银行业竞争结构与货币政策传导——基于DSGE的研究

Competitive Structure for Banking and Monetary Policy Transmission:Based on the DSGE Method

虽然当前我国经济下行是多种因素共同作用的结果,但并不能否认货币政策有效性仍亟待提高,货币政策传导渠道依旧不畅。货币政策传导机制包含多个环节,我国是直接融资占主导地位的国家,银行是货币政策信贷传导渠道的重要中介,因此,银行市场的竞争程度必然会通过影响银行的放贷行为对货币政策的传导效果产生影响。本文参考G(u|¨)ntner(2009)与Gerali(2010),构建了包含居民、厂商、商业银行与中央银行的动态随机一般均衡模型(DSGE),在DSGE校准的基础上,通过敏感性分析、福利分析与方差分解得出以下结论:银行业的不竞争程度对利率政策的传导有抑制作用。随着银行业竞争程度的提高,利率政策对就业、产出、贷款、投资的有效性将提高。通过考察在银行业不同的竞争程度下,利率冲击、技术冲击、成本加成冲击以及消费者偏好冲击单独性和同时发生时通胀与产出的波动情况,发现随着完全竞争程度的提高,中央银行的福利损失总体而言是减少的。

Although there are many factors resulting in the economy downturn,the effectiveness of monetary policy demanding enhanced should not be neglected,namely,the transmission for monetary policy was still hindered.Given that the transmission for monetary policy included many parts,the banking is the most intermediary of transmission in China in which direct financing dominate else,so it indeed puts on effects on the transmission for monetary policy how much competitiveness on banking through influencing the loan behavior of banking.This paper constructs a DSGE model including household,firm,commercial bank and central bank.Based on calibration,sensitive analysis welfare analysis and variance decomposition,it concluded that the degree of imperfect competition restrain the effects of the transmission for interests rate policy.With the improvement on competitiveness of banking,the effects on employment,output,credit and investment will be enhanced.Studying the volatility of inflation and output caused synergistically and in a single by interest rate impulse,technology impulse,cost markup impulse and preference impulse of consumers based on various competitive levels,it is found that the general loss of the central bank decreased,with the competitive degree for banking increasing.