财政扩张、信用违约和民营企业融资困境

Fiscal Expansion, Credit Default and Financing Difficulty of Private Enterprises

2008年国际金融危机后的财政扩张计划使得民营企业产出比重下降,之后的"去杠杆"又导致民营企业融资更加困难,针对这看似矛盾的现象,本文构建了一个包含金融摩擦的多部门DSGE模型,在一个一致的框架下进行了分析。研究发现,以信贷来支撑的财政扩张,在刺激产出增加的同时,也提高了资金的使用成本,进而对民营企业借贷成本产生影响。去杠杆的过程中出现的大量违约,造成金融中介资产损失,导致金融中介减少贷款,同时通过金融加速器效应使得企业外部融资成本上升。更高的借贷成本和更高的外部融资风险溢价,导致民营企业融资成本大幅上升。对此,要从宏观政策上改善民营企业融资困境,应关注政策或者冲击对银行资产负债表的影响,并通过调节银行准备金或者用财政资金补充银行资本金进行应对。

Financing difficulty has always been an important factor restricting the development of private enterprises.Remarkably,this problem has been aggravated in recent years by not only external factors but also enterprises themselves.In this paper,we tried to figure out what causes the deteriorating financing situation of private enterprises and what role the government’s macro policies play.We began by reviewing the important characteristics of China’s macroeconomy after 2008,and then built up a multi-sector DSGE model to account for these features,in which both the state-owned and privately-owned sectors were introduced.Following Iacoviello(2015)and Bernanke et al.(1999),we also introduced two types of financial frictions to characterize the changes and differences of corporate financing costs:one exists between financial intermediaries and depositors,referred to as the premium between lending and saving;and the other is between financial intermediaries and enterprises,called the financial accelerator effect.Using this model,we aimed to explore the impacts of the representative fiscal expansion,the 4-trillion-yuan stimulus package,and the default shock from the deleveraging policy on the private enterprises’financing and output.The 4-trillion-yuan stimulus package differs from the general fiscal expansion in two ways:the funds are derived primarily from borrowing in the financial market,and are used mainly for infrastructure construction.In view of that,we found that the 4-trillion-yuan stimulus package had directly resulted in an expansion of the state-owned sectors;on the other hand,it had pushed up the lending rate to private enterprises.Specifically,this 4-trillion-yuan stimulus package had increased financial intermediaries’lending cost by the premium between lending and saving,because the fiscal funds were mainly loans given by financial intermediaries.The increased lending cost would be finally passed on to the private enterprise borrowers.Although an increase in asset prices driven by the fiscal expansion had reduced private enterprises’external financing costs through the financial accelerator effect,financial intermediaries’rising lending cost still dominated and thus had caused a decline in investment and output of private enterprises.The deleveraging policy had caused a large number of enterprises to default on their loans.This default shock had taken a toll on financial intermediaries,forcing them to reduce lending and increase benchmark lending rates.This had led to a decline in the investment of private enterprises,and further increased their external financing costs through the financial accelerator effect.In the end,the higher borrowing costs and larger financing risk premiums had contributed to a substantial increase in the financing costs of private enterprises,so that their investment and output fell sharply.Furthermore,our counterfactual analysis showed that in various cases,the friction of the premium between lending and saving played a leading role.According to that,with the adjustment of nominal interest rates restricted,macro policies should match the premium between lending and saving in the financial market.Our research contributes to the emerging literature on the financing difficulties of private enterprises and DSGE models with financial frictions.First,the previous research focuses on the banks’credit policy discrimination against private enterprises.Our paper takes a look at the impact of macro policies on the financial market.This is useful for understanding the current financing problems of private enterprises and taking corresponding countermeasures.Second,previous DSGE models with financial sectors mainly include a certain type of the two frictions,whereas our paper integrates these two into a unified framework,for the first time.We also isolate and compare the role played by each of them.This is an extension and supplement to the literature on the financial cycle.Finally,the 4-trillion-yuan stimulus package has led to a decline in the proportion of output of private enterprises,and the deleveraging policy has made it even harder for private enterprises to raise money and to invest.Our paper clarifies the mechanisms behind this seemingly contradictory phenomenon under a consistent framework.