双重委托代理视角下金融加速器传导机制研究

发布时间：2018-03-04 16:18

本文选题：金融加速器　切入点：委托代理　出处：《宁波大学》2014年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,在经济虚拟化与金融全球化大背景下,金融因素在宏观经济波动中的重要性越来越显著。由于金融市场存在信息不对称,最初的外部冲击会通过金融市场的传导被强化和持续放大,导致实体经济出现剧烈波动。Bernanke(1989)等人以银行和企业之间因信息不对称而产生的代理成本为切入点,将金融摩擦引入分析框架,提出了金融加速器理论。该理论有力地解释了宏观经济运行中的“小冲击,大波动”问题。而事实上银行并不像传统金融加速器理论中假设的那样完美,银行自身会受到信贷约束的影响,银行与家庭之间同样会由于信息不对称而产生委托代理问题。本文从家庭与银行、银行与企业之间同时存在的委托代理问题出发,建立了一个双重委托代理分析框架,分析金融加速器传导的微观机理。通过双重委托代理信用契约最优化求解,得出结论:企业投资与企业外部融资溢价负相关;企业外部融资溢价不仅与企业净资产负相关,还与银行净资产负相关。此外,从动态角度,分析了技术冲击、风险冲击、货币政策冲击等不同外部冲击通过金融加速器机制对实体经济产生的持续放大效应。对2003-2012年我国A股836家上市公司微观数据的实证研究表明,第一,企业资产负债率对企业投资具有显著的负向影响,银行业金融机构资产负债率的变动同样会使企业投资产生显著的负向变动。不论是企业的资产负债状况还是银行的资产负债状况都会通过影响企业的借款融资能力,从而影响到企业的投资行为。第二,货币政策的变动能够通过改变企业的资产负债状况,影响企业信贷可得性从而影响企业投资。最后从建立健全信用评价和担保体系,以及改变我国金融市场现状两方面提出建议,以减轻金融加速器引起实体经济剧烈波动的负面影响。
[Abstract]:Since 1990s, under the background of economic virtualization and financial globalization, financial factors have become more and more important in macroeconomic fluctuations. The initial external shocks are reinforced and continuously amplified through the transmission of financial markets, leading to violent fluctuations in the real economy. Bernanke1989) et al., starting with agency costs between banks and firms due to asymmetric information. The financial friction is introduced into the analytical framework, and the theory of financial accelerator is put forward. This theory can explain the "small impact" in macroeconomic operation. The problem of big volatility. In fact, banks are not as perfect as the conventional accelerator theory assumes, and banks themselves are subject to credit constraints. The problem of principal-agent between bank and family is also caused by asymmetric information. This paper sets up a double principal-agent analysis framework based on the problem of principal-agent between family and bank and between bank and enterprise. The microcosmic mechanism of financial accelerator transmission is analyzed. By solving the double principal-agent credit contract optimally, the conclusion is drawn that the enterprise investment is negatively correlated with the external financing premium, and the external financing premium is not only negatively related to the net assets of the enterprise, but also to the external financing premium. In addition, from a dynamic point of view, we analyze the impact of technology, the impact of risk, The sustained amplification effect of different external shocks such as monetary policy shocks on the real economy through the financial accelerator mechanism. The empirical study on the microcosmic data of 836 A-share listed companies in China from 2003 to 2012 shows that: first, The ratio of assets to liabilities has a significant negative impact on enterprise investment. The change of asset-liability ratio of banking institutions will also cause a significant negative change in enterprise investment. Both the balance sheet of the enterprise and the balance sheet of the bank will affect the ability of the enterprise to borrow money. Second, the change of monetary policy can influence the enterprise's investment by changing the balance sheet of assets and liabilities and the availability of credit. Finally, from establishing and perfecting the credit evaluation and guarantee system, In order to mitigate the negative effects of the financial accelerator on the violent fluctuation of the real economy, this paper puts forward some suggestions on how to change the present situation of the financial market in China.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.5

【参考文献】