央行担保品框架下银行贷款的违约风险外移效应——兼论担保品扩容对宏观经济波动与货币政策有效性的影响

Externalization Effect of Bank Loan Default Risk under the Central Bank Collateral Framework:Also on the Impact of Collateral Expansion on Macroeconomic Fluctuations and Monetary Policy Effectiveness

近年来,基于担保品的结构性货币政策频频亮相,已成为我国货币政策的重要组成部分。在此背景下,文章对传统金融加速器模型进行拓展,构建了包含央行担保品框架的动态随机一般均衡模型,并着重探讨了提高信贷资产抵押率所产生的银行贷款违约风险外移效应对宏观经济波动和货币政策有效性的影响。研究发现:第一,提高信贷资产抵押率可以通过违约风险外移效应而降低借款企业的融资成本,但也会提高借款企业的违约风险,降低社会福利;第二,经济面临负面冲击时,提高信贷资产抵押率所产生的违约风险外移效应可以抑制金融加速器效应,从而稳定宏观经济;第三,信贷资产抵押率与总量型货币政策有效性的关系取决于政策工具,提高信贷资产抵押率在数量型货币政策规则下有助于增强货币政策有效性,但在价格型货币政策规则下对货币政策传导效率的影响较小;第四,担保品扩容之后,扩张性借贷便利操作对经济的刺激作用显著增大,并使通胀率显著下降。文章的研究结论对基于担保品框架的借贷便利工具操作具有指导意义。

In June 2018,the People's Bank of China expanded its collateral framework by including credit assets of small and micro firms as eligible collateral.However,existing literature has explored the role of this policy in reducing corporate financing costs from the perspective of empirical analysis,while little studies its impact on macroeconomic fluctuations and monetary policy effectiveness.This paper extends the traditional financial accelerator model and constructs a new dynamic stochastic general equilibrium model that includes a central bank collateral framework.The conclusions of this paper are as follows:First,through the steady state analysis,it finds that central bank collateral expansion will encourage banks to externalize their loan default risk,thereby reducing corporate financing costs,and it will also increase the default risk of borrowing firms,reducing the steady state level of social welfare.Second,it analyzes the impact of central bank collateral expansion on macroeconomic fluctuations by comparing the impact of risk shocks and technology shocks before and after collateral expansion.The results show that,when the economy faces negative shocks,the externalization effect of default risk generated by collateral expansion will suppress the financial accelerator effect,thereby stabilizing the macro economy.Third,it discusses the impact of central bank collateral expansion on monetary policy effectiveness.The study finds that central bank collateral expansion can help to improve monetary policy effectiveness under quantity-based monetary policy rules,but it has little impact on the transmission efficiency of monetary policy under price-based monetary policy rules.Fourth,it extends the one-sector model to a two-sector model with state-owned firms and private firms,and uses the extended model to study the impact of including credit assets of small and micro firms as eligible collateral.The results show that,before collateral expansion,the expansion in lending facility is only beneficial to state-owned firms,and the cost of stimulating total output is the deterioration of resource allocation efficiency;after collateral expansion,the expansion in lending facility can stimulate both types of firm,but it has a greater stimulating effect on high-risk private firms.The main contributions of this paper are as follows:First,it introduces the central bank collateral framework into the financial accelerator model for the first time,which provides a model framework for analyzing the impact of this policy on the macro economy.Second,different from previous empirical analysis,it theoretically analyzes the externalization effect of bank loan default risk caused by including credit assets of small and micro firms as eligible collateral,and finds its role in stabilizing the macro economy.Third,it discusses the impact of central bank collateral expansion on monetary policy effectiveness,which has guiding significance for the practice of central bank monetary policy.