资本配置效率与中国投资波动异质性

Capital Allocation Efficiency and Chinese Investment Dynamics

文章将中国投资波动的矩特征进行跨国对比,总结了中国投资波动的异质性特征,并且构建了引入国内资本市场摩擦和利率风险溢价机制的RBC模型,采用贝叶斯方法校准模拟了中国投资的波动轨迹。研究结果表明:国内资本市场摩擦和国际资本流动摩擦是形成中国投资波动异质性的重要机制,两类机制的引入有助于准确拟合中国投资的波动性、相对波动性、协动性和持续性等各项波动特征;贝叶斯估计得到的中国的资本调整成本和利率风险利差的参数值反映了中国资本配置效率较低,以及国内实际利率受到国际资本流动的影响较高;驱动中国投资波动的外生冲击来源主要是利率风险溢价冲击和偏好冲击等结构性外生冲击。

This paper studies the stylized facts of Chinese investment dynamics by comparing its characteristics with 26 other countries. It builds a real business cycle model extended with domestic capital market and interest rate risk premium, and estimates the model by using Bayesian method. The results show that Chinese domestic capital market friction and interest rate risk premium are the amplification and propagation mechanism which helps to fit the Chinese investment dynamics accurately; the posterior estimation reflects the low capital allocation efficiency and high elasticity of interest rate risk premium to international capital flow; the main external shocks are interest rate risk premium shock and preference shock.