金融摩擦、银行净资产与国际经济危机传导——基于多部门DSGE模型分析

Financial Frictions,Net Worth of Bank and Transmission of International Crisis:Based on Multi-Sector DSGE Model Analysis

本文建立了一个包含贸易品和非贸易品生产的两部门开放经济DSGE模型,同时在模型中引入了带有金融摩擦的银行部门。目的是考察国际经济危机是如何通过影响一个国家的贸易部门的出口需求,进而造成该国银行净资产的损失,并最终加速传导给该国非贸易部门的。模型中银行部门同时为贸易商品和非贸易商品生产部门提供贷款,从而为危机的传导起到了桥梁作用。本文以包括中国在内的新兴市场经济体作为目标对模型进行参数校准。数值模拟结果显示,在存在金融摩擦时,来自贸易部门的出口需求冲击能够更加显著地传导国内经济的非贸易部门;而政府合理的信贷政策能够一定程度上缓解危机的传导。最后本文对出口冲击下金融摩擦和政府信贷政策进行了福利分析。

This paper introduces bank capital and financial frictions into an open DSGE model with export goods sector and non-traded goods sector. Then we see how international crisis affects exports goods sector, then transmits to exports goods sector through the net worth of bank. In our model, bank provides credit to both sectors, thus connects them closer. We calibrate the parameter of our model using the data of emerging economies including China. The impulse response of our model tells that when there are financial frictions, export demand shock in export goods sector transmits to non-traded goods sector more intense. And government can use credit policy to offset this disruption. Finally there is a welfare analysis.