货币政策与宏观审慎政策双支柱调控下的地方政府债务风险治理

Managing the Risk of Default on Local Government Debt under a Two-pronged Framework of Monetary Policy and Macro Prudential Assessment

本文构建了包含普通企业和地方政府融资平台企业“双违约”、货币政策和宏观审慎政策“双支柱”调控的新凯恩斯DSGE模型,通过贝叶斯估计研究发现:普通企业和地方政府融资平台企业的风险冲击是我国经济波动的重要来源,二者均会带来产出衰退和违约风险增加。扩张性货币政策在促进经济繁荣的同时,也会导致企业杠杆率的攀升,加大两类企业的债务风险;而基于动态准备金调控的逆周期宏观审慎监管政策,则能有效抑制企业债务规模,并降低两类企业的违约率,同时也会引起实体经济的小幅紧缩。“双支柱”的调控效果优于单一政策工具,且区分普通企业与地方政府融资平台企业的“差别准备金动态调整”的逆周期宏观审慎政策能进一步提高社会福利。

Since 2015,the implicit debt of local governments in China has attracted increasing attention both inside and outside China.According to data from the Ministry of Finance,the total explicit debt of local governments in China amounted to 21.3 trillion yuan by the end of November 2019,which was 21%of China's GDP.In 2019,the China International Capital Corporation Limited estimated that the implicit debt of local governments could be as high as 30 trillion Chinese yuan.Obviously,this expansion of local government debt threatens China's economic stability.Since 2016,the People s Bank of China has adopted a Macro Prudential Assessment(MPA)system,establishing a two-pronged framework of economic management that involves both monetary policy and MPA.The core functions of MPA are to control the amount of credit,to stabilize macroeconomic leverage,and to prevent systemic risk.Our paper constructs a New Keynesian DSGE model that considers both regular firms and local government financing vehicles(LGFVs)in a two-pronged framework of economic management.Using quarterly data from 1995Q1 to 2017Q4,we estimate our DSGE model with Bayesian methods,and quantify the degree to which the default risks of regular firms and LGFVs have contributed to economic fluctuations in the Chinese economy.We examine the welfare effects of the combined factors of monetary policy and the MPA system in the context of various exogenous shocks.Our results indicate that the default risk associated with regular firms and LGFVs exerts a downward pressure on growth,and it increases the probabilities of defaults.Both the default risk of regular firms and default risk of LGFVs are important causes of economic fluctuations,as these two risk sources account for 14%and 3.39%,respectively,of the 1995 to 2017 variations in the GDP growth rate.Second,our findings indicate that although an expansionary monetary policy stimulates growth,it also increases the leverage of firms and elevates the risk of default for LGFVs.On top of the regular monetary policy,the introduction of a countercyclical MPA practice that is based on a dynamic Required Reserve Ratio(RRR)can significantly restrain corporate debt and mitigate the default risk for LGFVs.However,an MPA system can exert moderate pressure on growth.A third implication of our findings is that a joint implementation of a monetary policy and an MPA system can improve economic welfare.Adding the dynamic adjustment of the RRR according to the quality of loans substantially improves the performance of the regular RRR-based monetary policy rule.Our paper s findings are relevant to policy practice in several ways.First,our findings indicate that policy makers should pay sufficient attention to the risks posed by the defaults of regular firms and LGFVs.They should consider such default risks as key targets for financial risk control,and they should make the disposition of non-performing loans from commercial banks a key goal.Policy makers should actively seek to diffuse the risks associated with implicit local government debt,and they should gradually remove the implicit guarantees extended by local governments to LGFVs.At the same time,China'should continue its efforts to dispose of non-performing loans made to regular firms and strengthen the monitoring of risk on loans made by commercial banks.A second implication of our paper s findings is that China'should continue to fine-tune the two-pronged framework by strengthening coordination between monetary policy and MPA policy.Although monetary policy is used to counter cyclical fluctuations,China'should improve the practice of MPA to prevent or resolve major financial risks.Furthermore,China'should avoid flooding the economy with liquidity and thereby prevent increases in the leverage of LGFVs and in the corresponding levels of financial risk.If expansionary policy is needed for stabilizing employment and promoting growth,then it must be accompanied by a suitably tight MPA process to prevent excessive growth in loans.A third implication is that in accordance with the principle of MPA,China'should further implement a policy of differentiated regulation.On the basis of comprehensive and objective evaluations of the various loan businesses and credit risks of commercial banks,policy makers should adopt more stringent regulatory measures for high-risk institutions or high-risk loans.Policy makers should pay particular attention to the sectoral allocation of loans.Tighter regulation is necessary for credit flows to high-risk entities such as LGFVs and real estate firms.MPA measures that are applicable to specific financial institutions should be linked to their key indicators,such as the capital adequacy ratio and the quality of assets.