金融摩擦、银行期限错配与宏观信贷政策

发布时间：2018-05-15 08:22

本文选题：期限错配 + 信贷政策　；参考：《华中师范大学》2017年硕士论文

【摘要】：信贷政策一直以来都是我国调节宏观经济的政策工具之一,2008年全球金融危机前,我国的信贷政策带有明显的行政管理特点,金融危机过后,借鉴国际上应对危机的经验,信贷政策成为我国重要的宏观审慎政策工具之一,可以削弱金融部门顺周期行为对宏观经济波动的放大作用,降低金融系统性风险,增加金融稳定。我国GDP增速从金融危机后开始下滑,当前经济进入“新常态”后有两个明显的特征,一是GDP增速从高速转换为中高速后,为稳住经济增长,政府转向实行积极的财政政策;二是金融危机后我国政府主导了四万亿投资计划,明显加重了银行部门的期限错配现象。我国当前金融系统处于发展阶段,银行部门是我国重要的金融中介,其期限错配特征会对宏观经济政策的传导和最终效果造成不容忽视的影响,基于中国金融系统的特征,考虑到信贷政策在联通财政政策和宏观审慎工具上的特殊性,本文建立了一个包含银行部门和政府部门的DSGE模型,在银行部门设定中引入期限错配摩擦,在政府部门的设定中引入了宏观审慎信贷政策,将货币政策和财政政策作为外部冲击引入模型,全面动态的考察了我国信贷政策作为宏观审慎政策工具的政策效果,并进一步探讨了信贷政策作为宏观审慎政策工具与货币政策之间相互影响机制,以及宏观审慎监管的前提下,当金融系统出现期限错配特征时,对我国信贷政策与货币政策、财政政策搭配使用的效果影响。模型模拟结果表明:1.相对于没有信贷政策,实行了信贷政策后主要宏观经济指标和银行部门主要观测指标在冲击后的波动都有明显减弱,说明信贷政策的实施具有很好的宏观审慎作用,降低了银行部门的顺周期行为对宏观经济波动的放大作用。2.以信贷政策为代表的宏观审慎政策的实施对紧缩性货币政策有一定的平抑作用,宏观审慎政策与货币政策的搭配实施不仅可以增加对宏观经济的调控作用,同时还可以改善银行部门资产负债表情况,降低金融系统性风险,增加金融稳定。3.金融部门期限错配特征对于宏观政策的影响存在着一定的差异:期限错配程度的加深对货币政策的宏观作用效果有轻微的抑制,对金融部门的资产负债表影响强度相对更为显著;期限错配对以信贷政策为体现的财政支出的宏观经济效果的影响相对更加明显,错配程度的加深会显著抑制政府支出的扩张性效果。最后根据模拟结果给出了政策建议。
[Abstract]:Credit policy has always been one of the policy tools to regulate macroeconomic in China. Before the global financial crisis in 2008, the credit policy of our country had obvious administrative characteristics. After the financial crisis, we should learn from the experience of international response to the crisis. Credit policy has become one of the important macro-prudential policy tools in China, which can weaken the amplification of pro-cyclical behavior on macroeconomic fluctuations, reduce the financial systemic risk and increase financial stability. China's GDP growth rate began to decline after the financial crisis. After the current economy entered the "new normal", there are two obvious characteristics. One is that the GDP growth rate has changed from high to medium high speed, in order to stabilize the economic growth, the government has turned to implement positive fiscal policies; Second, after the financial crisis, our government led the 4 trillion investment plan, which obviously aggravated the maturities mismatch phenomenon in the banking sector. China's current financial system is at a stage of development, and the banking sector is an important financial intermediary in our country, whose term mismatch will have a significant impact on the transmission and final effect of macroeconomic policies, based on the characteristics of China's financial system. Considering the particularity of credit policy in China Unicom's fiscal policy and macroprudential tools, this paper establishes a DSGE model which includes the banking sector and government departments, and introduces the term mismatch friction in the banking sector setting. The macro-prudential credit policy is introduced into the government department setting, the monetary policy and fiscal policy are introduced into the model as external shocks, and the policy effect of China's credit policy as a macro-prudential policy tool is comprehensively and dynamically investigated. Furthermore, the paper discusses the mutual influence mechanism of credit policy as a tool of macro-prudential policy and monetary policy, and on the premise of macro-prudential supervision, the credit policy and monetary policy of our country are affected when the term mismatch characteristic appears in the financial system. The effect of fiscal policy combination. The model simulation results show that: 1. Compared with the absence of credit policies, the volatility of the major macroeconomic indicators and the main observational indicators of the banking sector after the implementation of the credit policy has significantly weakened after the impact, indicating that the implementation of the credit policy has a very good macro-prudential effect. Reduced the pro-cyclical behavior of the banking sector to increase macroeconomic volatility. 2. 2. The implementation of macro-prudential policy, represented by credit policy, has a certain stabilizing effect on the contractionary monetary policy. The combination of macro-prudential policy and monetary policy can not only increase the role of macroeconomic regulation, It can also improve the balance sheet of the banking sector, reduce systemic financial risk and increase financial stability. There are some differences in the effect of term mismatch on macro policy in financial sector: the deepening of term mismatch has a slight inhibition on the macro effect of monetary policy. The impact on the balance sheet of the financial sector is relatively stronger; the impact of maturities mismatch on the macroeconomic effects of fiscal spending, as reflected in credit policies, is more pronounced. A deeper mismatch would significantly inhibit the expansionary effect of government spending. Finally, the policy suggestions are given according to the simulation results.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4

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