居民债务扩张、金融稳定与宏观审慎政策有效性  

Household Debt Expansion,Financial Stability and the Effectiveness of Macro-Prudential Policy

作　　者：孟宪春[1] 张屹山[1] MENG Xianchun;ZHANG Yishan(Business School,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学商学院,吉林长春130012

出　　处：《西安交通大学学报（社会科学版）》2021年第5期22-32,共11页Journal of Xi'an Jiaotong University：Social Sciences

基　　金：中国博士后科学基金面上资助项目(2020M681027);中国博士后科学基金特别资助项目(2021T140265);国家社会科学基金一般项目(17BJL029)。

摘　　要：近年来,中国居民部门债务呈现出持续攀升态势,违约风险增大。本文基于一个包含异质性家庭和面临资本充足约束商业银行的NK-DSGE模型,阐释了驱动居民债务扩张的动态机制,探讨了宏观审慎政策防范居民债务风险的有效性问题。研究发现:(1)放松家庭借款约束会引发住房抵押约束机制对约束型家庭债务和房价产生静态和动态乘数效应,驱动约束型家庭债务扩张和房价繁荣,同时挤出消费,导致居民部门债务违约风险上升。(2)相比“资本充足率”工具,逆周期动态调节“贷款价值比”的宏观审慎政策能够同时削弱住房抵押约束机制对居民债务的静态和动态乘数效应,更有效防范居民债务风险。(3)政策调控力度越小、约束型家庭比重或贷款价值比越高,宏观审慎政策防范居民债务风险的政策效果越明显,反之,政策效果越差。In recent years,China’s household debt has continued to rise,resulting in an increased risk of debt default.We reveal the dynamic mechanism driving household debt expansion in a NK-DSGE model with heterogeneous households and capital adequacy constrained commercial banks.In addition,we also discuss the effectiveness of macro-prudential policy on the risk prevention of household debt.The main results of this paper are as follows.Firstly,when the borrowing constraint of household is relaxed,the housing mortgage constraint mechanism has both static and dynamic multiplier effects on constrained household debt and house price,which reduces household consumption and raises household debt risk.Secondly,compared with the“capital adequacy ratio”tool,the counter-cyclical adjustment of“loan-to-value ratio”can weaken the static and dynamic multiplier effect of the housing mortgage restraint mechanism,effectively reduce the household debt risk.Thirdly,the smaller the intensity of policy regulation and the higher the proportion of restrictive households or the loan-to-value ratio,the more obvious the effect of macro-prudential policies on preventing resident debt risks will be;conversely,the worse the effect of policies will be.

关 键 词：居民债务风险 异质性家庭 金融摩擦 宏观审慎政策 

分 类 号：F832[经济管理—金融学]