债权型货币错配与最优外汇干预程度:基于净值效应的研究  

Currency Mismatch on Credit and Optimal Foreign Exchange Intervention: Research Based on Net Worth Effects

作　　者：董建明 李雪莲[2] 马双 Dong Jianming;Li Xuelian;Ma Shuang

机构地区：[1]成都信息工程大学统计学院 [2]西南财经大学经济学院 [3]广州大学经济与统计学院

出　　处：《世界经济研究》2022年第7期90-104,M0004,共16页World Economy Studies

基　　金：教育部人文社会科学规划基金项目“金融开放下异质性影子银行的社会福利效应研究:基于效益与风险双视角的评估”(批准号:21YJA790031);四川省社会科学规划项目一般项目“影子银行、中小企业融资约束与违约风险溢出效应研究”(项目编号:SC21B141)。

摘　　要：近年来,中国非公共部门债权型货币错配风险持续积累,并通过债权型货币错配的净值效应对金融安全和宏观经济稳定造成冲击,需要引起足够的重视。外汇干预可以抑制净值效应,但如何确定最优的外汇干预程度仍是一个值得深入探讨的问题。对此,文章首先构建了符合中国国情的开放经济模型并基于产出和价格稳定的视角进行了福利分析。结果显示,净值效应对经济的影响是非中性的,而外汇干预对经济的影响是中性的;净值效应对福利损失函数的影响是非线性且不连续的,其影响大小取决于一国的各项经济参数及冲击的大小;外汇干预程度的调整可以有效对冲净值效应,但是渐进地调整外汇干预程度并不必然是最优的。进而,文章基于中国的经验数据估计了模型参数,测算了最优的外汇干预程度。文章发现,在当前存在严重债权型货币错配的情况下,中国应适度降低外汇干预程度。然而,在逐步降低外汇干预的过程中,货币错配净值效应对物价的通缩影响已经开始显现。为避免重蹈世界最大债权国日本的覆辙,中国在扩大对外开放的进程中不应完全放弃外汇干预这一非常规货币政策工具。In recent years,currency mismatch on credit of China’s non-official sector continues to accumulate,and it has an impact on financial security and macroeconomic stability through the net worth effects,which needs to be paid enough attention to. Foreign exchange intervention can restrain the net worth effects,but how to determine the optimal degree of foreign exchange intervention is still a problem worthy of further discussion. In this regard,we first construct an open economic model in line with China’s national conditions and conduct welfare analysis based on output and price stability. The results show that: the impact of net worth effects on the economy is non-neutral,while the impact of foreign exchange intervention on the economy is neutral;the impact of net worth effects on welfare loss function is nonlinear and discontinuous,and its magnitude depends on the parameters and shocks a country face;the adjustment of the degree of foreign exchange intervention can effectively hedge the net worth effects,but gradual adjustment is not necessarily optimal. Second,we estimate the model parameters and measure the optimal degree of foreign exchange intervention based on the data of China. The results show that in the current situation of serious currency mismatch on credit,China should moderately reduce the degree of foreign exchange intervention. However,in the process of reducing the degree of foreign exchange intervention,the deflation impact of net worth effects on prices has begun to appear. To avoid repeating the mistakes of Japan( the world’s largest creditor),China should not abandon the unconventional monetary policy of foreign exchange intervention in the process of opening up to the outside world.

关 键 词：债权型货币错配 净值效应 外汇干预 福利分析 金融安全 

分 类 号：F832.6[经济管理—金融学] F822