货币政策能够兼顾稳增长与防风险吗？——基于动态随机一般均衡模型的分析

为构建金融有效支持实体经济的体制机制,需平衡好稳增长、调结构和防风险三者间的关系。在此背景下,本文在两部门新凯恩斯主义动态随机一般均衡模型中引入异质性抵押约束,探讨货币政策如何兼顾稳增长和防风险,进而促进金融更好地服务实体经济。本文模拟结果显示:(1)降低利率和强化国企抵押约束可促进稳增长与稳杠杆。推动国企贷款利率趋于市场水平并降低非国企贷款成本,积极发挥结构性货币政策工具的作用,将增进其政策效果;(2)2008-2016年宏观杠杆率上升主要与国企抵押约束过松有关,2017年后利率对宏观杠杆率的调控增强;(3)宏观审慎政策框架下,货币政策盯住宏观杠杆率,并根据政策目标和经济背景适时调整利率与杠杆率的内生关系,能够优化货币政策效果。对于降低利率和强化国企抵押约束的政策组合,根据宏观杠杆率的变化同向调整利率水平有利于经济稳步增长和宏观杠杆率趋稳。

Can Monetary Policy Reconcile Sustaining Steady Growth with Preventing Risks in China？ An Analysis Based on Dynamic Stochastic General Equilibrium Modeling

Macro leverage growth in China has been brought under control in recent years and has therefore stabilized. At the first meeting of the Central Committee for Financial and Economic Affairs in April 2018, it was proposed that China should stabilize its macro leverage and quickly reduce the leverage ratio of local government and state-owned enterprises (SOEs). However, stronger financial regulation and U.S.-China trade tensions imposed adverse shocks on the economy's driving force and on public confidence in the economy. The economy experienced increasingly downward pressure. In the face of the COVID-19 shock, the People's Bank of China strengthened counter-cyclical adjustments to monetary policy in 2020. These stronger counter-cyclical adjustments led to a temporary rise in the macro leverage ratio. Some researchers argue that stabilizing economic growth conflicts with stabilizing the macro leverage ratio in terms of counter-cyclical monetary policy adjustments. They therefore argue that monetary policy should now aim to enhance rather than stabilize economic growth.However, monetary policy adjustment may not lead to such a conflict in terms of the economic meaning of the macro leverage ratio and structural deleveraging. In terms of improving credit allocation, when corporations with lower returns deleverage and those with higher returns leverage, resources can be redistributed to better performing corporates. Output productivity will therefore be promoted. This resource redistribution also helps to stabilize the macro leverage ratio and maintain economic growth.We have three key questions. First, can monetary policy reconcile the stabilization of the macro leverage ratio with the maintenance of economic growth？ Second, how can the structural monetary policy instrument cooperate with existing monetary policy instruments to channel funds precisely？ Finally, how can monetary policy facilitate these two goals under the two-pillar framework of monetary policy and macro-prudential policy？ We develop a two-sector New Keynesian dynamic stochastic general equilibrium (DSGE) model. The model includes an SOE sector and a privately owned enterprise (POE) sector, further incorporating collateral constraints for these two sectors' borrowing. We use Bayesian methods with economic data from China to estimate the model. We address the above questions by providing impulse responses, variance decompositions, and historical decompositions.Our findings are as follows. First, maintaining economic growth and stabilizing the macro leverage ratio are not contradictory; rather, they can promote each other. If the central bank lowers interest rates and strengthens SOEs' collateral constraints, credit resources will be directed from SOEs to POEs. This redirection can promote credit allocation efficiency. This will help to maintain stable growth and stabilize the macro leverage ratio. These monetary policy adjustments can therefore enhance the effects of financing, serving the real economy and effectively preventing systemic financial risks. Second, the above effects are related to the borrowing costs of SOEs and POEs. The effects can be reinforced by bringing the SOE loan rate closer to the market rate and implementing structural monetary policy that aims to reduce POE loan costs. Third, collateral constraints on SOEs were the main factor in macro leverage from the second quarter of 2006 to the second quarter of 2018. The adjustment of interest rates has had a greater impact on macro leverage since 2017. Fourth, under the macro prudential policy framework, if the central bank targets the macro leverage ratio according to the Taylor rule, which varies over time according to policy background, then the rule will contribute to the balance between maintaining stable growth, making structural adjustments, and guarding against risks. If the central bank loosens interest rates and strengthens SOEs' borrowing constraints, the interest rate coefficient on the macro leverage ratio should be positive. Based on this Taylor rule setting, a decrease in the macro leverage ratio will make the central bank further reduce interest rates. This decrease will then reinforce the effect of lowering interest rates and strengthen the collateral constraints on SOEs.We make three contributions in this paper. First, we add corporate heterogeneity to the DSGE model according to China's economic features. The model can therefore illustrate credit allocation and the monetary policy mechanism in the corporate sector. Second, we simulate the effect of monetary policy in different settings of corporate borrowing costs to show how the central bank can use structural monetary policy to promote credit allocation and strengthen the effects of financing serving the real economy. This paper provides theoretical insights into the impact of structural monetary policy. Third, we combine the theoretical model with macro leverage ratio data and identify the key factor that drives macro leverage ratio in China. Using counterfactual experiments, we also show how to facilitate the maintenance of economic growth and the stabilization of the macro leverage ratio under the macro-prudential framework.