去杠杆、转杠杆与货币政策传导——基于新凯恩斯动态一般均衡的研究

Deleveraging, Leverage Transferring, Monetary Policy Transmission——Research on NK-DSGE

本文将居民与企业的杠杆率嵌入多部门DSGE系统,研究了居民杠杆率与企业杠杆率分别对利率与房产需求冲击的反应以及杠杆由企业转至居民时产出、通胀与房产价格的变化。依次考察了居民与企业加杠杆、转杠杆(杠杆由企业转至居民)情形下,社会总的福利水平。研究发现,利率冲击导致居民杠杆率与企业杠杆率上升;住房需求冲击导致居民杠杆率下降,而企业杠杆率上升;当杠杆由企业转至居民时,房地产价格上升,而产出与通胀下降;转杠杆时的社会总福利最大,企业减杠杆次之,基准情形(不采取任何政策措施)下的社会总福利最小。本文为更好地理解杠杆率形成机制,为协调有序去杠杆、转杠杆提供了理论依据。

This paper, embedding the leverage ratio of households and enterprises into a multi-sector system, studies the impact of shocks from interest rate and housing demand change on the leverage ratio of households and enterprises respectively, and investigates the changes of overall social welfare level while the leverage transferred from enterprises to households, leading to higher households leverage level and lower enterprises leverage level. The study shows that the leverage ratio of households and enterprises increase as a result of interest rate shock; that the leverage ratio of households decreases but the leverage ratio of enterprises increases as a result of housing demand shock. While leverage transferred from enterprises to households, housing price rises but output and inflation decline. Leverage transferring may lead to the best overall social welfare, followed by enterprises decreasing leverage level, while the benchmark condition, with no policy adopted by government, contributes the least to the overall social welfare.