基于DSGE模型的绿色信贷激励政策研究

在绿色金融政策实践与有关学术理论快速发展的背景下,本文以绿色信贷的激励政策为切入点,提供一种分析绿色金融政策的理论模型分析框架,并基于模型开展量化的政策效果分析。本文在真实商业周期框架的基础上引入银行部门,通过拆分厂商部门为“绿色”与“其它”两部分,并设置中央银行与财政部门的相关政策,纳入了绿色信贷激励政策。研究发现,针对绿色信贷的贴息、定向降准、再贷款(调整再贷款利率与质押率)均是有效且合意的激励政策,一定强度的政策不仅能够提高绿色信贷量,在绿色意义上优化经济结构,而且对总产出、总就业不会造成显著的负面影响,从而带来“经济”与“环境”双赢的结果。

China's Incentive Policies for Green Loans: A DSGE Approach

In the context of attempts to ensure ecologically sustainable development in China, there has been an increase in “green finance” and “green loan” policies in recent years to promote the devotion of capital resources to sustainable development. Academic research in this area has grown tremendously. However, theories and models of green finance and policy analysis based on them remain inadequate. This study develops a theoretical and quantitative model to analyze Chinas incentive policies for green loans and applies this model to identify the likely effects of such policies. This will provide a prototype for modeling green financial policies in academia and help the government design such policies in the real world.
In China, “green financial policy” normally means governmental and regulatory measures that promote financial services that support environmental improvement, climate change mitigation and adoption, and more efficient resource utilization. More narrowly, it refers to financial policy tools that incentivize green financing activities, such as interest subsidies, central bank relending, government guarantees, lowered risk weights, and reduced capital requirements for green loans (i.e. incentive policies). These policy tools have been proposed or implemented in the wake of the release of the Integrated Reform Plan for Promoting Ecological Progress in 2015 and the Guidelines for Establishing the Green Financial System in 2016 by the central government.
While green financial policy has developed rapidly in practice, relevant academic research lags behind. Research on green financial policy has mostly involved qualitative policy recommendations. Quantitative research on green finance has begun to accumulate in recent years; however, few studies have focused on the economic and environmental effects of green financial policy. It is unknown whether this kind of policy is effective and what it will bring to the macro-economy.
Given this background, this research aims to provide a theoretical model suitable for the quantitative analysis of incentive policies for green loans and to theoretically show their economic and environmental effects. The specific policy tools we study include interest subsidies, directional reduction for reserve ratio requirements, and central bank relending.
To do this, we build a Dynamic Stochastic General Equilibrium (DSGE) model based on the Real Business Cycle (RBC) framework. The model makes two major extensions to the RBC framework. (1) The banking sector conducting green lending is added. The firm sector must use loans as “working capital” to pay for all costs. The bank provides green and traditional loans to different firms. The household sector can deposit savings to the bank. (2) The firm sector is divided into two sub-sectors: green and other firms. The pollution from the production process is introduced and the green firms pollutes less than other firms. Green firms are financed by green loans, while other firms are financed by traditional loans. These two extensions allow us to analyze financing activities and to distinguish green loans from traditional loans. Incentive policies for green loans can then be included after introducing the central bank and government sectors. Parametric data are calibrated from China.
According to this model, we find the following: (1) All three policies (interest subsidies, directional reduction for reserve ratio requirements, and central bank relending) can increase the amount of green loans. Policy strength has a certain order. This shows the direct effects of such policies. (2) Temporary policy changes (incentives) can increase the output and employment of green firms while decreasing the output and employment of other firms. The total output, employment and pollution will also be negatively affected slightly, as will pollution emission. The positive impacts of policy are more significant than the negative impacts. This shows the indirect effects of such policies, including benefits and costs, for the entire economy and environment. (3) If the three policies are set endogenously in the economy as emission-pegged rules, they can also enhance the share of green-related variables in the economy. However, only when they reach a certain level of strength can the pegged policies bring about a green transformation of the economy in the face of productivity shock.
The conclusion is that interest subsidies, directional reduction of reserve ratio requirements, and central bank relending are all effective ways of incentivizing green loans and have positive effects on the greening of the economy. The policy cost is not high. This implies that increased investment in green financial policy is desirable.