信贷扭曲下系统性风险形成和“双支柱”政策协调问题研究——基于异质性企业的视角  

The Formation of Systemic Risk and the Coordination of“Double Pillar”Policy under Credit Distortion——Based on the Perspective of Heterogeneous Enterprises

作　　者：李天宇[1] 孟宪春[1] 冯叶[2] LI Tian-yu;MENG Xian-chun;FENG Ye(Center for Quantitative Economics,Jilin University,Changchun 130012,China;ChangChun Central Sub-branch of the People's Bank of China,Changchun 130000,China)

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]中国人民银行长春中心支行,吉林长春130000

出　　处：《中国管理科学》2021年第1期12-23,共12页Chinese Journal of Management Science

基　　金：国家社会科学基金资助青年项目(19CJL011)。

摘　　要：我国国有企业和私营企业在信贷获取和生产效率上的差异性会扭曲信贷资源配置,进而抬高宏观杠杆率,增加系统性风险。本文基于抵押约束机制构建了包含异质性企业的动态随机一般均衡模型,从理论上分析了由企业信贷扭曲引起的系统性风险形成机制,并探讨了货币政策和宏观审慎政策"双支柱"调控的协调问题。研究发现:在异质性企业环境下,宏观审慎政策通过减缓信贷市场顺周期行为,抑制信贷规模过度膨胀,起到降低宏观杠杆率、防范系统性风险的作用,并显著改善社会福利损失,为货币政策制定创造更多空间;货币政策与宏观审慎政策"双支柱"的调控框架仅减缓了抵押约束机制对经济周期的放大效应,未解决异质性企业对经济结构的扭曲问题。因此,深化供给侧结构性改革,提高国有企业市场竞争力和自负盈亏能力,充分发挥市场对资源的配置作用,是建立"去杠杆"长效机制、提高金融韧性以形成能够内生消化风险的市场环境的关键所在。There are many state-owned enterprises(SOEs)that have lower average productivity and also have easier access to credit than private enterprises(POEs).The heterogeneity of credit constraints between SOEs and POEs exacerbates credit misallocation across sectors,which is a key feature of the existing distortions facing China’s financial system.After the financial crisis of 2008,central banks around the world adopted macro-prudential policies as a supplement to monetary policy to achieve financial stability.In 2017,China formally established a double pillar regulatory framework of monetary policy and macro-prudential policy.What is the relation between monetary policy and macroprudential policy?How to coordinate between monetary policy and macro-prudential policy in this second-best environment with heterogeneous firms?To answer these questions,financial frictions and enterprise heterogeneity are incorporated into a two-sector DSGE model to study the coordination effect of double pillar policy.Concretely,in our model,intermediate goods are produced by firms in two sector:one sector with SOEs and the other with POEs.Consistent with the institutional features of the Chinese economy,SOEs differ from POEs in their credit constraint and productivity.Using both numerical simulations and mathematical derivations,the formation of systemic risk and the coordination of double pillar policy in an environment with heterogeneous firms are studied.The results show that the SOEs sector crowds out the demand for credit in the POEs sector,leading to inefficient allocation of credit resources,rising macro leverage of the economy,and increased systemic risks.In addition,in an environment with heterogeneous enterprises,macro-prudential policy can reduce macroeconomic leverage and prevent systemic risks by slowing down the credit market’s pro-cyclical behavior and inhibiting the excessive expansion of credit scale,significantly improving social welfare losses.Moreover,the coordination of monetary policy and macro-prudential policy on

关 键 词：异质性企业 抵押约束机制 “双支柱”政策协调机制 

分 类 号：F822.0[经济管理—财政学]