金融摩擦的测算与国际比较:基于DSGE乘数效应的分析

通过构建包含“金融加速器”和合约机制的动态随机一般均衡模型,提出一种测算金融摩擦的新方法。该方法以“金融加速器”理论为依据,通过货币冲击下的脉冲响应计算各国产出乘数和投资乘数,构建反映经济结构和资源禀赋的金融摩擦指标,并进行国际比较。通过数据模拟发现,各国产出和投资呈现明显乘数效应,且乘数效应在发达国家和发展中国家之间存在差异,为构建金融模型指标提供了依据。在货币政策冲击下,短期内金融摩擦与国家发展水平无关,体现出金融摩擦存在的普遍性;长期而言,发展中国家的金融摩擦程度高于发达国家,与发展中国家金融体系不成熟密切相关。相比其他发展中国家,中国的金融摩擦实际较低,体现出金融和信贷市场的相对有效性以及合理监管。提出的金融摩擦测算方法与现实经济运行具有一致性,有助于深刻理解金融摩擦与实体经济的关系。

Measurement of Financial Frictions and International Comparisons Based on Analysis of DSGE Multiplier Effects

Based on the DSGE model with financial accelerator and contacts,this paper brings about a new measure of financial frictions.Based on the theory of financial accelerator,the new measure uses the impulse responses to calculate the output and investment multipliers,which are used for constructing the index of financial frictions.This paper also makes international comparisons.Through numerical simulation,it is found that the output and investment of various countries show obvious multiplier effect,and the multiplier effect is different between the developed countries and developing countries,which provides a basis for constructing financial model indicators.Under the impact of monetary policy,the financial frictions are not related to the development of different countries,which reflects the universality of financial friction.In the long-term,the financial frictions in the developing countries are higher than that in the developed countries,which is closely related to the immature financial system in the developing countries.Compared with other developing countries,China has lower financial frictions,which shows the comparatively efficiency of financial and credit markets.The measure of financial frictions we take is consistent with the economic realities,which is conducive to a profound understanding of the relationship between financial friction and real economy.