商业研究

商业研究

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部门杠杆与中国经济波动 ——基于DSGE模型的研究

吴建銮1，赵春艳1，南士敬2   

  1. （1.西安交通大学 经济与金融学院，西安 710061； 2.西北大学 经济管理学院，西安 710127）
  • 收稿日期:2019-05-07 出版日期:2019-09-16
  • 作者简介:：吴建銮（1986-），女，福建三明人，西安交通大学经济与金融学院博士研究生，研究方向：宏观计量分析；赵春艳（1973-），女，内蒙古包头人，西安交通大学经济与金融学院教授，博士生导师，经济学博士，研究方向：数量经济理论与方法；南士敬（1984-），男，河北保定人，西北大学经济管理学院副教授，经济学博士，研究方向：数量经济理论与方法、宏观计量分析。
  • 基金资助:
    教育部人文社会科学研究青年基金项目，项目编号：18XJC790009；陕西省社会科学基金项目，项目编号：2018D15；陕西省教育厅项目，项目编号：18JK0752。

Leverage of Departments and Economic Fluctuations in China: Research based on DSGE Model

WU Jian-luan1, ZHAO Chun-yan1, NAN Shi-jing2   

  1. （1. School of Economics and Finance, Xi′an Jiaotong University,Xi′an 710061,China; 2. School of Economics and Management, Northwest University,Xi′an 710127,China）
  • Received:2019-05-07 Online:2019-09-16

摘要： 本文通过在一个包含企业、银行和家庭的DSGE模型中引入家庭部门和企业部门的信贷约束，考察不同部门的贷款抵押率冲击对中国经济波动的影响，以及不同程度的贷款抵押率下技术冲击对经济波动的影响程度。研究结果表明：正向的家庭房贷抵押率冲击对借贷型家庭的贷款、消费和房屋需求以及房价均产生正面影响；对投资、产出和储蓄型家庭的房屋需求均产生负面影响。正向的企业贷款抵押率冲击对企业贷款、投资、产出、工资、两类家庭的劳动供给及其消费均产生正面影响。在面对同样的技术冲击时，较高的家庭房贷抵押率下，消费提升的幅度较大，而产出、投资以及房价提升的幅度却较小。在面对同样的技术冲击时，较高的企业贷款抵押率下，产出、投资和消费提升的幅度都较大，而房价提升的幅度却较小。基于以上结论，须高度关注家庭贷款的不正常增长，警惕家庭房贷杠杆率变动对经济波动的影响；差别化信贷抵押率政策，引导更多资金流向民生，促进资源优化配置。

关键词: 家庭房贷抵押率, 企业贷款抵押率, DSGE模型, 经济波动

Abstract: By introducing credit constraints from family and enterprise sectors into a DSGE model involving enterprises, banks and households, this paper studies the impact of mortgage rate shocks in different sectors on China′s economic fluctuations, and the impact of technology shocks on economic fluctuations under different levels of mortgage rates.The results show that the positive impact of home mortgage rate has a positive impact on the loan, consumption, housing demand and housing price of borrowing households, and has a negative impact on the housing demand of investment, output and saving households.The positive impact of enterprise loan mortgage rate has a positive impact on enterprise loans, investment, output, wages, labor supply and consumption of two types of households. In the face of the same technological shocks, under the higher mortgage rate of household mortgages, consumption has increased significantly, while output, investment and housing prices have increased slightly.In the face of the same technological shocks, under the higher mortgage rate of corporate loans, the increase of output, investment and consumption is larger, while the increase of house prices is smaller.Based on the above conclusions, we should pay close attention to the abnormal growth of household loans, be vigilant about the impact of changes in household mortgage leverage on economic fluctuations, differentiate credit mortgage policy, guide more funds to people′s livelihood, and promote the optimal allocation of resources.

Key words: home mortgage rate, enterprise mortgage rate, DSGE model, economic fluctuation