金融摩擦异质性、资源错配与全要素生产率损失

Financial Friction Heterogeneity, Resources Misallocation and TFP Loss

本文利用宏观经济数据,实证分析银行信贷扩张对国有部门和非国有部门投资的影响。研究结果显示,信贷扩张时,国有部门投资的上升幅度显著大于非国有部门投资的上升幅度,表明金融摩擦存在部门异质性。本文建立一个包含国有部门、非国有部门及金融摩擦存在部门异质性的RBC模型,研究金融摩擦异质性对全要素生产率、总产出和总消费的影响。数值模拟结果显示:在稳态时,金融摩擦异质性造成全要素生产率损失为0.987%—2.577%,总产出损失为1.971%—4.685%,总消费损失为2.188%—5.2%。当经济面临宽松的货币冲击时,金融摩擦异质性可以解释国有部门相对于非国有部门的显著扩张。在动态经济中,金融摩擦异质性加剧了资源错配程度,造成了额外的配置效率损失和产出损失,分析结果表明额外的损失是重要的。此外,金融摩擦异质性削弱了货币政策对经济的刺激效果。政府通过供给侧改革缓解非国有部门及中小企业融资难的问题,有利于优化经济结构,改善配置效率,提高货币政策对经济的拉动作用,增加社会总福利。

In the more than 40 years of reform and opening up of the Chinese economy, the non-state-owned enterprises(non-SOEs) have been developed sustainably and rapidly, but the state-owned enterprises(SOEs) still play an important role in the development of the entire national economy. The transition from SOE to the non-SOE is the remarkable feature of China’s economic reform process. At the same time, China’s financial market development is still incomplete. Although China’s capital market has developed rapidly in recent years, bank credit is still the main source of financing for corporate investment(Song et al., 2011). Many studies have found that non-SOEs, especially small-and medium-sized enterprises, are generally suffering from financing problems. Commercial banks are more willing to lend funds to large state-owned enterprises. This indicates that there is sectoral heterogeneity in financial friction. As financial markets play a central role in resources allocation, incomplete financial markets will distort the allocation of credit among different sectors, which will then affect resource allocation efficiency and total factor productivity(TFP). Therefore, it is particularly important to understand how incomplete financial markets affect the allocation of resources across different sectors. This paper attempts to establish a theoretical model to explore the impact of financial friction heterogeneity on resource allocation efficiency, and to measure the efficiency loss caused by financial friction heterogeneity and its impact on social welfare.This paper uses macroeconomic data to study the effects of credit expansion on SOE and non-SOE investment. The empirical results show that the increase in SOE investment is significantly greater than that in non-SOE investment, which implies financial friction heterogeneity. We build a RBC model that involves the SOE and non-SOE sectors and the sectoral heterogeneity of financial frictions to evaluate the influence of financial friction heterogeneity on resource allocation efficiency, total output and total consumption. We calibrate the model based on the Chinese economic characteristics. The simulation results show that in steady state, TFP loss resulted from financial friction heterogeneity is 0.987%-2.577%, output loss is 1.971%-4.685% and consumption loss is 2.188%-5.2%. Under the shock of expansionary monetary policy, financial friction heterogeneity can account for the asymmetry responses between SOE and non-SOE. In dynamic economy, financial friction heterogeneity further deteriorates misallocation and causes extra TFP loss and output loss. The quantitative results show that extra loss is important. In addition, financial friction heterogeneity weakens the stimulus effects of monetary policy.The contributions of this paper are as follow. First, this paper combines the resources misallocation with RBC model to analyze the resource allocation efficiency in steady and dynamic states. Almost all previous studies have only analyzed the situation at steady state. This paper attempts to study the resources misallocation in the expansion of monetary policy from the perspective of economic fluctuations, thus providing policy suggestions for monetary policy making. Second, this paper introduces deposit and loan spreads into RBC model, which is in line with the characteristics of interest rate regulation in China’s financial intermediaries. On this basis, this paper analyzes the impact of easy monetary policy on macroeconomic fluctuations and TFP. Third, this paper introduces financial friction heterogeneity between different sectors, characterizing the structural differences between SOEs and non-SOEs. Therefore, this paper can account for the asymmetry of macroeconomic fluctuations between SOEs and non-SOEs under the expansionary monetary policy.This paper has important policy implications. First, the government can adopt a structural monetary policy to strengthen support for non-SOEs, especially small-and medium-sized enterprises, so as to alleviate the difficulty of financing for small-and medium-sized enterprises. As a result, the structural monetary policy will improve the resource allocation efficiency while maintaining the stability of macroeconomy.Second, for small-and medium-sized enterprises that face financing difficulties, the government can use policies such as tax and fee reductions to support them. Also, the government need to promote and improve the building of credit systems for small-and medium-sized enterprises, and increase the enthusiasm of commercial banks to support the development of small-and medium-sized enterprises through their own credit policies.