“三重压力”叠加冲击与“双支柱”调控策略研究

Research on the Cascading Impacts of"Triple Pressure"and the Strategy of"Dual-pillar"Regulation

近年来,需求收缩、供给冲击、预期转弱“三重压力”成为推动我国经济回升向好需要克服的重要挑战。本文首先在Proxy-SVAR模型中结合符号约束和工具变量同时识别出需求冲击、供给冲击和预期冲击,进一步构建包含金融摩擦和诊断式预期的DSGE模型对三重冲击进行理论建模。研究发现:需求收缩、供给冲击和预期转弱均会对我国实体经济带来紧缩性压力,且三重不利冲击的相互叠加会形成反馈效应。不利供给变动会进一步放大预期转弱对于产出的不利影响,而预期转弱则会强化需求收缩对产出的紧缩效应。诊断式预期形成机制下经济主体预期的内生变化会进一步加剧三重不利冲击导致的实体经济和信贷市场的波动。基于DSGE模型的机制分析表明:预期转弱引发的资产价格下跌,会加剧不利需求冲击对实体部门的紧缩效应;而不利供给冲击带来的劳动时长与企业R&D投资规模的下降,则会进一步加大预期转弱对实体经济活动的不利影响。政策福利分析表明:逆周期的宏观审慎政策应该搭配审慎型货币政策,且审慎型货币政策应重点关注资产价格,而宏观审慎政策则应主要盯住杠杆率和信贷等变量,同时二者还应根据不同的冲击类型瞄准风险溢价等其他合意指标。

In recent years,the"triple pressure"of demand contraction,supply shock and weakened expectations has become an important challenge to overcome in promoting China's economic recovery.We identify the triple shocks simultaneously based on the Proxy-SVAR model with sign restrictions and external instrument.Then,we construct a new Keynesian DSGE model with financial frictions and diagnostic expectation to model the triple shocks.We find that:all the triple adverse shocks would depress the real economy,and there exists cascading effects among the three.Adverse supply movements will amplify the detrimental impacts of weakening expectation on output,and the weakening expectation will reinforce the negative effect of demand contraction.The diagnostic expectation would further exacerbate the volatility of the real economy and credit markets.DSGE model-based mechanism analyses show that weakening expectation will intensify the tightening effects of unfavorable demand shocks on the real sector,and adverse supply movements will amplify the negative impacts of weakening expectation on real economic activity,by reducing the labor hours and discouraging the R&D investment.The policy welfare analyses indicate that counter-cyclical macro-prudential policies should be paired with prudential monetary policies.On the one hand,prudential monetary policy should mainly focus on asset prices,while macro-prudential policy should primarily react to leverage and credit.On the other hand,both should target some other appropriate indicators such as risk premiums,contingent on different types of shocks.