政府债务、期限溢价与货币政策选择

The global financial crisis derived from America in 2008 has brought about tremendous shocks to the world economy. In order to halt economic decline, the State Council launched "the four trillion investment plan". Under the guidance of this plan, both center and local governments borrow heavily to promote infrastructure construction, thereby resulting in a significant rise in both central and local government debts. According to the Audit Results of National Government Debt issued by the National Audit Office in December 2013, by the end of June 2013, the size of debts which local governments are liable for repayment has reached 10.9 trillion yuan. And according to the authors' estimation, at present, this size may get close to 20 trillion yuan. In the meanwhile, the financial debt balance of the central government has raised from 5.28 trillion yuan in 2008 to 10.20 trillion yuan in 2015. What's more, after 2008, the leverage rate of government sectors also encounters a rapid increase, from 41 percent to 57.8 percent in 2014 year by year.

At present, central government debts are all long-term bonds. After the implementation of new Budget Law in 2015, local government debts are swapped by bonds of 5 to 10 years. By the time of July 2017, the swap size of local government debts has overwhelmed 10 trillion while the stock of local government debts still exceeds 13 trillion, which is larger than the size of central government bonds. Such government debts inevitably hammer the long-term debt market and then influence the term premium strongly. However, this point is ignored by existing literature of government debts. This paper takes term premium as the starting point and establishes DSGE model containing long-term and short-term bonds to analyze the influence and mechanism of government debt expansion on macro economy. In China, as over 60% of treasury bonds are held by banks, so we assume that households cannot directly participate in long-term debt market and can only perform short-term funding in financial sectors like banks. In addition, banks under capital constraints play an important role in our model. They maximize their expected profits by absorbing resident deposits, lending to capital goods firms and purchasing government bonds.

Numerical simulation with parameters of calibration and Bayesian estimation shows that after the expansion of government debts, both term premium and yield rate of long-term debts increase, crowding out private investment and consumption, and diminishing output. The segmentation of bonds market and the restriction of adjustment costs faced by banks lead to the result that there is no chance to arbitrage between short-term and long-term bonds to lower down term premium. Furthermore, we investigate monetary policy selection under the expansion of government debts. We find that monetary policy being pegged to term premium can reduce the distortion caused by the expansion of government debts and thereby improve social welfare.

As China's economy steps into the "new normal" phase, monetary policy should be better utilized to serve macro-economic operation. Based on welfare analysis, we suggest that when there is a rapid increase in government debts, the central bank can make monetary policy being pegged to term premium and partially solve the stock in interest rate conduction, thereby improving the scientific nature and accuracy of monetary policy formulation. This is in accordance with the guidance in the 13th Five-Year plan to perfect macro-control mechanism and create control thoughts and policy instruments.

Our major contributions lie in the following point:firstly, we study the influence and mechanism of debt expansion on macro-economy taking bond market as intermediary from the perspective of term premium for the first time in domestic research. Besides, we find that monetary policy being pegged to term premium can reduce the distortion caused by the expansion of government debts and improve social welfare, which provides a feasible way for policy-making sector to solve the distortion arising from debt expansion.