摘要
宏观审慎政策对于防范化解重大风险、维护经济金融稳定具有举足轻重的作用,现有研究主要关注具体的宏观审慎政策工具是否改进社会福利、如何与其他经济政策协调配合,而鲜有对更根本的宏观审慎政策实施的理论依据的探讨,也就难以真正触及最优宏观审慎政策的本质,更难以设计最优政策。本文基于过度借贷负外部性的视角,系统阐释了"过度借贷-负外部性-市场失灵-政府干预-最优宏观审慎政策"的理论机制。具体地,本文通过建立一般均衡模型进行研究,发现无政策干预下借款人的过度借贷行为会产生严重的负外部性,导致经济陷入借贷约束收紧、消费减少、资产价格下跌的恶性循环,最终加剧金融危机的发生;而政府可以通过宏观审慎政策干预借款人的过度借贷行为,当借贷水平达到社会最优时,宏观审慎政策就实现了最优设计。在此基础上,数值模拟表明,最优宏观审慎政策可以大大降低金融危机发生的概率以及金融危机对实体经济的影响程度。在当前实体经济高杠杆危及经济金融稳定的大背景下,本文的研究对于政策当局有效制定宏观审慎政策以防范化解重大风险具有较为重要的理论启示。
One of the great challenges of macroeconomics is to fight against financial instability.Since the global financial crisis,macroprudential policy has been used by governments and central banks in various countries to mitigate systemic risks and safeguard financial stability.The existing literature on macroprudential regulation exclusively focuses on how macroprudential instruments can generate counter-cyclical effects and thus improve welfare,along with discussions on the relationship between macroprudential policy and other economic policies.Yet,the theoretical foundation of macroprudential regulation has not been thoroughly analyzed,which makes the essence of the macroprudential policy hard to be touched.This is an important question as without a proper understanding of the underlying logic between market failure and government intervention,one cannot design optimal macroprudential policy.This paper fills the research gap by developing a stylized three-period general equilibrium model in which agents are subject to a collateral constraint that limits borrowing and negative externalities can arise due to agents’over-borrowing behavior.Such negative externalities reduce social welfare,impede market efficiency and thus lead to a market failure.This paper shows that the government can implement macroprudential regulation to reduce over-borrowing and improve social welfare.Optimal macroprudential policy is used to correct the market failure and restore market efficiency.The model economy consists of borrowers and savers.Borrowers are endowed with one unit of asset and receive a stochastic stream of income.The asset is productive and can be traded at the market price.In addition,borrowers can issue one-period debt which is default-free and will be repaid next period.Each borrower faces an occasionally binding credit constraint that depends on asset prices.In the decentralized economy without government intervention,private agents form rational expectations about macroeconomic variables and correctly evaluate the risks and benefits of their borrowing decisions.However,they fail to consider the general equilibrium effects of their borrowing decisions on asset prices,as a result,they tend to over-borrow.Optimism about the future may lead to a large volume of borrowing,which increases the probability of a binding constraint.When the credit constraint tightens,agents are forced to cut consumption,putting downward pressure on asset prices.This leads to a further tightening of credit constraint.In the model,over-borrowing has negative externalities to the economy,leading to a vicious cycle of lowering asset prices,tightening borrowing constraints,falling consumption,and ultimately increasing financial risks.We find that such over-borrowing behavior can be corrected by macroprudential policy.A tax on borrowing can reduce the amount of borrowing ex-ante and mitigate the detrimental effects of financial crises.In such way,macroprudential policy increases the cost of borrowing and reduces over-borrowing.By reducing the amount of borrowing ex ante,macroprudential policy mitigates the decrease in consumption during financial crises.This mitigates the fall in asset prices and prevents a further tightening of borrowing constraints,improving social welfare.Optimal macroprudential policy is achieved when such a tax is set to control borrowing level to be optimal.At this point,borrowers would choose the amount of debt that a benevolent social planner would do in a centralized economy.Our numerical simulation shows that optimal macroprudential policy can significantly reduce the probability and severity of a financial crisis.With heightened household debt and firm borrowing in China,our paper also has important policy implications for the government to formulate macroprudential policy in order to fight against financial crises.In the household sector,the government should pay enough attention to household debt,in particular household’s mortgage debt,and use a range of macroprudential instruments(e.g.,loan-to-value ratio,property tax)to reduce the risk of a debt crisis.On the firm side,the government should target at the highly-leveraged firms,in particular the state-owned-enterprises(SOEs)with excessive borrowing,and use macroprudential tools(e.g.,leverage ratio,capital requirement)to avoid firms’over-borrowing behavior and mitigate the probability of a financial crisis.In a nutshell,the government should use various macroprudential instruments to reduce the excessive debt in the private sector,and thus mitigate the risk of financial crises.
作者
贾鹏飞
范从来
褚剑
JIA Pengfei;FAN Conglai;CHU Jian(School of Economics,Nanjing University;Yangtze River Delta Economics and Social Development Research Center,Nanjing University;School of Business,Nanjing University)
出处
《经济研究》
CSSCI
北大核心
2021年第3期32-47,共16页
Economic Research Journal
基金
南京大学“文科青年跨学科团队专项”(010414370114)
中央高校基本科研业务费专项基金(010414380001)
国家自然科学基金项目(71902085)的资助
关键词
宏观审慎政策
过度借贷
负外部性
高杠杆
最优政策设计
Macroprudential Policy
Over-borrowing
Negative Externalities
High Leverage
Optimal Policy
