关键词: 资产流动性, 资产证券化, 融资约束, 经济波动

Abstract: With the development of asset securitization and the increased proportion of direct financing, liquidity constraints that agents faced will be relaxed. However, there is little relevant literature about the effect of shocks on the Chinese macroeconomic fluctuations from the perspective of asset liquidity. This paper builds a NK-DSGE model which incorporates collateral and liquidity constraint, in order to explore the dynamic effects and the mechanism of asset liquidity constraints on Chinese economic fluctuations, and make use of 2003Q1~2016Q3 quarterly data of the cash flow statement of non-financial companies, to construct the model and do the calibration. We conclude that: (1) positive productivity and asset price shock cause growth of output, consumption and investment, and this effect will be strengthened by higher asset liquidity level at steady state; (2) a negative asset liquidity shock will trigger negative effect on output, consumption and investment; (3) About 21% of the variance of output and 89% of the variance of investment can be explained by financial shocks, and its negative effect will be diminished with the improvement of asset liquidity. Therefore we conclude that asset securitization would revitalize the stock of assets and enhance the liquidity of operational assets, which could contribute to solve enterprises’ problem of financing difficulties and high leverage.

Key words: Asset Liquidity, Securitization, Financial Constraint, Economic Fluctuations