信贷流动性约束、宏观经济效应与货币政策弹性空间

Collateral Constraints, Macroeconomic Effects and the Flexible Space of Monetary Policy

有效动态平衡稳增长和降杠杆是近年来我国宏观调控的主要政策任务,本文以2004年以来我国实施渐进式永久性信贷约束的典型事实作为研究对象,构建一个嵌入家庭、企业、政府和央行的动态一般均衡模型,通过设定模型参数具有时变性,研究了永久性信贷约束和暂时性信贷约束收紧对模型系统均衡影响的宏观经济效应。研究结果表明,永久性信贷约束在长期上能达到不影响产出且有效降低杠杆的目的;而暂时性信贷约束长期上造成产出损失,且降杠杆的政策效果也较弱,在面临技术进步或政府支出冲击时亦是如此。特别是,永久性强信贷约束的宏观经济效果优于永久性弱信贷约束,但长期看,信贷约束强弱在稳增长和降杠杆上并不存在显著差异。反事实模拟分析表明,实施永久性信贷约束能够增强货币政策调控经济增长目标的弹性空间,但同时需要搭配较强盯住杠杆目标的货币政策才能起到更好稳增长和降杠杆的作用。鉴于当前我国贷款价值比远低于70%,此时央行可采取更强盯住杠杆目标的货币政策取向,但不宜在此后过度放宽信贷约束条件。因为,如果当下我国在经历长时期的信贷约束紧缩后逐渐放松,转而实施暂时性信贷约束,则容易引发杠杆规模的快速反弹,而这些政策组合却未能在长期中起到促进经济增长的效果。

The main policy task of macroeconomic regulation and control of China in recent years is to keep a dynamic and effective balance between stable economic growth and deleveraging.Focusing on the fact that the policy with the gradual and permanent credit constraint has been implemented in China since 2004,this paper builds a dynamic general equilibrium model including households,firms,government,and the central bank.In the framework of the model,by setting time-varying parameters,we are the first to study the macroeconomic effect of dynamic adjustments of both permanent and transitory credit constraints on equilibrium of models and the flexibility of monetary policy.Compared with existing research,the main contributions of this paper can be summarized as follows.First,by using a threshold vector autoregressive(VAR)model,we analyze in detail the effects of different monetary policy rules and credit constraint zones.The nonlinear effects of the credit constraint and monetary policy on regulating the economic cycle,inflation,and leverage gap provide empirical support for the theoretical model.Second,we are the first to build a dynamic general equilibrium model with micro-foundations including decision-making agents to study the credit constraints in China.Based on the model,we analyze the effects of time-varying adjustments of reducing both permanent and temporary credit constraints on the dynamic equilibrium of the model.The theoretical analysis is one of the comprehensive studies of the transmission mechanism and macroeconomic effects of the gradual and permanent decline in China’s credit constraints since 2004 and hence is an important supplement to existing literature.Third,a variety of counterfactual analyses are conducted,focusing on the similarities and differences of the macroeconomic effects of both permanent and temporary credit constraints under different credit constraint intensities,different monetary policy rules,and exogenous shocks.In these analyses,taking the policy objectives of stable growth and deleveraging into account,we demonstrate the optimal credit constraint and monetary policy flexibility space in the dynamic equilibriums.The counterfactual analyses show that we can use the model to capture the reality and reform process of China.Further,we can study the policy effect of China’s reform and the concrete evolution path of policy making and implementation via models and counterfactual simulation.The results show that the permanent credit constraint does not affect the output in the long run and can effectively lower the leverage,while the temporary constraint can cause output loss in the long run,and in this case the policy effect of deleveraging is relatively weak.The conclusion still holds even under the exogenous technological progress shock or government expenditure shock.In particular,the macroeconomic effect of permanent strong credit constraint is better than that of permanent weak credit constraint.However,in the long run,there is no significant difference in the impacts of credit constraints with different strengths on stable growth and deleveraging.Based on the counterfactual analyses,the implementation of permanent credit constraints can enhance the flexibility of monetary policy to regulate economic growth.But we need a monetary policy strongly pegging to leverage to achieve the goal of stable growth and deleveraging.Given that the loan-to-value ratio in China is currently well below 70%,the central bank can adopt a monetary policy pegging to leverage at a much higher degree level.However,it is not appropriate to overly relax the credit constraints after the implementation of this monetary policy.The reason is that after a long period of high credit constraints,if the government is gradually relaxing those constraints and decides to lower credit constraints temporarily,it is easy to trigger a quick rebound in the scale of leverage.Finally,this paper proposes corresponding policy implications for the reform,formulation,and implementation of future monetary policy.