违约风险、银行信贷筛选与货币政策非对称效应

本文构建一个包含企业违约风险与银行信贷筛选的动态随机一般均衡模型，研究银行信贷筛选对货币政策宏观经济效应产生的影响。在参数校准的基础上，分析了货币政策冲击的长期效应与短期效应。研究结果显示：(1)无论是基于长期还是短期效应的角度，银行信贷筛选均显著抑制了扩张性货币政策对宏观经济产生的积极影响；(2)基于货币政策冲击的短期效应可以发现，银行信贷筛选降低了扩张性货币政策的实际效应，并且放大了货币政策对通胀的影响；(3)通过比较扩张性与紧缩性货币政策的脉冲响应可以发现，银行信贷筛选导致货币政策的宏观经济效应存在非对称性特征。福利分析的结果表明，相比无银行信贷筛选的情形而言，银行信贷筛选导致了整体社会福利的恶化。

Default Risk,Banking Credit Screening and the Asymmetric Effects Monetary Policy

Credit discrimination is a common phenomenon in our economy，and it would affects the economy in different ways．For the purpose of analysis the macroeconomic impacts of credit discrimination， a dynamic stochastic general equilibrium model is considered with firm’s default risk and bank’s credit screening behavior, and the macroeconomic effects of monetary policy with banks’ credit screening are investigated. On the basis of parameters calibration, the dynamic path of macroeconomic variables after monetary policy shocks hit the economy is simulated, that is，the impulse response functions of monetary policy．They shows that，firstly，bank’s credit screening restrained the positive effects of monetary policy both for the long and short term，that is to say，the positive effects of positive monetary policy shocks would be smaller when bank’s credit screening existed．Secondly，further，the short term effects of monetary policy shows that bank’s credit screening restrained the real effects of positive monetary policy shocks，and augmented its effects on inflation．That is，when there is bank’s credit screening behavior，the impacts of positive monetary policy on output，employment，investment，and the other real variables will be smaller than the bank’s credit screening behavior disappeared．But when there is bank’s credit screening behavior，inflation will arise much higher when positive monetary policy proposed．Last but not the least important，when comparing the impulse response functions of positive and negative monetary policy shocks, it is found that bank’s credit screening leads to a asymmetric effects of monetary policy．Further，the result of welfare analysis argues that，compared with the circumstance without bank’s credit screening，bank’s credit screening makes the aggregate welfare deteriorates．The results implies that，the monetary policy authority should pay more attention to the asymmetric effects of monetary policy for the purpose of scientific decision of monetary policy．