金融摩擦、银行净资产与经济波动的行业间传导

Financial Frictions,Net Worth of Bank and the Transmission of Shock among Sectors

本文建立了一个带有银行和金融摩擦的两部门DSGE模型,对存在金融摩擦时经济波动的部门传导过程进行了考察。模型中,银行同时向两个部门提供贷款,从而对波动的传导起到了桥梁作用。运用四大国有商业银行行业贷款数据,我们以房地产和制造业两个部门为目标对模型进行参数校准。数值模拟结果显示,当存在金融摩擦时,来自房地产部门的经济冲击会对制造业产生更加显著的影响。最后,我们分析了政府从量信贷政策对于这一过程的缓解作用。

This paper introduces bank capital and financial friction into a two sector DSGE model to see exoge nous shocks transmit between the two sectors. In our model, bank provides credit to both sectors, thus connects them closer. Using the credit data of the largest four commercial banks in our country, we calibrate the parame ter of the two sectors in our model as real estate sector and manufacturing sector. The impulse response of our model tells that when there is financial friction, exogenous shock in real estate sector transmits to manufacturing sector more intense. We then analyze what government credit policy can do with this phenomenon.