价格指数背离、金融摩擦与“去杠杆”

Price Index Divergence, Financial Frictions and “Deleveraging”

我们用一个包含国有企业和民营企业的动态随机一般均衡模型,分析货币政策的价格传导机制。我们发现,当货币紧缩时,由于民营企业面临的金融摩擦更大,其融资成本会提高;而国有企业在隐性担保下仍能够以较低的利率获得贷款。由于国有企业主要生产上游的投资品,民营企业主要生产下游的消费品,两类企业之间的融资成本差异传导到价格上便体现为CPI高于PPI。当采用加息的方式试图"去杠杆"时,民营企业的杠杆率先升后降,而国有企业的杠杆率长时间徘徊在高位。

We formulate a two-sector DSGE model to examine the mechanism through which monetary policies are transmitted to prices. After monetary tightening, since privately owned enterprises(POEs) face more financial frictions, they pay even higher interest rates. Meanwhile, state owned enterprises(SOEs) can still enjoy relatively cheap credit because of soft budget constraints. SOEs produce upstream investment goods, and POEs produce downstream consumption goods. Thus, CPI will be higher than PPI due to this financing cost difference. If deleveraging by raising interest rates, leverage ratios of POEs will first go up and then go down, whereas those of SOEs will persist.