金融冲击、去杠杆与中国宏观经济波动

去杠杆是我国供给侧结构性改革的重要任务之一,而平稳有序地去杠杆是防范化解金融风险的关键:本文通过梳理我国在2016年前后的经济数据,刻画了去杠杆进程中我国宏观经济存在的“扩张—收缩”波动特征。基于此现实,本文在金融加速器理论基础上构建金融经济周期模型,尝试利用违约成本的变化引入金融冲击,从未预期和预期冲击两个视角理解去杠杆背景下中国的宏观经济波动。模型数值模拟结果表明,去杠杆过程前后信贷、杠杆率以及信用利差等重要宏观经济变量的波动不仅源自未预期违约成本的变化。违约成本预期的变化同样也可以很好地解释近年来我国重要宏观经济变量的“扩张—收缩”波动特征,为理解我国去杠杆进程中的宏观经济波动提供了一个新视角。基于本文结果,政府实施去杠杆政策时不仅应充分考虑违约成本的实际变动,还应重视金融机构的预期因素。

Financial Shock,Deleveraging and China's Macroeconomic Fluctuations

Deleveraging is an important task of China’s supply-side structural reform. Stable and orderly deleveraging is the key to guarding against and defusing financial risks. By sorting out China’s economic data around 2016, this paper describes the boom-bust fluctuation characteristics of China’s macro economy in the process of deleveraging. In this context, the paper builds a financial economic cycle model based on the theory of financial accelerator, tries to introduce financial shock by using the change in the default cost, and depicts China’s macroeconomic fluctuations against the background of deleveraging from the perspectives of unanticipated and anticipated shocks. The numerical simulation results of the model show that the fluctuations of important macroeconomic variables such as credit, leverage and credit spreads before and after deleveraging starts are not only caused by changes in unanticipated default costs;the changes in default cost expectations can also explain the boom-bust fluctuation of China’s important macroeconomic variables in recent years, which provides a new perspective for understanding the macroeconomic fluctuations in the process of deleveraging in China. Based on the results of this paper, the government should not only fully consider the actual change in the default cost, but also pay attention to the expectations of financial institutions when implementing the deleveraging policy.