| 444 | 11 | 23 |
| 下载次数 | 被引频次 | 阅读次数 |
本文在传统BGG模型的基础上,通过构建一个包含银行部门(不)稳定度的随机动态一般均衡模型(DSGE),从金融稳定的视角揭示加速器效应"非对称性"的微观机理及其对宏观经济的影响。结论表明:金融加速器的放大机制受到企业自身经营状况和银行机会成本的双重影响;金融不稳定因素通过预期违约损失的方式影响银行部门的机会成本,进而改变放大弹性,最终对加速器效应起到放大作用。因此,当金融部门不稳定时,金融加速器效应更为显著。
Abstract：On the basis of traditional BGG model and by developing a dynamic stochastic general equilibrium model(DSGE) that includes a(in) banking stability,this paper,from the perspective of financial stability,attempts to probe into the microscopic mechanism of "asymmetry" of financial accelerator effect and its macroeconomic impact.It concludes that the amplification mechanism of financial accelerator is affected by both enterprises' operating status and the opportunity cost of banking departments.By means of expected default loss,financial instability does have an effect on the opportunity cost of the banking departments,thereby affecting the amplification flexibility and eventually amplifying the financial accelerator effect.The financial accelerator effect is more distinct when financial environment lacks stability.
1.Ben Bernanke&Mark Gertler.Financial Fragilityand Economic Performance[J].The Quarterly Journal ofEconomics,1990,(1).
2.Ben Bernanke&Mark Gertler.Monetary Policyand Asset Price Volatility[J].Federal Reserve Bank ofKansas City,1999,(4).
3.Ben Bernanke,Cara S.Lown&Benjamin M.Friedman.The Credit Crunch[J].Brookings Papers onEconomic Activity,1991,(2).
4.Ben Bernanke,Mark Gertler&Simon Gilchrist.The Financial Accelerator and the Flight to Quality[J].The Review of Economics and Statistics,1998,(1).
5.Soífa Bauducco,Ale Bulir&MartinCih k.Tay-lor Rule Under Financial Instability.IMF Working Paper,2008.
6.Caprio,G.&Klingebiel,D.Dealing with bankinsolvencies:cross country experience.Policy ResearchWorking Paper,1996,No.1620.
7.Domenico Delli Gatti,Corrado Di Guilmi&Edoar-do Gaffeo.A new approach to business fluctuations:het-erogeneous interacting agents,scalinglaws and financialfragility[J].Journal of Economic Behavior&Organiza-tion,2005,(56).
8.Eric Tymoigne.Asset Prices,Financial Fragility,and Central Banking.The Levy Economics InstituteWorking Paper,2006,No.456.
9.Carmen M.Reinhart&Kenneth S.Rogoff.Is the2007 U.S.Sub-prime Crisis so different?An interna-tional historical comparison,NBER Working Paper,2008,No.13761.
10.Carlson,Thomas B.King,&Kurt F.Lewis,Distress in the Financial Sector and Economic Activity,Working paper,2008,(43).
11.Dubey,P.,Geanakoplos,J.,Shubik,M.(2005),Default and Punishment in General EquilibriumModel with Incomplete Markets,Econometrica,2005,73(1)
12.Goodhart,C.,P.Sunirand,and D.Tsomocos.A risk assessment model for Banks[J].Annals of Fi-nance,2005,(01).
13.Goodhart C.A.E.,Pojanart Sunirand and Dimi-trios P.Tsomocos.A model to analyse financial fragility[J].Economic Theory,2006,(27).
14.Goodhart C.A.E.,Pojanart Sunirand and Dimi-trios P.Tsomocos,A Time Series Analysis of FinancialFragility in the UK Banking System.NBER Working Pa-per,2004.
15.Goodhart,C.A.E.,P.Sunirand,and D.P.Tsomocos.A model to analyse financial fragility:applica-tions[J].Journal of Financial Stability,2004,(1).
16.Gorton,G.,and P.He.Bank Credit Cycles.NBER Working Paper Series,2005,No.11363.
17.Walque,Pierrard&Rouabah,Financial(in)sta-bility,supervision and liquidity injections:a dynamic gen-eral equilibrium approach,Working paper,2009.
18.Shubik,M.,Wilson,C.,The optimal bankrupt-cy rule in a trading economy using fiat money,Journal ofEconomics 1977(37),337-354.
19.Tsomocos,D.P.(2003b),Equilibrium Analy-sis,banking,contagion and financial fragility,Bank ofEngland Working Paper No.175.
20.曹永琴:《金融市场缺陷:加速器还是缓冲器》[J],《经济学家》2009年第10期。
21.杜清源、龚六堂:《带“金融加速器”的RBC模型》[J],《金融研究》2005年第4期。
22.曹永琴、李泽祥:《货币政策非对称效应的形成机理》[J],《金融研究》2007年第3期。
23.赵振全、于震、刘淼:《金融加速器效应在中国存在吗?》[J],《经济研究》2007年第6期。
①Shubik&Wilson(1977)、Subsequently Dubey&Geanakoplos(1992)、Dubey,Geanakoplos,Shubik(2005)等文献已陆续开始引入代表银行部门稳定度的“银行违约概率”来分析银行活动。Tsomocos&Zicchino(2005)指出造成银行出现“违约概率”的原因是多方面的,除了外生冲击、偶然事件以外,主要是由于不同的风险偏好水平以及在此偏好水平下的策略选择。银行部门的违约概率是反映金融脆弱性(金融稳定)的重要指标。本文对违约概率和预期违约损失的设定主要参考Aspachs,Goodhart&Tsomocos(2006)的做法。
基本信息:
DOI：10.14167/j.zjss.2011.07.018
中图分类号:F224;F830
引用信息:
[1]朱莉莉,张旭昆.金融稳定与加速器效应的非对称性[J].浙江社会科学,2011,No.179(07):20-30+154-155.DOI:10.14167/j.zjss.2011.07.018.
2011-07-15
2011-07-15