|
|
|
| Can Monetary Policy Achieve the Dual Targets of Stabilizing the Economy and the Leverage Ratio？ A Comparison Based on Different Levels of the Macroeconomic Leverage Ratio |
| LIU Zhexi, GUO Junjie, TAN Hanyu, CHEN Yanbin
|
School of International Trade and Economics, University of International Business and Economics;
School of Finance, Central University of Finance and Economics;
School of Economics, Renmin University of China |
|
|
|
Abstract In recent years, China faces the challenges of reduced economic growth and an increased macroeconomic leverage ratio. Thus, boosting the economy while stabilizing the leverage ratio has become an important issue for monetary policy authorities. However, no consensus has been reached about whether an expansionary monetary policy can balance these factors, as the effects of the macroeconomic leverage ratio on the monetary policy have rarely been considered. The effects of the normal state (a relatively lower macroeconomic leverage ratio) and a high leverage state on the transmission of monetary policy may differ substantially. Thus, whether an expansionary monetary policy can simultaneously stabilize the economy and the macroeconomic leverage ratio depends on which state the economy is in.
We examine this issue by developing a dynamic general equilibrium model with a high-leverage environment and considering a firm's debt rollover. We find through a comprehensive model simulation that the effects of an expansionary monetary policy on stabilizing the economy and the macroeconomic leverage ratio in the normal state and a high-leverage state are very different. We test the model prediction using the state-dependent local projection (LP) method. The empirical results are consistent with the model prediction, suggesting that an expansionary monetary policy has very different effects in terms of stabilizing the economy and influencing the macroeconomic leverage ratio.
Our empirical analysis confirms that the effects of the monetary policy are substantially different in normal and high-leverage states. In the normal state, an expansionary monetary policy can stimulate the economy while keeping the macroeconomic leverage ratio relatively stable in times of economic downturn so that the two targets can be managed simultaneously. In a high-leverage state, however, the effects of an expansionary monetary policy on stimulating the economy are greatly reduced. This also increases the macroeconomic leverage ratio and therefore is not able to achieve debt stabilization, as most debtors must pay back their interest expenses to roll over their debt in the high-leverage state, which weakens the transmission of the expansionary monetary policy. Most of the liquidity injected by the expansionary monetary policy then goes into the financial market instead of the real economy, thus weakening the stimulating effects on the real economy.
Our findings have several policy implications. Our conclusions suggest that China should adopt a sound monetary policy to achieve the dual targets of stabilizing the economy and the macroeconomic leverage ratio. The monetary policy should remain modest and, unlike U.S., which entered a deleveraging phase after the 2008 global financial crisis, quantitative easing should not be applied. In the future, the authorities should also coordinate the fiscal policy and other macro policies to manage the dual targets of stabilizing the economy and the macroeconomic leverage ratio.
Our study makes two main contributions. First, we distinguish the normal state from the high-leverage state and reveal that the effects of the monetary policy are substantially different in these two states. The various impacts of the macroeconomic leverage ratio on the monetary policy have rarely been examined in the literature. Second, on the basis of our theoretical analysis, we test the model's prediction that the effects of monetary policy are substantially different in the different states using the LP method. Our empirical results provide comprehensive evidence that stabilizing the economy and the macroeconomic leverage ratio simultaneously is challenging under an expansionary monetary policy in the high-leverage state. Overall, our paper extends the literature and provides theoretical and empirical support for China's recent sound monetary policy stance. Our study also has policy implications in terms of improving the effectiveness of China's monetary policy.
|
|
Received: 17 June 2020
Published: 05 August 2022
|
|
|
|
|
| Cite this article: |
|
LIU Zhexi,GUO Junjie,TAN Hanyu, et al. Can Monetary Policy Achieve the Dual Targets of Stabilizing the Economy and the Leverage Ratio？ A Comparison Based on Different Levels of the Macroeconomic Leverage Ratio[J]. Journal of Financial Research,
2022, 505(7): 20-37.
|
|
|
|
| URL: |
| http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2022/V505/I7/20 |
| [1] |
陈小亮和陈彦斌,2018,《结构性去杠杆的推进重点与趋势观察》,《改革》第7期,第17～30页。
|
| [2] |
陈彦斌、刘哲希和陈伟泽,2018,《经济增速放缓下的资产泡沫研究——基于含有高债务特征的动态一般均衡模型》,《经济研究》第10期,第16～32页。
|
| [3] |
陈彦斌和陈伟泽,2021,《潜在增速缺口与宏观政策目标重构——兼以中国实践评西方主流宏观理论的缺陷》,《经济研究》第3期,第14～31页。
|
| [4] |
胡志鹏,2014,《“稳增长”与“控杠杆”双重目标下的货币当局最优政策设定》,《经济研究》第12期,第60～71页。
|
| [5] |
李宏瑾,2018,《长期性停滞与持续低利率:理论、经验及启示》,《世界经济》第1期,第3～28页。
|
| [6] |
刘莉亚、刘冲、陈垠帆、周峰和李明辉,2019,《僵尸企业与货币政策降杠杆》,《经济研究》第9期,第73～89页。
|
| [7] |
刘晓光和张杰平,2016,《中国杠杆率悖论——兼论货币政策“稳增长”和“降杠杆”真的两难吗》,《财贸经济》第8期,第5～19页。
|
| [8] |
刘晓光和刘元春,2019,《杠杆率、短债长用与企业表现》,《经济研究》第7期,第127～141页。
|
| [9] |
刘哲希和李子昂,2018,《结构性去杠杆进程中居民部门可以加杠杆吗》,《中国工业经济》第10期,第42～60页。
|
| [10] |
马勇和陈雨露,2017,《金融杠杆、杠杆波动与经济增长》,《经济研究》第6期,第31～45页。
|
| [11] |
盛松成和吴培新,2008,《中国货币政策的二元传导机制——“两中介目标,两调控对象”模式研究》,《经济研究》第10期,第37～51页。
|
| [12] |
汪勇、马新彬和周俊仰,2018,《货币政策与异质性企业杠杆率——基于纵向产业结构的视角》,《金融研究》第5期,第47～64页。
|
| [13] |
王宇伟、盛天翔和周耿,2018,《宏观政策、金融资源配置与企业部门高杠杆率》,《金融研究》第1期,第36～52页。
|
| [14] |
张斌,2009,《物价水平的财政决定理论与实证研究》,《金融研究》第8期,第35～51页。
|
| [15] |
张斌,2020,《发达经济体为什么采取宽松货币政策》,《经济学动态》第12期,第28～39页。
|
| [16] |
张晓晶、常欣和刘磊,2018,《结构性去杠杆:进程、逻辑与前景——中国去杠杆2017年度报告》,《经济学动态》第5期,第16～29页。
|
| [17] |
Alpanda, S., and S. Zubairy. 2019. “Household Debt Overhang and Transmission of Monetary Policy”, Journal of Money, Credit and Banking, 51(5): 1266～1307.
|
| [18] |
Bernanke, B. S. 2016. The Courage to Act: A Memoir of a Crisis and Its Aftermath, New York: W. W. Norton & Company.
|
| [19] |
Chang, C., K. Chen, D. Waggoner, and T. Zha. 2016. “Trends and Cycles in China's Macroeconomy”, NBER Macroeconomics Annual, University of Chicago Press, 30: 1～84.
|
| [20] |
Chen, K., J. Ren, and T. Zha. 2018. “The Nexus of Monetary Policy and Shadow Banking in China”, American Economic Review, 108(12): 3891～3936.
|
| [21] |
Drehmann, M. 2013. “Evaluating Early Warning Indicators of Banking Crises: Satisfying Policy Requirements”, BIS Working Papers, No. 421.
|
| [22] |
Eggertsson, G. B., and N. R. Mehrotra. 2014. “A Model of Secular Stagnation”, NBER Working Paper, No. 20574.
|
| [23] |
Fisher, I. 1932. Booms and Depressions, New York: Adelphi Company.
|
| [24] |
Koo, R. 2009. The Holy Grail of Macroeconomics: Lessons from Japan's Great Recession, New York: Wiley.
|
| [25] |
Korinek, A., and A. Simsek. 2016. “Liquidity Trap and Excessive Leverage”, American Economic Review, 106(3): 699～738.
|
| [26] |
Mian, A., and A. Sufi. 2014. House of Debt: How They (and you) Caused the Great Recession and How We Can Prevent It from Happening Again, Chicago: The University of Chicago Press.
|
| [27] |
Minsky, H. P. 1986. Stabilizing an Unstable Economy, New Haven: Yale University Press.
|
| [28] |
Reinhart, C. M., and K. S. Rogoff. 2010. “Growth in a Time of Debt”, American Economic Review, 100(2): 573～578.
|
| [29] |
Svensson, L.E.O. 2013. “‘Leaning Against the Wind' Leads to a Higher (Not Lower) Household Debt-to-GDP Ratio”, Working Paper.
|
| [30] |
Ueda, K. 2012. “Deleveraging and Monetary Policy: Japan sin ce the 1990s and the United States sin ce 2007”, Journal of Economic Perspectives, 26(3):177～201.
|
|
|
|
