晴天送伞，雨天收伞--对金融摩擦、信贷周期和企业融资难问题的分析

Lending You an Umbrella in Fair Weather and Asking for It Back When It Begins to Rain:Analysis on Financial Frictions,Credit Cycles and Financing Difficulties of China's Enterprises

微观层面上,商业银行有着"晴天送伞,雨天收伞"的行为特征;而在宏观层面上,银行信贷也存在明显的顺周期性特征。本文构建了一个带有金融摩擦的新凯恩斯主义DSGE模型,把对宏观经济现象的分析建立在坚实的微观基础之上,从而将上述两者纳入到一个统一的分析框架之内。此外,本文还运用我国的实际经济数据对模型中的结构参数进行贝叶斯估计,并对模型中的主要经济变量和外生冲击做了脉冲响应函数分析。研究发现:微观层面上,商业银行的信贷紧缩和扩张行为是其在金融市场存在信息不对称问题下的理性决策;宏观层面上,银行信贷的顺周期性是由于存在金融摩擦所导致的;在如今经济增速下行阶段,风险冲击增强了银行的惜贷慎贷情绪,加剧了企业融资难问题。最后,本文根据模型模拟为如何缓解企业融资难问题提出了一些实际的可操作的政策建议。

In a microeconomic perspective, commercial banks are places where they lend you an umbrella in fair weather and ask for it back when it begins to rain. In a macroeconomic perspective, credit cycles are procyclical. We construct a New Keynesian DSGE model which contains financial frictions to analyze the macroeconomic phenomena based on solid foundation of microeconomics, so as to combine the above two into a unified framework. What＇ s more, we estimate the structural parameters in the model by using China＇ s real economic data and Bayesian estimation, and make the impulse response function analysis of main economic variables and exogenous shocks in the model. We find： in the microeconomic perspective, the credit crunch and expansion of commercial banks are rational when there exists asymmetric information. In the macroeconomic perspective, the procyclical credit cycles are caused by financial frictions. As the growth rate of economy declines, the risk shock makes commercial banks be more prudent to lend and enhance the financing difficulties of China＇ s enterprises. At last, we propose several reasonable policy suggestions to decline the financing difficulties of China＇ s enterprises.