LPR调整频率、货币政策效率与社会福利损益  

LPR Adjustment Frequency,Monetary Policy Efficiency,and Social Welfare Gains and Losses

作　　者：刘宗明[1] Liu Zongming

机构地区：[1]中国石油大学(华东)经济管理学院

出　　处：《统计研究》2024年第10期49-62,共14页Statistical Research

基　　金：国家社会科学基金一般项目“全球价值链‘欧美亚’异质不确定性对我国经济波动的影响与宏观治理策略研究”(21BJL029);中央高校基本科研业务费专项资金资助“经济危机场景下政府债务违约风险防范与财政整顿策略研究”(22CX04017B)。

摘　　要：基于对我国近年来贷款市场报价利率(LPR)调整频率的观察,本文首先估计了贷款市场报价利率的调整周期,揭示了调整频率的基本事实;然后创新性提出并构建了一个包含贷款市场报价利率调整频率和货币政策的动态一般均衡模型,讨论了调整频率对于货币政策实施效果的影响,以及在供给和需求两侧受阻冲击下不同贷款市场报价粘性导致的宏观经济动态和政企违约风险特征;最后从经济波动和社会福利成本层面分析贷款市场报价频率的理论含义。研究发现,提高贷款市场报价利率调整频率会增进货币政策实施的效率,改善企业违约风险。当经济遭遇供给侧冲击时,较高的调整频率会放大生产率负面冲击的经济衰退效应,并产生更高的企业违约风险;然而当经济遭遇需求侧冲击时,较高的调整频率却会带来信贷利率更大的降幅,从而对宏观经济衰退形成良好缓冲,体现贷款市场报价利率的调整频率对宏观经济影响的状态依赖性。社会福利成本分析发现,贷款报价利率的调整频率对社会福利的影响存在类似特征。当面对供给不确定环境时,提高调整频率会带来社会福利损失;而当面对需求不确定性时,提高调整频率却会带来显著的社会福利改善。研究结论为调整贷款市场报价利率的时机和频率提供了理论基础。Based on an observation of the recent adjustment frequency of the Loan Prime Rate(LPR)in China,this paper first estimates the adjustment cycle of the LPR,revealing the fundamental facts regarding its adjustment frequency.It then innovatively proposes and constructs a dynamic stochastic general equilibrium(DSGE) model that incorporates LPR adjustment frequency and monetary policy,discussing the impact of this frequency on the effectiveness of monetary policy implementation.The model also examines the macroeconomic dynamics and the characteristics of “government-business” default risks under constrained shocks on both supply and demand sides due to varying loan quote stickiness.Finally,the theoretical implications of the LPR adjustment frequency are analyzed from the perspectives of economic fluctuations and social welfare costs.The research finds that increasing the adjustment frequency enhances the efficiency of monetary policy implementation and reduces corporate default risks.However,when the economy faces supply-side shocks,a higher adjustment frequency amplifies the recessionary effects of negative productivity shocks and leads to increased corporate default risks.Conversely,in the context of demand-side shocks,a higher adjustment frequency results in more significant reductions in credit rates,thereby buffering against macroeconomic downturns,demonstrating the state-dependent nature of LPR adjustment frequency's impact on the economy.The analysis of social welfare costs reveals a similar pattern,while an increase in adjustment frequency leads to social welfare losses under supply uncertainty,it significantly improves social welfare in the face of demand uncertainty.The conclusions of this research provide a theoretical foundation for the timely and frequent adjustment of loan market pricing rates.

关 键 词：LPR调整频率 货币政策 经济波动 违约风险 

分 类 号：F832.5[经济管理—金融学]