for main- taining the stability of domestic macro-economy and financial system.

关 键 词：世界利率人民币汇率 贸易品企业非贸易品企业杠杆率 

分 类 号：F831.0[经济管理—金融学]