Abstract:
This paper puts the credit supply side bank and credit demand side enterprise into a DSGE model including financial endogeneity. It seeks to get the solution to relieve credit pro-cyclicality from the credit supply side and demand side meanwhile by the introduction of dynamic provisioning and chattel mortgage. The simulation results based on financial shock show: first, raising the proportion of chattel mortgage in mortgage loan moderately helps alleviate the financing difficulties and could obviously inhibit economic volatility caused by excessive credit crunch on the background of the downturn; second, the forward-looking counter-cyclical dynamic provisioning policy is better than the traditional backward-looking provisioning policy in ironing economic volatility; third, the combination of high enforcement strength in dynamic provisioning policy and moderate enforcement strength in chattel mortgage leads to minimal welfare loss, the combination of both high enforcement strength in two policies leads to maximal welfare loss. It suggests that making and improving dynamic provisioning policy quickly could effectively alleviate the excessive credit crunch caused by economic downturn and it should set enforcement strength in chattel mortgage scientifically to further improve macro-prudential policy’s effectiveness.
高洁超, 范从来, 杨冬莞. 企业动产融资与宏观审慎调控的配合效应[J]. 金融研究, 2017, 444(6): 111-125.
GAO Jiechao, FAN Conglai, YANG Dongwan. The Synergistic Effect of Chattel Mortgage Financing for Enterprises and Macro-prudential Regulation. Journal of Financial Research, 2017, 444(6): 111-125.
Antipa P., Mengus E., and Mojon B. 2010. “Would Macroprudential Policies Have Prevented the Great Recession?” Banque de France, mimeo.
Antipa P., Mengus E., and Mojon B. 2010. “Would Macroprudential Policies Have Prevented the Great Recession?” Banque de France, mimeo.
[16]
Agénor P. R., and Zilberman R. 2015. “Loan Loss Provisioning Rules, Procyclicality, and Financial Volatility.” Journal of Banking & Finance, 61: 301-315.
Agénor P. R., and Zilberman R. 2015. “Loan Loss Provisioning Rules, Procyclicality, and Financial Volatility.” Journal of Banking & Finance, 61: 301-315.
[17]
Agénor P. R., Bratsiotis G. J., and Pfajfar D. 2014. “Credit Frictions, Collateral, and the Cyclical Behavior of the Finance Premium.” Macroeconomic Dynamics, 18(5): 985-997.
Agénor P. R., Bratsiotis G. J., and Pfajfar D. 2014. “Credit Frictions, Collateral, and the Cyclical Behavior of the Finance Premium.” Macroeconomic Dynamics, 18(5): 985-997.
[18]
Aslam A., and Santoro E. 2008. “Bank Lending, Housing and Spreads.” University of Copenhagen, Department of Economics, Discussion Paper, No.08-27.
Aslam A., and Santoro E. 2008. “Bank Lending, Housing and Spreads.” University of Copenhagen, Department of Economics, Discussion Paper, No.08-27.
[19]
Bernanke B. S., Gertler M., and Gilchrist S. 1999. “The Financial Accelerator in a Quantitative Business Cycle Framework.” Handbook of Macroeconomics, 1: 1341-1393.
Bernanke B. S., Gertler M., and Gilchrist S. 1999. “The Financial Accelerator in a Quantitative Business Cycle Framework.” Handbook of Macroeconomics, 1: 1341-1393.
[20]
Borio C., Furfine C., and Lowe P. 2001. “Procyclicality of the Financial System and Financial Stability: Issues and Policy Options.” BIS papers, No.1.
Borio C., Furfine C., and Lowe P. 2001. “Procyclicality of the Financial System and Financial Stability: Issues and Policy Options.” BIS papers, No.1.
[21]
Bratsiotis G. J., Tayler W. J., and Zilberman R. 2014. “Financial Regulation, Credit and Liquidity Policy and the Business Cycle.” Centre for Growth & Business Cycle Research Discussion Paper Series, No.196.
Bratsiotis G. J., Tayler W. J., and Zilberman R. 2014. “Financial Regulation, Credit and Liquidity Policy and the Business Cycle.” Centre for Growth & Business Cycle Research Discussion Paper Series, No.196.
[22]
Bouvatier V., and Lepetit L. 2012. “Provisioning Rules and Bank Lending: a Theoretical Model.” Journal of Financial Stability, 8(1): 25-31.
Bouvatier V., and Lepetit L. 2012. “Provisioning Rules and Bank Lending: a Theoretical Model.” Journal of Financial Stability, 8(1): 25-31.
[23]
Beau D., Clerc L., and Mojon B. 2012. “Macro-prudential Policy and the Conduct of Monetary Policy.” Banque de France Working Paper, No.390.
Beau D., Clerc L., and Mojon B. 2012. “Macro-prudential Policy and the Conduct of Monetary Policy.” Banque de France Working Paper, No.390.
[24]
Christensen I., and Dib A. 2008. “The Financial Accelerator in an Estimated New Keynesian Model.” Review of Economic Dynamics, 11(1): 155-178.
Christensen I., and Dib A. 2008. “The Financial Accelerator in an Estimated New Keynesian Model.” Review of Economic Dynamics, 11(1): 155-178.
[25]
Dellas H., Diba B., and Loisel O. 2010. “Financial Shocks and Optimal Policy.” Banque de France Working Paper, No.277.
Dellas H., Diba B., and Loisel O. 2010. “Financial Shocks and Optimal Policy.” Banque de France Working Paper, No.277.
[26]
acoviello M. 2005. “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.” The American Economic Review, 95(3): 739-764.
acoviello M. 2005. “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.” The American Economic Review, 95(3): 739-764.
[27]
Iacoviello M., and Neri S. 2010. “Housing Market Spillovers: Evidence from an Estimated DSGE Model.” American Economic Journal: Macroeconomics, 2(2): 125-164.
Iacoviello M., and Neri S. 2010. “Housing Market Spillovers: Evidence from an Estimated DSGE Model.” American Economic Journal: Macroeconomics, 2(2): 125-164.
[28]
Jermann U., and Quadrini V. 2012. “Erratum: Macroeconomic Effects of Financial Shocks.” The American Economic Review, 102(2): 1186-1186.
Jermann U., and Quadrini V. 2012. “Erratum: Macroeconomic Effects of Financial Shocks.” The American Economic Review, 102(2): 1186-1186.
[29]
Jimenez G., Salas V., and Saurina J. 2006. “Determinants of Collateral.” Journal of Financial Economics, 81(2): 255-281.
Jimenez G., Salas V., and Saurina J. 2006. “Determinants of Collateral.” Journal of Financial Economics, 81(2): 255-281.
[30]
Kiyotaki N., and Moore J. 1997. “Credit Chains.” Journal of Political Economy, 105(21): 211-248.
Kiyotaki N., and Moore J. 1997. “Credit Chains.” Journal of Political Economy, 105(21): 211-248.
[31]
Lim C. H., Costa A., Columba F., Kongsamut P., Otani A., Saiyid M., Wezel T., and Wu X. 2001. “Macroprudential Policy: What Instruments and How to Use Them? Lessons from Country Experiences.” IMF Working Paper, No. 11/238.
Lim C. H., Costa A., Columba F., Kongsamut P., Otani A., Saiyid M., Wezel T., and Wu X. 2001. “Macroprudential Policy: What Instruments and How to Use Them? Lessons from Country Experiences.” IMF Working Paper, No. 11/238.
[32]
Meh C. A., and Moran K. 2010. “The Role of Bank Capital in the Propagation of Shocks.” Journal of Economic Dynamics and Control, 34(3): 555-576.
Meh C. A., and Moran K. 2010. “The Role of Bank Capital in the Propagation of Shocks.” Journal of Economic Dynamics and Control, 34(3): 555-576.
[33]
Majnoni G., and Cavallo M. 2001. “Do Banks Provision for Bad Loans in Good Times? Empirical Evidence and Policy Implications.” Social Science Electronic Publishing, 9:319-342.
Majnoni G., and Cavallo M. 2001. “Do Banks Provision for Bad Loans in Good Times? Empirical Evidence and Policy Implications.” Social Science Electronic Publishing, 9:319-342.
[34]
Ozkan G., and Unsal F. 2013. “On the Use of Monetary and Macroprudential Policies for Financial Stability in Emerging Markets.” Discussion Papers in Economics, University of York, No. 13/14.
Ozkan G., and Unsal F. 2013. “On the Use of Monetary and Macroprudential Policies for Financial Stability in Emerging Markets.” Discussion Papers in Economics, University of York, No. 13/14.
[35]
Ravenna F., and Walsh C. E. 2006. “Optimal Monetary Policy with the Cost Channel.” Journal of Monetary Economics, 53(2): 199-216.
Ravenna F., and Walsh C. E. 2006. “Optimal Monetary Policy with the Cost Channel.” Journal of Monetary Economics, 53(2): 199-216.
[36]
Tayler W., and Zilberman R. 2014. “Macroprudential Regulation and the Role of Monetary Policy.” Economic Working Paper Series in Lancaster University Management School, No.3.
Tayler W., and Zilberman R. 2014. “Macroprudential Regulation and the Role of Monetary Policy.” Economic Working Paper Series in Lancaster University Management School, No.3.
[37]
Zilberman R., and Tayler W. 2014. “Financial Shocks, Loan Loss Provisions and Macroeconomic Stability.” Economic Working Paper Series in Lancaster University Management School, No.23.
Zilberman R., and Tayler W. 2014. “Financial Shocks, Loan Loss Provisions and Macroeconomic Stability.” Economic Working Paper Series in Lancaster University Management School, No.23.
