货币政策与宏观审慎政策双支柱调控下的地方政府债务风险治理  

Managing the Risk of Default on Local Government Debt under a Two-pronged Framework of Monetary Policy and Macro Prudential Assessment

作　　者：李力 温来成 唐遥 张偲 LI Li;WEN Laicheng;TANG Yao;ZHANG Cai(International School of Business&Finance,Sun Yat-Sen University;School of Public Finance and Taxation,Central University of Finance and Economics;Guanghua School of Management,Peking University;CITIC Foundation for Reform and Development Studies)

机构地区：[1]中山大学国际金融学院,519082 [2]中央财经大学财政税务学院,100081 [3]北京大学光华管理学院应用经济学系,100871 [4]中信改革发展研究基金会,100011

出　　处：《经济研究》2020年第11期36-49,共14页Economic Research Journal

摘　　要：本文构建了包含普通企业和地方政府融资平台企业“双违约”、货币政策和宏观审慎政策“双支柱”调控的新凯恩斯DSGE模型,通过贝叶斯估计研究发现:普通企业和地方政府融资平台企业的风险冲击是我国经济波动的重要来源,二者均会带来产出衰退和违约风险增加。扩张性货币政策在促进经济繁荣的同时,也会导致企业杠杆率的攀升,加大两类企业的债务风险;而基于动态准备金调控的逆周期宏观审慎监管政策,则能有效抑制企业债务规模,并降低两类企业的违约率,同时也会引起实体经济的小幅紧缩。“双支柱”的调控效果优于单一政策工具,且区分普通企业与地方政府融资平台企业的“差别准备金动态调整”的逆周期宏观审慎政策能进一步提高社会福利。Since 2015,the implicit debt of local governments in China has attracted increasing attention both inside and outside China.According to data from the Ministry of Finance,the total explicit debt of local governments in China amounted to 21.3 trillion yuan by the end of November 2019,which was 21%of China's GDP.In 2019,the China International Capital Corporation Limited estimated that the implicit debt of local governments could be as high as 30 trillion Chinese yuan.Obviously,this expansion of local government debt threatens China's economic stability.Since 2016,the People s Bank of China has adopted a Macro Prudential Assessment(MPA)system,establishing a two-pronged framework of economic management that involves both monetary policy and MPA.The core functions of MPA are to control the amount of credit,to stabilize macroeconomic leverage,and to prevent systemic risk.Our paper constructs a New Keynesian DSGE model that considers both regular firms and local government financing vehicles(LGFVs)in a two-pronged framework of economic management.Using quarterly data from 1995Q1 to 2017Q4,we estimate our DSGE model with Bayesian methods,and quantify the degree to which the default risks of regular firms and LGFVs have contributed to economic fluctuations in the Chinese economy.We examine the welfare effects of the combined factors of monetary policy and the MPA system in the context of various exogenous shocks.Our results indicate that the default risk associated with regular firms and LGFVs exerts a downward pressure on growth,and it increases the probabilities of defaults.Both the default risk of regular firms and default risk of LGFVs are important causes of economic fluctuations,as these two risk sources account for 14%and 3.39%,respectively,of the 1995 to 2017 variations in the GDP growth rate.Second,our findings indicate that although an expansionary monetary policy stimulates growth,it also increases the leverage of firms and elevates the risk of default for LGFVs.On top of the regular monetary policy,the introd

关 键 词：货币政策 宏观审慎政策 地方政府融资平台 DSGE模型 

分 类 号：F812.5[经济管理—财政学] F822.0F832.1