利率冲击的周期与增长效应分析
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| Title | Effects of Interest Rate Shock on Business Cycle and Growth
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| 作者 | 陈昆亭 周炎 黄晶 |
| Author | Chen Kunting, Zhou Yan and Huang Jing |
| 作者单位 | 浙江工业大学经贸管理学院高级经济研究中心 |
| Organization | College of Economics and Management,Zhejiang University of Technology |
| 作者Email | chenkt@zjut.edu.cn，zhouyan@zjut.edu.cn，huangjing2122@163.com |
| 中文关键词 | 利率扭曲 金融冲击 金融摩擦 周期波动 |
| Key Words | Interest Rate Distortion; Financial Shocks; Financial Friction; Cyclical Fluctuation |
| 内容提要 | 本文建立一个以劳动者和企业家分类的两部门动态随机一般均衡周期模型，引入劳动群体偏好差异以及消费、储蓄、投资倾向和行为的不同，同时将利率划分为储蓄利率、贷款利率和资本边际回报利率，并分别考察其短期均衡水平（自然水平）、长期均衡水平以及现实经济中实际执行的政策性利率，研究各自偏差的形成机制和周期波动性影响，研究经济中利率扭曲形成的冲击对宏观经济的影响，并分析这种冲击相对于其他冲击对经济周期波动形成的重要性。模型预测：（1）实际储蓄利率负向冲击，只在很短的时间和很有限的幅度引致经济增长，接着形成远超过增长幅度的大幅度萧条，并导致一般工薪家庭社会平均消费比例下降，企业家家庭平均消费水平上升；（2）金融市场摩擦(存贷款利差) 冲击影响经济稳态解，因而影响中长期经济发展趋势，试验表明一单位的金融部门的需求中的81%来自对投资的挤出，18%来自于对一般工人家庭消费的挤出，1%来自对企业家部门的消费的挤出。因而，对收入分配和长期经济增长都产生影响。综合来看，持续的利率扭曲是形成阶层之间收入差距扩大的重要原因；持续长期的利率扭曲通过收入分配的长期扭曲，导致财富积累差距悬殊，从而影响长期经济增长的潜在动力；利率扭曲对长期经济影响来源于直接的对投资的挤出和间接的收入分配等两种途径。 |
| Abstract | We establish a dynamic stochastic general equilibrium business cycle model including two sectors: workers and entrepreneurs. In this model we distinguish the differences in preferences, consumption, savings and propensities to investment among different agents. We divide the interest rates into saving interest rate, loan interest rate and marginal rate of return on capital. We study their equilibrium levels both in short run and in long run, and the interest rates which are implemented in reality. We give out the formation mechanisms of their biases and their effects on cyclical fluctuations. We also study the effects of interest rate distortion shocks on real economics. We find that the negative shock of real saving interest rate leads to the economic growth only within a limited level and in a very short term. In the long run, such a shock leads to a deeper depression and lows the average consumption level of the general workers’ households, but increases the consumption of the entrepreneurs’ households. Financial friction shock affects the growth trend in the long run. We find the crowding-out effect on investment accounts for 81% of one unit demand of financial sector, the crowding-out on the consumption of the general workers’ households accounts for 18%, and the crowding-out on the consumption of entrepreneurs’ households accounts for 1%. Overall, the lasting interest rate distortion enlarges the income gap, and it also increases the wealth disparity through the distortion of income distribution, then affects the potential power of economic growth in the long run. The interest rate distortion affects the long-run economy by two ways: the direct crowding-out effect on investment and the indirect effect on income distribution. |
| 文章编号 | WP833 |
| 登载时间 | 2015-03-10 |
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