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金融摩擦、金融冲击和中国经济波动
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TitleFinancial Frictions, Financial Shocks and Chinese Macroeconomic Fluctuations  
作者吴建銮 赵春艳 南士敬  
AuthorWu Jianluan,Zhao Chunyan and Nan Shijing  
作者单位西安交通大学经济与金融学院;西北大学经济管理学院 
OrganizationSchool of Economics and Finance of Xi’an Jiaotong University;School of Economics and Management, Northwest University 
作者Emailwujianluan@126.com;zcynmg@sina.com;nanshijing1@163.com 
中文关键词金融摩擦 经济波动 抵押贷款价值率冲击 违约冲击 
Key WordsFinancial Friction; Default Shock; Loan-to-value Rate Shock; Economic Fluctuations 
内容提要本文通过在一个包含企业和银行两个部门,包含耐心和缺乏耐心两类家庭的DSGE模型中引入信贷市场上借贷双方的金融摩擦,研究双重金融摩擦下金融冲击和传统经济冲击对中国经济波动的不同影响。研究表明:(1)银行信贷摩擦只对影响银行资产净值的金融冲击(如违约冲击)起到放大作用,对其他金融冲击(如抵押贷款价值率冲击)或传统经济冲击不起放大作用。(2)由于挤出效应的存在,家庭违约冲击对经济活动的负面影响要大于企业违约冲击对经济活动的负面影响。(3)企业抵押贷款价值率冲击对总产出、总投资产生正面影响,而家庭抵押贷款价值率冲击对总产出、总投资产生负面的影响。(4)产出、消费和投资在单重金融摩擦模型中的稳态值比在双重金融摩擦模型中的稳态值分别高出0.7%、0.3%和1.8%。(5)一个标准偏差的家庭违约冲击,在双重金融摩擦模型中导致一年后产出下降的量是单重金融摩擦模型中的1.5倍,是RBC模型的4倍。 
AbstractWith the reform and development of the domestic financial industry in recent years, financial factors play a more important role in the economy. Both the enterprise high debt problem, the stock market crash in 2015, and the real estate bubble in 2016, all which tell us that China's credit and financial markets are fragile to these negative impacts. Since 2016, China's non-financial enterprises leverage rate soared from 153% in the end of 2015 to 257% in the end of 2016, ranking first in the world, which increase their risk of default. If the trend goes on like this, China's commercial banks will suffer more loss of default. By the end of 2016, the loss category loan of commercial banks in China is up to ¥2391 million, increased ¥771 million compared to the beginning of the year. Other things being equal, the loan losses of banks will seriously affect the liquidity of banks, leading to financial imbalances and economic fluctuations in China. Although it has been almost 10 years since the outbreak of the Global Financial Crisis(GFC) in 2008, the world economy hasn’t completely recovered from the impact which draws massive discussions and debates continuously. For example ,The Shanghai Development Research Foundation held a symposium of “2017 Symposium on Global Economy and Finance—Reflections on Global Financial Crisis: Causes, Aftermaths and Solutions” on Sep 5th, 2017. Nowadays the global economy , especially China’s economy, is facing a new twist. In order to cope with new changes in global economy, it is still urgent to review and reflect on GFC, particularly via the causes and aftermaths of GFC from current perspectives, by analyzing the transmission mechanism of the financial shocks and the responses of nations to the GFC, and to summarize experiences and lessons from it,. As we all know that financial factors play an important role in business cycle . To account for the role played by different financial shocks and frictions in the economic fluctuations in China, we consider financial frictions on banks, on households, and on firms in a DSGE model with a entrepreneur sector and a bank sector, and we assume two types of households: patient and impatient. We analyze which kind of shocks were amplified by the frictions on banks and how much the redistribution of wealth affect the business fluctuations under different models--the RBC model, a model with traditional financial frictions on both firms and households, and our proposed model, which combines financial and banking frictions. Compared to previous studies, this paper makes the following contributions: (1) We combine two sets of financial frictions in the model: not only entrepreneurs face frictions in obtaining funds from banks, but also banks face frictions in obtaining funds from households. (2) We introduce both the conventional business-cycle shocks as well as redistribution shocks and credit squeezes shocks. Furthermore, we decompose the financial shocks into household default shock, entrepreneur default shock, household loan-to-value rate shock and entrepreneur loan-to-value rate shock. (3) Based on the estimation of the DSGE model, we illustrate the model’s transmission mechanism in the deposit market, the loan market and the capital market by plotting the model-consistent demand and supply curves derived from the relevant Euler equations. (4) We compare the responses to an estimated one standard deviation household default shock in three models: the RBC model, a model with traditional financial frictions on both firms and households, and our model, which combines conventional financial frictions and banking frictions. According to the simulation results, we obtain the following conclusions: (1) The financial frictions on banks work mostly to amplify financial shocks affecting banks’ net worth, but matter relatively less for other financial shocks or traditional business-cycle shocks. (2) Because of the crowding out effect, the negative impact of household default shock on economic activity is greater than the negative impact of entrepreneur default shock. (3) The entrepreneur loan-to-value rate shock has a positive impact on output and investment, while the household loan-to-value rate shock has a negative impact on output and investment. (4) The steady-state output, consumption, and investment are higher in the model without banks than in the model with banks by 0.7%, 0.3% and 1.8% respectively. (5) In the benchmark model of dual financial frictions a one standard deviation household default shock leads to a decline in output after one year is 1.5 times that of a single financial friction model, 4 times that of the RBC model.  
文章编号WP1388 
登载时间2019-07-02 
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