THE ROLE OF FOREIGN DEBT AND FINANCIAL FRICTIONS IN A SMALL OPEN ECONOMY DSGE MODEL

Yie Myung-Soo; Yoo Byoung Hark

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THE ROLE OF FOREIGN DEBT AND FINANCIAL FRICTIONS IN A SMALL OPEN ECONOMY DSGE MODEL

机译：小型债务开放DSGE模型中外债和金融摩擦的作用

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We examine the role of foreign debt and financial frictions in the Korean business cycle using a small open economy DSGE (dynamic stochastic general equilibrium) model where domestic banks borrow external funds, denominated in foreign currencies, for a risk premium and make loans to domestic producers. We find that the Korean economy is 'financially vulnerable', which means that the risk premium increases when the domestic currency depreciates. As a result, depreciation could cause recession, rather than expansion, when there exist substantial amount of foreign debt or financial frictions. A simulation shows that the Korean business cycle would suffer less volatility with a lower steady-state level of foreign debt or no financial frictions.

机译：我们使用小型开放经济DSGE（动态随机一般均衡）模型检验了韩国经济周期中外债和金融摩擦的作用，该模型中国内银行借以外币计价的外部资金以获得风险溢价，并向国内生产者提供贷款。我们发现韩国经济“财务脆弱”，这意味着当本币贬值时，风险溢价会增加。结果，当存在大量外债或金融摩擦时，贬值可能导致衰退而不是扩张。模拟显示，由于外债的稳态水平较低或没有财务摩擦，韩国经济周期的波动性较小。

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来源
《The Singapore economic review》 |2016年第5期|1550077.1-1550077.23|共23页
作者
Yie Myung-Soo; Yoo Byoung Hark;
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作者单位

Bank Korea, Econ Res Inst, Seoul 100794, South Korea;

Soongsil Univ, Dept Econ, Seoul, South Korea;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Small open economy DSGE model; foreign debt; risk premium; Korean economy;

机译：小型开放经济DSGE模型;外国债务;风险溢价;韩国经济;

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机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

THE ROLE OF FOREIGN DEBT AND FINANCIAL FRICTIONS IN A SMALL OPEN ECONOMY DSGE MODEL

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