货币政策能够兼顾“稳增长”与“稳杠杆”双重目标吗?--基于不同杠杆环境的比较

Can Monetary Policy Achieve the Dual Targets of Stabilizing the Economy and the Leverage Ratio?A Comparison Based on Different Levels of the Macroeconomic Leverage Ratio

在经济发展新阶段,货币政策如何更好地兼顾“稳增长”与“稳杠杆”双重目标是需要研究的重要问题。为此,本文构建了一个含有高杠杆特征的动态一般均衡模型进行理论分析,并在此基础上利用状态依存的局部投影方法进行实证检验。研究发现,正常时期与高杠杆时期货币政策效果显著不同。正常时期,面对经济下行压力,宽松货币政策冲击能够较好地促进经济扩张并保证宏观杠杆率稳定,从而兼顾“稳增长”与“稳杠杆”。在高杠杆时期,宽松货币政策的“稳增长”效果显著弱于正常时期,而且还会推高宏观杠杆率,从而也难以实现“稳杠杆”目标。原因在于,高杠杆下更多的负债主体因偿债压力陷入“借新还旧”状态中,阻塞了货币政策的有效传导,降低了政策调控效率。

In recent years,China faces the challenges of reduced economic growth and an increased macroeconomic leverage ratio.Thus,boosting the economy while stabilizing the leverage ratio has become an important issue for monetary policy authorities.However,no consensus has been reached about whether an expansionary monetary policy can balance these factors,as the effects of the macroeconomic leverage ratio on the monetary policy have rarely been considered.The effects of the normal state(a relatively lower macroeconomic leverage ratio)and a high leverage state on the transmission of monetary policy may differ substantially.Thus,whether an expansionary monetary policy can simultaneously stabilize the economy and the macroeconomic leverage ratio depends on which state the economy is in.We examine this issue by developing a dynamic general equilibrium model with a high-leverage environment and considering a firm's debt rollover.We find through a comprehensive model simulation that the effects of an expansionary monetary policy on stabilizing the economy and the macroeconomic leverage ratio in the normal state and a high-leverage state are very different.We test the model prediction using the state-dependent local projection(LP)method.The empirical results are consistent with the model prediction,suggesting that an expansionary monetary policy has very different effects in terms of stabilizing the economy and influencing the macroeconomic leverage ratio.Our empirical analysis confirms that the effects of the monetary policy are substantially different in normal and high-leverage states.In the normal state,an expansionary monetary policy can stimulate the economy while keeping the macroeconomic leverage ratio relatively stable in times of economic downturn so that the two targets can be managed simultaneously.In a high-leverage state,however,the effects of an expansionary monetary policy on stimulating the economy are greatly reduced.This also increases the macroeconomic leverage ratio and therefore is not able to achieve debt stabilization,as most debtors must pay back their interest expenses to roll over their debt in the high-leverage state,which weakens the transmission of the expansionary monetary policy.Most of the liquidity injected by the expansionary monetary policy then goes into the financial market instead of the real economy,thus weakening the stimulating effects on the real economy.Our findings have several policy implications.Our conclusions suggest that China should adopt a sound monetary policy to achieve the dual targets of stabilizing the economy and the macroeconomic leverage ratio.The monetary policy should remain modest and,unlike U.S.,which entered a deleveraging phase after the 2008 global financial crisis,quantitative easing should not be applied.In the future,the authorities should also coordinate the fiscal policy and other macro policies to manage the dual targets of stabilizing the economy and the macroeconomic leverage ratio.Our study makes two main contributions.First,we distinguish the normal state from the high-leverage state and reveal that the effects of the monetary policy are substantially different in these two states.The various impacts of the macroeconomic leverage ratio on the monetary policy have rarely been examined in the literature.Second,on the basis of our theoretical analysis,we test the model's prediction that the effects of monetary policy are substantially different in the different states using the LP method.Our empirical results provide comprehensive evidence that stabilizing the economy and the macroeconomic leverage ratio simultaneously is challenging under an expansionary monetary policy in the high-leverage state.Overall,our paper extends the literature and provides theoretical and empirical support for China's recent sound monetary policy stance.Our study also has policy implications in terms of improving the effectiveness of China's monetary policy.