违约与杠杆周期——一个带有救助的金融加速器模型  

Default and Leverage Cycles:A Financial Accelerator Model with Bailouts

作　　者：陆磊 刘学 LU Lei;LIU Xue(State Administration of Foreign Exchange;PBC School of Finance,Tsinghua University)

机构地区：[1]国家外汇管理局,北京100048 [2]清华大学五道口金融学院,北京100083

出　　处：《金融研究》2020年第5期1-20,共20页Journal of Financial Research

摘　　要：我国为应对2008年国际金融危机的冲击采取了一系列经济刺激政策,在发挥"稳增长"作用的同时,也在一定程度上导致我国企业部门杠杆水平快速上升,但与此同时,不良贷款率并没有随企业部门杠杆的上升而显著增加。为了解释企业部门违约与杠杆的周期特征,本文在金融加速器模型(Bernanke et al.,1999)基础上,引入政府对企业部门的违约救助机制,建立DSGE模型进行讨论。进一步地,本文还通过一个不合意的去杠杆政策试验表明,忽略资产价格稳定(或者说金融稳定)前提下的去杠杆政策,反而会使企业部门的杠杆和违约率同时上升到一个较高水平。最后,引入一个盯住预期资产价格的动态救助规则能够发挥稳定经济的作用,并提高社会福利水平。Following the 2008 global financial crisis,China adopted a series of stimulus policies to protect against external shocks.These have played a role in stabilizing economic growth but have also promoted increased levels of leverage in various sectors,especially the non-financial enterprise sector.While the leverage rate of the non-financial enterprise sector has risen,the non-performing loan ratio in the banking sector has not shown an upward trend.Intuitively,as leverage increases,the subsequent increase in the external financing premium will also raise borrowing costs and lead to a higher default rate.However,this is not consistent with the data for China during this period.To explain this puzzle,this paper develops a DSGE model that incorporates a bailout mechanism into the financial accelerator model of Bernanke et al.(1999).Our model helps us better understand the default and leverage cycles of the non-financial enterprise sector in China.Our motivation in introducing a bailout mechanism is that in practice,local governments have incentives to provide direct or implicit bailouts to the enterprise sector to stimulate economic growth.There are two channels:first,the lower default rate resulting from bailouts can help commercial banks to relax constraints on the credit supply,thereby increasing credit to the enterprise sector;second,the lower external financing premiums due to a low default rate can stimulate the enterprise sector to invest more,leading to increased demand for credit and higher leverage.Consequently,bailouts play the dual role of leverage accelerator and default decelerator.By computing the steady state,the results show that a higher degree of bailout of the nonfinancial enterprise sector leads to higher leverage and a lower default rate.We then simulate and analyze the impact of technology,risk,and bailout shocks on the economy.Technology shocks make leverage increase,and thus can partially explain the variation in leverage.Technology and risk shocks both lead to economic recession,and thus both

关 键 词：救助 违约 杠杆 金融加速器 动态随机一般均衡 

分 类 号：F832[经济管理—金融学]