金融摩擦视角下的银行存贷期限错配、内生风险与宏观效应——基于非线性DSGE模型的分析

本课题的研究构建包含期限错配特征和面临或紧融资约束银行部门的动态随机一般均衡模型（Dynamic Stochastic General EquilibriumModel，简称DSGE model），通过考察银行的资产配置和信贷行为的动态调整规律，仿真推衍其内生风险累积机制和宏观金融经济影响，并进一步据此讨论最优宏观审慎政策设计问题。立足于新常态时期国情和监管实践，本课题引入中国银行体系的“ 政府债券持有”及“内生违约”特征对模型进行扩展，重点考察金融摩擦视角下具有期限错配特征的银行行为调整的非线性和非对称性，并在此基础上提出政策建议。从学术角度讲，本课题有助于丰富和拓展现有金融稳定性分析和宏观经济波动理论；从实践角度讲，本课题为新常态时期我国金融稳定的评价、金融稳定实现路径的探讨以及相关监管政策设计提供了科学手段和工具。

We introduces maturity mismatch, a core business of commercial banks, into a macroeconomic model with a banking sector ,in which bank’s leverage constrains are occasionally binding.We analyse the endogenous risk generated in banking system affect credit dynamics and macroeconomy; under this framework we argue the point of optimal regulatory policy and introduce characters of China banking system to analyze financial stability under given regulatory regime. This project proposes a framework that can capture the nonlinearities in the data and comprehensively evaluate the impact of different regulatory regimes on banking sectors.