| The financial crisis of 2008 rewrote low or even zeros bankruptcy rate history of banking sector in recent decades.Principal-agent problems that existed in banking sector for a long time was fully exposed,which means that bank may also be confronted with bankruptcy as enterprises and cause deposit losses of principals(families).Traditional macro studies were limited togive idealized treatment for financial sectors and neglect objective problems.So the deposit losses of families will cause social panic and reduce public credibility in bank,thereby the credit fund scale will be reduced dramatically and great economic fluctuations will be caused.Due to principal-agent relation,the financial friction may be produced between banking sector and families,and influence of bank credit will be exaggerated by financial friction.After being shocked,total bank credit and credit structure will produce an impact on consumption,investment and labor force to various degrees.Then total outputwill be affected and economic fluctuations will be caused eventually.Currently,bank is the backbone of social financing scale and credit is the main way of capital financing in China.It is no doubt that great negative impact on national economy will be produced if the financial friction between banking sector and families leads to bank bankruptcy.Therefore,it has important practical significance to analyze the influence of total bank credit,short-term credit and medium-and-long-termcredit on economic fluctuations supposing there is financial friction in banking sector.Based on the aforementioned significance and purposes,a Dynamic Stochastic General Equilibrium Models(DSGE)is established,including five sectors: families,intermediate production enterprises,final product manufacturers,bank and central bank according to the summary and review of existing literature.The financial friction that exists in banking sector is also integrated into DSGE to analyze the influence changes of total bank credit,short-term credit and medium-and-long-term credit on economic fluctuations.This thesis mainly adopts the methods of equilibrium analysis,theoretical model analysis and general normative analysis.And empirical approaches,such as HP filter,transverse correlation coefficient and so on,are applied comprehensively in statistics description analysis part.Theoretical model analysis is utilized in the construction of theoretical model,in which with or without financial friction,the influence changes of total bank credit,short-term credit and medium-and-long-term credit on economic fluctuations under the impact of negative bank credit.Normative analysis with a certain valuable judgment is adopted to various degrees in countermeasures and suggestions part.The thesis mainly comprises five parts: introduction and literature review,theoretical basis,statistics analysis,construction of theoretical model,main conclusions and countermeasures and suggestions.The first part consists of Introduction and Literature Review,mainly presenting the background information,significance,purposes and innovation of this study,summarizing and commenting on the relative previous literature studies.Part two is theoretical basis that refers to Chapter III.As theoretical basis,ChapterIII summarizes and concludes the relevant theoretical basis offinancial intermediary theory,bank credit transmission theory and theoretical model analysis,then straightens out the bank credit transmission mechanism in the event of financial friction.This part makes theoretical preparation for and foreshadows the following analyses and studies.The third part is statistics analysis,including Chapter IV.It is the part of statistics analysis between credit and variables of economic fluctuations.Factual description and statistical description about the change of bank credit are conducted,and statistical description is also used to present the relationships among total bank credit,long and short-term credit,GDP,consumption,investment and price level.According to theoretical basis and statistics analysis above,four hypotheses are proposed in this part: The first one is that the influence of total bank credit and credit structure varies with financial friction under the impact of negative credit.The second one is that this influence of bank credit on economic fluctuations under the circumstance of financial friction is greater than that of non-financial friction.Thirdly,the influence of total bank credit change on economic aggregate is greater than that of credit structure.The last one is that after being shocked,the fluctuation range of consumption,investment and bank credit are greater than that of total output.Part four is the construction of theoretical model and hypothesis testing,including Chapter V and Chapter VI.The DSGE that includes five sectors: families,intermediate production enterprises,final product manufacturers,commercial bank and central bank is established according to the logical order of capital source and capital usage in Chapter V,in which picture of pulse respond is used to test the theoretical hypotheses of Chapter IV successively in the case of financial friction.Then comparing the stimulation results with the statistics results of ChapterIV.Chapter VI,based on the DSGE model of Chapter V,divides the total credit into short-term and medium-and-long-term credit,and analyzes the influence of short-term and medium-and-long-term credit on economic fluctuations under the circumstance of financial friction.And further discussing the influence of short-term credit and long-term credit on economic fluctuations.Then comparing the stimulation results with the statistics results of Chapter IV.Part five is the conclusion,countermeasures and suggestions,in which pertinent countermeasures and suggestions are proposed according to the results of statistics description in Chapter IV and simulation results of Chapter V and VI and combined with actual economic conditions of China.Main conclusions of this thesis are as follows:1.Total bank credit,short-term credit and medium-and-long-term credit have co-current correlation with GDP.From the total amount perspective,there is great relativity between the changes of total bank credit and that of GDP.From the relativity with GDPperspective,the correlation coefficient of medium-and-long-term credit with GDP changes is lower than that of total bank credit,while higher than that of short-term credit,which indicates that bank credit can promote economic growth greater than medium-and-long-term credit can do,but less than short-term credit can do.2.Total bank credit,short-term credit and medium-and-long-term credit have co-current correlation with investment.The correlation coefficient of medium-and-long-term credit with fixed asset investment is lower than that of total bank credit,while higher than that of short-term credit.At the same time,the correlation coefficient of short-term credit and fixed asset investment is only 0.004,which shows that total bank credit can promote the increase of fixed asset greater than medium-and-long-term credit can do,and short-term credit play very little role in promoting fixed asset investment.3.Total bank credit and credit structure have uncertainty correlation with CPI.The correlation coefficient of short-term credit with CPI is 0.164,which indicates that the increase of short-term credit may cause inflation.While the correlation coefficient of medium-and-long-term credit and total bank credit with CPI is-0.388 and-0.377,which indicates that the increase of medium-and-long-term credit and total bank credit may restrain inflation.4.Total bank credit and credit structure have co-current correlation with resident consumption.Short-term credit may prompt the increase of resident consumption in short term,but medium-and-long-term credit may restrain it.5.After comparing the financial friction from 0 to 0.35,under the impact of bank credit,total credit and credit structure can increase and accelerate the output,consumption,investment and capital formation.Total bank credit will decline rapidly under the influence of bank credit,and the output of main enterprises will display a decreasing trend correspondingly.Then the decline of workers’ wage will follow,and household consumption will be tightened.Short-term credit and medium-and-long-term credit will decline under the influence of bank credit,and the output of enterprises will drop accordingly.Compared with short-term credit,the influence period of medium-and-long-term credit on output,consumption and capital is longer,and the fluctuation range of short-term credit is greater than that of long-term credit.The stable period of long-term credit is lagging behind short-term credit.After concluding and analyzing main conclusions of this thesis,corresponding countermeasures and suggestions are proposed as follows based on our national conditions:1.The government needs to further enhance top-level design and improve the design of principal-agent mechanism between commercial banks and depositors to reduce the occurrence of “adverse selection” and “moral hazard”,so as to stabilize the investment decision of bank and smooth the economic fluctuations,then achieve stable and rapid development of China’s economy.What’s more,the government should further reduce direct intervention and increase indirect guidance in commercial banks.2.Improving information disclosure system of banks.It is suggested that and Measures for the Information Disclosure of Commercial Banks should be further improved.Enhancing legal responsibility of information disclosure,and establishing international standards of bank information disclosure catalog.3.Speeding up the pace of social credit system construction.The government should encourage and support financial institution to make innovations on financial credit products,improve the ability of financial services,maintain security of personal information of financial consumers and protect legitimate rights and interests of financial consumers.Commercial banks should set up a credit record system of “One enterprise,one volume;One person,one account book”.Enterprises of non-commercial bank should also participate in the construction of national credit system.4.Stepping up efforts to supervise.The government should further step up efforts to supervise and regulate asset-liability ratio,investment and information disclosure of banks.Commercial banks should be directed to set up a smooth financing channel between family depositor and enterprise borrowers to promote economic growth and prevent from boom-and-busts of economy.It is suggested that models of “ central bank plus financial supervisory commission” and “central bank plus conduct supervisory authority” should be established to improve supervision system,and counter-cyclical “macro prudential regulation policy” should be expanded in real time.5.Incentive policies should be collocated during crisis times.When collocating incentive policies,central bank should focus on internal coordination,step consistency and effect cooperation of national economy so as to better utilize the collocation effect of monetary policy,fiscal policy,and industrial policy and so on.And then get through economic crisis and achieve constant and stable economic development.6.Stepping up efforts to adjust structural credit.Supervisory authorities should step up efforts to guide commercial banks on rate of short and long-term credit.Real-time monitoring and timely guidance on adjustment range of short and long-term credit rate should be conducted according to different conditions of economic development.The government should also make bank exert greater control over investment quota of high-investment and high-risk industries.Innovation of this thesis is mainly reflected in the following three aspects:1.Large amounts of data are collected,in which relativity of total bank credit,credit structure and economic fluctuation from 1989 to 2014 are analyzed in detail.2.The banking sector with financial friction is introduced into the DSGE model,so that micro basis and macro theoretical analysis are combined perfectly.A new angle of study is formed by applying DSGE model from the perspective of financial friction caused by principal-agent problems of banks and families.3.Simulating the influence of total bank credit and credit maturity structure on economic fluctuations through DSGE model. |
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