| Recently,the difficulty and ever-increasing cost of firm's financing problem has become very prominent.The average lending rate of loan reaches as high as 6-7%,and the real lending rate deflated by CPI or PPI is even higher.Taking into account the following facts,the high and increasing interest rate and financing cost is puzzling.First of all,the growth rate of Chinese economy has been sharply reduced after the global financial crisis.More over,the money supply to GDP ratio,namely,M2/GDP also has risen to an unprecedented level.The purpose of this dissertation is to solve the puzzle,and search for the causes of the problem.This dissertation investigates into the problem from three perspectives:the demand of the finacing,the determination of the risk-free interest rate and the supply of the financing.Firstly,based on the DSGE model of Smets and Wouters(2007),we estimate the natural rate of Chinese ecomony by utilizing quarterly economic data between 1992Q1 and 2015Q3.Secondly,we synthesize hypothesis of the financial repression and industrial structure to explain M2/GDP dynamics.In our view,the ever-increasing interest rate and fianancing cost can be explained by the ever-increasing investment ratio and rapid expansion of the tertiary industry,especially the infrastructure and real estate activity.Thirdly,we construct a new monetary policy indicator for China by excluding required reserve deposits from the base money,and formally test the hypothesis that the PBOC's concern of shadow bank expansion contribute to the increase of the the risk-free interest rate and financing cost.Finally,we expand the former DSGE model to be a general equilibrium model with dual-track interest rates and loan-to-deposit ratio constraint,to simulate the effects of funds outstanding for foreign exchange reduction in China.Specially,we focus on how the change of the funds could impact the supply-side ability of the financial system as well as the economy as a whole.The following main conclusions could be drawn from the quantitative analysis:First,the natural rate of interest has been decreasing since the onset of the global financial crisis.Second,the ever-increasing M2/GDP ratio and the fianancing cost can be joinly explained by the rapid expansion of the financing demand from the infrastructure and real estate activities.Third,the volatile and increasing risk-free interest rate can be partly explained by the contractionary action of PBOC who is facing and try to curb the too rapid expansion of the shadow bank.Fourth,our DSGE model simulation shows that after the reduction of the funds outstanding for foreign exchange,the financing costs of firms increase dramatically,the shadow banks expand at the expense of the commercial bank,and macroeconomic indicators deteriorate significantly.This dissertation sheds some new lights on the research of the problem for the following resons:First,a framework to understand the increasing financing cost is introduced systemically for the first time.Contrary to the intuitive description and qualitative discussion style of the former research,we investigate the problem regiously by using quantitative economic model and method.Second,we not only solve the M2/GDP and financing cost puzzle,but also provide a new theory to explain the ever-increasing M2/GDP ratio in China.Third,our new monetary policy indicator for China also could be utilized by other researchers,and thus contribute to the empirical study of Chinese monetary policy.Fourth,the DSGE model with dual tract interest rate regime and loan to deposit ratio constraint can be useful in the studies of Chinese monetary policy,shadow banking and interest rate liberalization problem alike.Last but not the least,our new estimation of the natural interest rate based on medium size DSGE model has overcome the model over-simplication problem of the former research. |
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