银行对金融加速器效应的影响——来自1992-2010年中国数据的实证检验

How Banks Affect Financial Accelerator Effects:A Case Study Based on Chinese Data during 1992-2010

本文在开放DNK-DSGE模型框架下研究了银行对金融加速器效应的影响。结果表明:模型中加入银行部门后,金融加速器的存在对外生冲击脉冲响应的影响显著;银行部门的存在显著增强了金融加速器效应,对外生冲击脉冲响应也产生了显著影响。银行状况的改变引致信贷供给"松弛"状态变化直接影响金融加速器效应的变化,当银行所面临的成本向不利方向变化时,如违约风险成本、资金成本和操作成本等,将增强金融加速器效应。此外,研究表明信贷供给量与金融加速器之间存在倒"U"型关系。在此基础上,从利率市场化、影子银行变化和融资市场结构变化等角度指出了下一步的研究方向。

This paper studies how banks affect financial accelerator effects by using the DNK - DSGE model in an open economy. The results show that, with the banking sector joined in the model, the financial accelerator effects make significant influence on exogenous shock pulse response, and the banking sector has significantly enhanced the financial accelerator effects, making significant influence on exogenous shock pulse response. The changing conditions of bank sector will make credit supply relaxation state changed, and will also affect financial accelerator effects. Banks＇ costs increase due to default risk cost, capital cost and operation cost etc. , will enhance financial accelerator effects. In addition, studies have shown that there is an inverted U relationship between credit supply and financial accelerator. Based on the results above, we point out the next research direction from the perspective of interest rate liberalization, shadow banks, as well as financial market structure.