银行信贷、企业进出生产和中国经济波动
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| Title | Bank Credit, Firm Entry and Exit, and Economic Fluctuations in China
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| 作者 | 冯玲 关益众 李志远 林静仪 |
| Author | Ling Feng, Yizhong Guan, Zhiyuan Li and Ching-Yi Lin |
| 作者单位 | 上海财经大学;台湾清华大学 |
| Organization | Shanghai University of Finance and Economics, SUFE |
| 作者Email | feng.ling@mail.shufe.edu.cn |
| 中文关键词 | 银行信贷 融资约束 企业扩展边际 |
| Key Words | Bank Credit; Financial Constraint; Firm Extensive Margin |
| 内容提要 | 本文旨在探讨银行资本状况恶化如何影响企业在经济周期波动中的进入或退出生产行为（即企业扩展边际），以及这种进出行为是否及如何放大了实际经济周期的波动。基于VAR的实证数据分析显示，中国银行信贷状况恶化对企业进入生产具有显著负影响。为解释这一负相关性的生成机制，本文构建了一个包含银行部门的动态随机一般均衡（DSGE）模型。模型中，银行与储户之间的代理问题使得银行部门存在内生性的资产负债表约束。研究结果发现，银行部门的融资约束放大了信贷冲击对实体经济的影响。当银行净资本状况恶化时，经济体从银行部门获得的信贷总额将会减少，企业融资成本上升，实际产出、就业、投资和资本积累等均面临较为严重的衰退和缓慢的复苏。如果企业预期其收入难以支付固定生产成本，部分企业会选择退出实体经济，而这进一步恶化了信贷冲击对实体经济的影响。 |
| Abstract | This study explores how the deterioration of bank credit quality in China affects firms' decisions on entries and exits (i.e., changes in the extensive margin) and production (i.e., changes in the intensive margin), how the change in extensive margin amplifies the transmission of financial and technology shocks to real economy. Our empirical evidence using vector autoregression (VAR) model has indicated that deteriorations in Chinese bank credit market conditions have significant negative influences on firm net entries to the market. To explore the potential mechanism behind the stylized fact, we established a dynamic stochastic general equilibrium (DSGE) modelsin which loss-related shocks exist in bank credit quality, potential financial constraints limit the scale of bank credit, and firm production requires the payment of sunk entry costs. Simulation indicated that the interaction of bank balance sheet constraint and the changes in the extensive margin amplifies the impact of exogenous shocks on the real economy. When banks experience loss-related shocks regarding credit quality, bank credit tightens, the costs of firm external finance increase, and subsequently some firms exit the market. As a result, the economy displayed a severe recession and a slow recovery. |
| 文章编号 | WP502 |
| 登载时间 | 2013-07-25 |
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