商业银行风险偏好下的小微企业信贷融资约束——基于新凯恩斯主义模型的实证

Creditloan constraints of small-micro enterprises under the risk preference of commercial banks:based on the New Keynesian DSGE model

通过构建商业银行信用风险偏好的新凯恩斯主义模型,将企业违约和抵押资产贬值缺口纳入分析框架,研究了商业银行风险偏好对小微企业信贷融资的影响.研究发现,随着抵押资产贬值幅度增加,小微企业承担风险的临界值降低,借贷成本增加,贷款规模和杠杆率降低,有效产出降低;随着资产风险偏好增加,商业银行对小微企业的贷款利率弹性降低,导致抵押贷款利率提高、借款成本降低、贷款规模和杠杆率增加,及有效产出增加;商业银行对小微企业违约风险偏好增加导致贷款利率弹性上升,抵押贷款利率降低,借贷成本上升,小微企业贷款规模和有效产出减少.

By constructing a new New Keynesian DSGE model of credit risk preference of commercial banks,this paper studies the impact of risk preference of commercial banks on credit loan of Small-micro enterprises by incorporating the gap between corporate default and mortgage asset depreciation into the analysis framework.The study found that with the increase in the depreciation of mortgage assets,the threshold for Small-micro enterprises to take risks decreases,the borrowing cost increases,the loan size and leverage ratio decrease,and effective output decreases;As asset risk appetite increases,the elasticity of commercial banks'loan interest rates to Small-micro enterprises decreases,resulting in higher mortgage interest rates,lower borrowing costs,increased loan size and leverage,and increased effective output;The increased preference of commercial banks for default risk of Small-micro enterprises has led to an increase in the elasticity of loan interest rates,a decrease in mortgage interest rates,an increase in borrowing costs,and a decrease in the size and effective output of small and micro enterprise loans.