金融加速器视角下的中国经济波动

【作者】 王博；

【导师】 范立夫；

【作者基本信息】 东北财经大学 ， 金融学， 2019， 硕士

【摘要】 过去很长一段时间,经济学家对货币是中性还是非中性这个问题一直争论不休,货币与信用在经济波动与经济周期中的作用一直是西方经济学说史上亘古不变的议题。现在看来,2008年的世界金融危机已经让这个问题有了非常清楚的结论,货币是中性还是非中性的争论应该完结,货币正在丧失中性特征。货币政策的理论和实践本身就是一个随经济结构的变迁和政策导向的发展而不断变更、深化和完善的过程。最初的古典经济学信奉“萨伊定律”,古典“二分法”把经济分裂为两个互不相关的部分——实际方面与货币方面,认为经济的均衡与否完全取决于各种实物因素,货币只起瞬间的交易媒介作用,之后威克塞尔首先认识到的货币是经济的一个内生因素,提出“累积过程理论”阐明货币对经济均衡和经济波动的影响,再到后来新古典经济学派在经济周期领域的典型代表真实经济周期理论将经济波动设定为外生因素,凯恩斯学派则认为经济波动的根源是来自经济体系的内部,经济学家们对经济的理解和描述在不断的推陈出新,但是始终把货币金融因素对宏观经济的影响排除在分析框架之外,即金融中性假设。直到金融经济周期理论的出现,以金融因素和金融市场为切入点,对金融周期的形成以及与经济周期的相互影响机制进行研究的一系列理论体系逐渐形成。本文广泛吸取全球金融危机以来宏观经济理论最新发展成果,重点讨论解决以下几个问题:金融加速器机制的本质和内涵、金融加速器在金融周期中作用于经济周期的内在机理与功能。本文的起点是金融是否具有独立的运行规律,并对经济产生重大冲击,金融对经济是否是“非中性”的,并均有顺周期性。而金融经由金融加速器机制对经济周期波动发挥何种作用,如何影响长期经济增长,则是本文研究的核心。本文一共分为五部分:第一部分为绪论,包括论文的选题背景和研究意义,以及相关的文献综述,简要介绍了本文结构安排,并阐述了本文可能的创新及不足;第二部分为金融加速器效应的事实特征分析,先是铺垫了相关的理论基础,而后特别运用HP滤波法综合计算了我国金融短周期,重点分析了我国金融周期和经济周期叠加下的金融加速器效应;第三部分为包含金融加速器机制的DSGE模型构建,详细介绍了包含5部门的DSGE模型的构建过程以及各部门间的经济行为和逻辑关系,并进行了参数校准和稳态求解;第四部分为模型结果分析,先从局部分析入手研究了银行监督成本,风险和储蓄溢价对其他主要变量的影响,再进行更复杂的一般均衡模拟;第五部分为结论和政策建议,研究表明结合当前我国的经济和金融环境,并借鉴国外的经验,我国应施行“宽信用+严监管”的政策组合。与国外发达经济体不同的是,我国的金融周期几乎是和经济周期是同步的,随着金融的不断发展和经济结构的改善,金融周期将会逐渐拉长。我国的金融周期存在显著的顺周期特征,且金融周期的拐点会比经济周期提前一个季度。企业自身效用最大化函数确定了杠杆率的下限,而银行自身效用最大化函数则确定了杠杆率的上限,因此控制杠杆率的微观主体在于银行。银行的银行代理、监督和清算成本本身和外源融资溢价本身并不会产生金融加速器效应,其本身存在是对信息不对称的纠正,而二者相对均衡值的偏离会导致不同金融周期内没有正确反应信息不对称,这是产生金融加速器效应的真正原因,之所以消除信息不对称和金融摩擦会使得金融加速器效应减小是因为其偏离的可能随之减小。基于此,本文提出的政策建议主要是针对熨平金融周期以及降低信息不对称以避免偏离的角度提出的,包括:完善企业信息发布平台,加强货币政策周期与监管政策周期的合理配合,引导中美货币政策适度脱钩以及弱化货币政策的信贷传导渠道,加强利率传导渠道。更多还原

【Abstract】 For a long time in the past,economists have been arguing over whether the currency is neutral or non-neutral.The role of money and credit in economic fluctuations and economic cycles has always been an unchanging issue in the history of Western economics.It now appears that the 2008 global financial crisis has made this issue a very clear conclusion.Whether the currency is neutral or non-neutral should end,and the currency is losing its neutral character.The theory and practice of monetary policy itself is a process of continuous change,deepening and perfection with the development of economic structure and the development of policy orientation.The original classical economics believed in "Say’s Law",and the classical "dichotomy" split the economy into two mutually unrelated parts-the practical aspect and the monetary aspect,and the economic equilibrium is entirely dependent on various physical factors.Money only acts as an instantaneous trading medium.After that,Wicksell first realized that the currency is an endogenous factor of the economy,and proposed the "cumulative process theory" to clarify the influence of money on economic equilibrium and economic fluctuations,and then the neoclassical economy.The typical representative of the school in the field of economic cycles,the real economic cycle theory hypothesis,sets economic fluctuations as exogenous factors,and the Keynesian school believes that the root cause of economic fluctuations is the endogenous factors of the economic system.The economists understand and describe the economy.Constantly innovating,but always exclude the impact of monetary and financial factors on the macro economy from the analytical framework,that is,financial neutral assumptions.Until the emergence of the financial economic cycle theory,with financial factors and financial markets as the starting point,a series of theories that study the formation of the financial cycle and the mechanism of interaction with the economic cycle gradually form a system.This paper draws on the latest developments in macroeconomic theory since the global financial crisis,focusing on the following issues:the nature and connotation of the financial accelerator mechanism,and the internal mechanism and function of the financial accelerator in the financial cycle.The starting point of this paper is whether finance has an independent operating law and has a major impact on the economy.Whether finance is "non-neutral" to the economy and has a procyclicality.The role of finance through the financial accelerator mechanism,how it affects economic cycle volatility,and how it affects long-term economic growth is the core of this paper.This paper is divided into five parts:The first part is the introduction,including the background and research significance of the paper,and the related literature review.It briefly introduces the structure of the paper and expounds the possible innovations and shortcomings of this paper.The second part is financial The analysis of the implementation characteristics of the accelerator effect first paves the relevant theoretical basis,and then uses HP filtering method to comprehensively calculate the short financial cycle of China,focusing on the financial accelerator effect under the superposition of China’s financial cycle and economic cycle;the third part is the inclusion The DSGE model of the financial accelerator mechanism is constructed in detail.The construction process of the DSGE model with 5 departments and the economic behavior and logical relationship between the departments are introduced in detail,and the parameter calibration and steady-state solution are performed.The fourth part is the analysis of the model results.From the local analysis,the paper studies the cost of bank supervision,the impact of risk and savings premium on other major variables,and then carries out more complex general equilibrium simulation.The fifth part is conclusions and policy recommendations.The research shows that combined with the current economic and financial environment in China,And drawing on foreign experience,China should implement Wide credit+strict supervision "of the policy mix.Different from foreign advanced economics,China’s financial cycle is almost in sync with the economic cycle.With the continuous development of finance and the improvement of economic structure,the financial cycle will gradually lengthen.China’s financial cycle has a significant procyclical characteristic,and the inflection point of the financial cycle will be one quarter ahead of the economic cycle.The enterprise’s own utility maximization function determines the lower limit of the leverage threshold,while the bank’s own utility maximization function determines the upper limit of the leverage threshold,so the microscopic body that controls the leverage is the bank.The bank’s bank agent,supervision and clearing costs itself and the external financing premium itself do not produce the financial accelerator effect.The existence of itself is the correction of information asymmetry,but the deviation of the relative equilibrium values between the two will lead to different financial cycles.Failure to correctly respond to information asymmetry is the real cause of the financial accelerator effect.Eliminating information asymmetry and financial friction will reduce the financial accelerator effect because the possibility of deviation will decrease.Based on this,the policy recommendations proposed in this paper are mainly aimed at ironing the financial cycle and reducing information asymmetry to avoid deviations,including:improving the enterprise information release platform,strengthening the rational coordination of the monetary policy cycle and the regulatory policy cycle,and guiding The US monetary policy is moderately decoupled and the credit transmission channels of monetary policy are weakened,and interest rate transmission channels are strengthened.更多还原