企业风险、影子银行与利率市场化改革路径——基于DSGE模型的分析  

Enterprise Risk, Shadow Banks and the Reform Path of Interest Rate Liberalization: An Analysis Based on a DSGE Model

作　　者：蓝天 张春光[1] 葛金锋 

机构地区：[1]中国人民银行深圳市中心支行

出　　处：《金融监管研究》2019年第5期1-17,共17页Financial Regulation Research

摘　　要：近年来,我国利率市场化进程积极推进,但企业融资对利率不敏感、利率传导机制不畅、信贷规模管控等问题使得利率对资金的配置作用难以有效发挥,导致我国金融体系商业银行和影子银行共存。在此背景下,本文构建了包含异质性企业和影子银行的多部门新凯恩斯动态随机一般均衡模型(DSGE),并运用福利分析和脉冲响应分析研究了利率市场化对不同经济主体的影响,以及未来利率市场化改革的路径。研究发现:利率市场化改革能够给家庭、低风险企业和商业银行带来福利改善,而对高风险企业和影子银行则会造成福利损失;相较于价格单行改革模式以及数量单行改革模式,同步协调推进模式所带来的社会总福利增加最多;利率市场化能够进一步增强货币政策传导的有效性。基于此,未来的利率市场化改革,一方面应积极培育市场认可的政策利率,并在政策利率与市场基准利率之间建立更紧密的联系;另一方面,要更明确地向商业银行发出将取消存贷款基准利率的信号,实现从政策利率向市场利率的靠拢并入。此外,还应逐步取消MPA考核中旨在落实数量调控目标的部分内容,并进一步完善金融市场建设。In recent years, the process of interest rate marketization in China has been actively promoted, but the problems such as the insensitivity of enterprise financing to interest rate, the poor transmission mechanism of interest rate, the control of credit scale and so on, make it difficult to give full play to the role of interest rate in the allocation of funds. It leads to the coexistence of commercial banks and shadow banks in China’s financial system. In this paper, we construct a New-Keynesian Dynamic Stochastic General Equilibrium model which includes heterogeneous manufacturers and shadow banks. Then we use welfare analysis and impulse response analysis to study the impacts of interest rate liberalization on the welfare of different economic entities and the reform path of interest rate liberalization. The results show that interest rate liberalization can improve the welfare of the residents, low-risk enterprises and commercial banks while bring about welfare loss to high-risk enterprises and shadow banks. It also shows that compared to price-only patterns or quantity-only patterns, the coordinated pattern on both price and quantity can improve the total welfare. And interest rate liberalization can enhance the effectiveness of monetary policy transmission. The results also provide useful insights that the next step in the reform of interest rates liberalization should, on one hand, cultivate market-approved policy interest rates and establish closer links between policy interest rates and market benchmark interest rates, on the other hand, send a clear signal to commercial banks that the benchmark deposit and loan rates will be canceled to achieve the convergence of policy interest rates to market interest rates. Moreover, it makes a strong case for removal of quantity controls such as credits quota and improving the construction of financial market.

关 键 词：利率市场化 企业异质性 影子银行 动态随机一般均衡 

分 类 号：F832[经济管理—金融学]