| The outbreak of the international financial crisis in 2008 caused serious damage to the economic operation of all countries in the world,and its rapid spread and wide coverage were rarely seen.The financial crisis fully exposed the deficiencies of traditional macroeconomic policies such as fiscal and monetary policies in the regulation of macroeconomics,thus the macro-prudential policies came into being.Academics and policy authorities called for the coordination and cooperation of macro-prudential policies,fiscal policies,monetary policies and other macro policies.Macro-prudential policy and its coordination effect with fiscal and monetary policy have gradually become a hot topic in academic research.Since there are dual financial frictions in the financial market caused by market incompleteness and information asymmetry,demand-side financial friction between enterprises and banks,and supply-side financial friction between banks and households.The existence of financial frictions will have an important impact on the effects of macro-prudential policies,fiscal policies and monetary policies.This requires that when studying macro-prudential policies and their economic stabilization effects with fiscal and monetary policies,we must pay attention to dual financial frictions.However,among the existing studies there is no literature that puts the dual financial friction,macro-prudential and fiscal and monetary policies in a unified analytical framework,and the research on the economic stability effect of dual financial friction and macroeconomic policies is not systematic.So,based on the existing research,this paper uses the new Keynesian DSGE theoretical framework to thoroughly and systematically study the effect of macro-prudential and fiscal and monetary policies on economic stability under the dual financial friction.This not only enriches relevant economic theories,but also provides an important reference for the government to formulate targeted macro-prudential and fiscal and monetary policy regulation measures.Therefore,this study has important theoretical value and practical significance.Firstly,on the basis of systematically combing and summarizing the economic stability effects of macro-prudential and fiscal and monetary policies under dual financial frictions,a new Keynesian DSGE model that includes both dual financial frictions and macro-prudential policies is constructed to evaluate the impact of friction factors on economic stability of the two types of macro-prudential policies,loan-to-value ratio and capital adequacy ratio instruments.The results show that:(1)The model with dual financial friction factors can better depict the characteristics of China’s economic fluctuation,especially capture the linkage relationship between output,consumption and investment.(2)Both loan-to-value ratio instrument and capital adequacy ratio instrument can regulate the macro economy,and the former has a more obvious effect on the counter-cyclical regulation of real economy variables,while the latter has a more significant effect on the credit market variables.(3)Both financial friction have an impact on the policy effects of loan-to-value ratio and capital adequacy ratio instruments.In the case of demand-side financial friction,the policy effect of loan-to-value ratio instrument is more obvious,while the capital adequacy ratio instrument has more significant effect in the case of supply-side financial friction.Secondly,by constructing a new Keynesian DSGE model that can be used to analyze the coordination effect of macro-prudential policies and monetary policies under the dual financial friction,the research finds that:(1)Under the condition of fixed dual financial frictions,the economic stability of different combination forms of macro-prudential policy and monetary policy will be influenced by exogenous shock types.Under technological shocks,the combination of the traditional monetary policy and the two types of macro-prudential policies has the most obvious stabilizing effect on the economic variables except inflation.However,Under the impact of monetary policy shock,the effect of simultaneous implementation of traditional monetary policy and two types of macro-prudential policies on economic stability is not obvious.(2)Both demand-side financial friction and supply-side financial friction affect the economic stability of monetary policy and macro-prudential policy combination,but compared with the supply-side financial friction,the demand-side financial friction has a more significant impact on the economic stability.(3)When other conditions remain unchanged,the greater the financial friction on the demand side or the supply side,the greater the social welfare loss will be.To reduce the social welfare loss,the combination policy of traditional monetary policy and both the two macro-prudential policy is the most effective,followed by macro-prudential elements of monetary policy,the worst is the only traditional monetary policy.Thirdly,through the analysis of the new Keynesian DSGE model on the coordination effect of macro-prudential policies and fiscal policies under the dual financial friction,it is found that:(1)Under the condition of fixed dual financial frictions,the economic stability of different combination forms of macro-prudential policy and fiscal policy will be influenced by exogenous shock types.Under technological shocks,the combination of two types of macro-prudential policy and three types of fiscal policy has the most obvious stabilizing effect.However,in the face of government purchase shock,compared with other policy combinations,the effect of implementing two types of macro-prudential policies and three types of fiscal policies at the same time will be significantly weakened.(2)Both demand-side financial friction and supply-side financial friction affect the economic stability of macro-prudential policies and fiscal policies combination,but compared with the supply-side financial friction,the demand-side financial friction has a more significant impact on the economic stability.(3)When other conditions remain unchanged,the greater the financial friction on the demand side or the supply side,the greater the social welfare loss will be.To reduce the social welfare loss,the implementation of two types of macro-prudential policies of loan-to-value ratio and capital adequacy ratio and three types of fiscal policies of government purchase,transfer payment and tax can effectively reduce the social welfare loss.Compared with macro-prudential policy,the social welfare effect of fiscal policy is more obvious.Finally,by constructing a new Keynesian DSGE model including dual financial friction,macro-prudential policies,fiscal policies and monetary policies,and by means of parameter estimation,impulse response and welfare loss analysis,it is found that:(1)In the case of fixed dual financial frictions,the economic stability effects of different combinations of macro-prudential policies,fiscal policies and monetary policies are closely related to the types of exogenous shocks.(2)Both demand-side financial friction and supply-side financial friction affect the economic stability effects of macro-prudential policies,fiscal policies and monetary policies,but compared with supply-side financial friction,demand-side financial friction has a more significant impact on the economic stability effects of these three macro-policy combinations.(3)The increase of financial friction on the demand side and the supply side will reduce social welfare through the effect of credit premium,while the combination of macro-prudential policy,fiscal policy and monetary policy can effectively reduce the loss of social welfare,and compared with the traditional monetary policy alone,implementing macro-prudential monetary policies or using a combination of traditional monetary policies and macro-prudential policies can improve the level of social welfare.Based on the above theories and the results of numerical simulation,this paper proposes policy suggestions to better leverage the stabilizing effects of macro-prudential and fiscal and monetary policies from the following three aspects:give full play to implement the counter-cyclical macro-prudential policy under dual financial friction function,mitigate the adverse effects of dual financial friction on the combined effect of macro-prudential and fiscal and monetary policies,and establish a three-pillar macro-control system of macro-prudential policy plus fiscal policy and monetary policy. |
