分配差距扩大、信用扩张和金融危机——次贷危机十年祭 阅读全文
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Title | Inequality, Credit boom and Crisis: Reflection on Subprime Crisis
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作者 | 殷剑峰 王增武 |
Author | Yin Jianfeng and Wang Zengwu |
作者单位 | 对外经济贸易大学金融学院 |
Organization | University of International Business and Economics |
作者Email | yjf1209@vip.sina.com;zwwang@amss.ac.cn |
中文关键词 | 分配差距 信用扩张 金融危机 |
Key Words | Inequality; Credit Boom; Crisis |
内容提要 | 本文以美国次贷危机为背景,基于一个在同代人之间存在分配差距的代际交叠模型,分析了分配差距扩大导致的内生信用扩张和利率、房价、杠杆率等的变化。与次贷危机前的典型特征相符,我们发现,即使没有外生的信用扩张因素,收入分配差距扩大也会在居民部门内部推动金融资产向收入中高端集中和金融负债向收入中低端集中,从而形成内生性的信用扩张。在这一过程中,储蓄率和利率下降,房价上涨,并且,如果只观察居民部门整体的资产负债质量,会大大低估实际存在的金融风险,因为收入中低端的杠杆率、尤其是违约概率显著大于整体平均水平。对于我国当前房价的过快上涨和居民部门杠杆率的过快上升,我们需要保持高度警惕,需要监控负债在不同收入水平家庭间的分布。 |
Abstract | With the background of U.S. subprime mortgage crisis in 2007, we build an overlapping-generations model in which exogenous inequality exists in the same generation to analyze the relationship between inequality, credit boom and crisis. We find rising inequality results in endogenous credit boom through concentration of financial asset in richer households and concentration of financial liability in poorer ones, and as stylized facts of subprime crisis show, the whole household sector's saving rate and interest rate decrease while housing price increases. During this process, observing the total balance sheet of household sector underestimates the real risk because the leverage and default rate of households with lower income are much higher than average level. |
文章编号 | WP1241 |
登载时间 | 2017-11-17 |
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