央行资产负债表、流动性管理与金融稳定——基于动态随机一般均衡模型的分析

Balance Sheet,Liquidity Management and Financial Stability of the Central Bank——Analysis based on dynamic stochastic general equilibrium model

新冠疫情以来,全球央行从传统的货币政策框架转向了对其资产负债表工具的运用。随着疫情防控不断加强、经济复苏态势不明朗,央行资产负债表膨胀引起广泛关注。本文通过建立一个动态随机一般均衡(DSGE)模型,显性构建银行间市场,引入抵押贷款和内生违约机制,模拟分析央行扩表机理、策略、方式与退出机制,及其对流动性与金融稳定的影响。研究表明:第一,中央银行通过抵押贷款机制,进行资产负债表扩张,降低流动性溢价,支持信贷增长,对维护金融稳定、刺激经济增长具有正向效应。第二,从货币政策溢出的角度来看,以修复金融体系功能和作用为目标的央行主动扩表并不会产生明显的溢出效应,而以拉动总需求为目标的央行被动扩表会产生明显的溢出效应。第三,相较单纯的规模调整,“规模+结构”的央行扩表更能有效降低长期利率,降低风险利差,强劲拉动总需求。第四,央行扩表大规模退出,将引起负向的流动性冲击,可能会阻滞经济的复苏进程,但在流动性回收过程中,减少相对较短期限的政策操作,逐步延长政策操作的整体期限,有助于减轻央行缩表的负面影响。

Since the COVID-19 pandemic,central banks around the world have shifted from traditional monetary policy frameworks to the use of their balance sheet tools.As the epidemic continues to strengthen and the economic recovery remains uncertain,the expansion of the central bank’s balance sheet has attracted wide attention.This paper establishes a dynamic stochastic general equilibrium(DSGE)model,explicitly constructs the inter-bank market,introduces the mortgage loan and endogenous default mechanism,simulates and analyzes the mechanism,strategy,mode and exit mechanism of central bank’s expansion,and its impact on liquidity and financial stability.The research shows that:First,through the mortgage loan mechanism,the central bank conducts balance sheet expansion,reduces liquidity premium and supports credit growth,which has a positive effect on maintaining financial stability and stimulating economic growth.Second,from the perspective of monetary policy spillover,the central bank’s active balance sheet expansion aimed at repairing the function and role of the financial system will not produce obvious spillover effect,while the central bank’s passive balance sheet expansion aimed at boosting aggregate demand will produce obvious spillover effect.Third,compared with simple size adjustment,"size+structure"central bank expansion can more effectively reduce long-term interest rates,reduce risk spreads,and strongly stimulate aggregate demand.Fourth,the large-scale withdrawal of the central bank’s balance sheet expansion will cause negative liquidity shock,which may block the economic recovery process.However,in the process of liquidity recovery,reducing the relatively short term policy operations and gradually extending the overall term of policy operations can help mitigate the negative impact of the central bank’s balance sheet reduction.