作　　者： (何国华）; (李洁）; (刘岩）;

机构地区： 武汉大学经济与管理学院

出　　处： 《中国工业经济》 2017年第8期25-43,共19页

摘　　要： 受制于金融摩擦中微观基础设置的复杂性,鲜有研究在动态一般均衡框架下对利差形成机制做出详尽的理论分析,以致后续关于最优政策设计的分析进一步受限。本文以一个包含金融中介的一般均衡框架为基础,通过稳态计算厘清了利差形成机制和利差扭曲的影响,并在此基础上刻画了最优信贷政策与最优审慎政策,剖析了两者的稳态性质及动态稳定效应,为当局金融稳定政策制定提供理论规范指引。研究发现:利差扭曲限制了社会资本积累,导致产出下降,并在产出与资本积累同时下降时压缩了投资占比,造成非效率出清。最优信贷份额随利差扭曲同向变动,其中信贷政策的初始成本越小,信贷政策越积极;而最优审慎政策消除利差扭曲的方式是给予银行补贴,该补贴随扭曲增加而上升,且最优补贴水平能够完全消除稳态利差。通过对比最优信贷政策与审慎政策的动态稳定效应,本文阐明了两类政策的本质区别,并发现信贷政策的调控时效性要强于审慎政策,而审慎政策的调控潜在效用要大于信贷政策。进一步的分析表明,虽然最优审慎补贴可完全消除稳态利差扭曲,但银行固有的委托代理本质仍可加剧非效率出清,说明当局在恰当使用稳定政策的同时还需推进金融市场信息公开化。 Due to complications in the micro-foundation of financial intermediation, few works provide a thorough analytical characterization of credit spread distortion in a DSGE framework, which further inhibits the associated optimal policy analysis. Under the framework of DSGE, we characterize the spread distortion in detail, and further solve the optimal steady state credit and macro-prudential policies in closed-form. We supplement the steady state analysis by impulse response, contrasting the no policy case with credit and macro-prudential policies fixed at their optimal steady state levels. We obtain three broad conclusions. Firstly, financial distortion as reflected in a positive spread compresses steady state capital, hence reduces output and consumption. Secondly, optimal credit policy, as represented by government direct lending, varies positively with credit spread and is more sensitive when the corresponding deadweight cost becomes smaller; meanwhile, optimal macro-prudential policy, represented by subsidies to financial intermediary, is able to eliminate the steady state friction. Thirdly, the impulse response analysis clarifies the distinction between two policies： credit policy works more timely while the potential effect of macro-prudential policy is more pronounced. Furthermore, even under the optimal macro- prudential policy, the incentive constraint of the financial intermediaries still induces financial frictions in the dynamics, therefore structural reforms like better information disclosure are necessary to attenuate the incentive problems in the financial intermediaries.

关 键 词： 利差扭曲 金融稳定 政策设计 最优信贷政策 最优审慎政策