商业银行降杠杆的宏观经济效应

Research on Macroeconomic Effects of Commercial Banks' Deleveraging

通过建立包含商业银行、非银行金融机构、政府融资平台、工商企业、家庭等部门的DSGE模型,采用2013年第一季度至2017年第四季度数据,实证分析商业银行降杠杆的宏观经济效应发现:(1)商业银行降杠杆的力度越大,对银行间流动性的冲击就越强,容易导致银行间流动性更加短缺;(2)随着商业银行杠杆率的下降,房地产行业投资规模也将会显著降低;(3)相对于银行间流动性和房地产而言,商业银行降杠杆对GDP和固定资产投资的影响较弱;(4)房地产价格下跌和中央银行提高基准利率将使商业银行主动和被动地调整资产负债结构,降低杠杆率。由此商业银行降杠杆的宏观调控力度,应关注银行间流动性的波动状况,并需前瞻性地掌控各种政策的叠加效应和冲突效应。

Adopting the data from the first quarter of 2013 to the fourth quarter of 2017,we have established the DSGE models of commercial banks,non-bank financial institutions,government financing platforms,industrial and commercial enterprises and families.Empirical analysis shows that the greater the degree of financial institutions’deleveraging,the stronger the impact on the liquidity of the banks,resulting in a more shortage of liquidity in the banks.As the leverage ratio of the financial system declines,the investment scale of real estate industry will decrease significantly.Compared to the liquidity of financial system and real estate,the financial institutions’deleveraging has less impact on GDP and the fixed asset investment.The falling of real estate prices and the increase of the central bank’s benchmark interest rate will impel financial institutions actively and passively adjust their assets-liabilities structures and reduce the leverage.Therefore,the macro-regulation of the financial institutions’deleveraging should focus on the fluctuation of the financial system liquidity,and the predictable control of the superposition and interference effect of various policies.