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1 Financial Theory & Policy *,,, ;,,,,, DSGE,,, 0.01,, DSGE F820 A DOI /j.cnki , (Digial Fia Currency, DFC) Jasper Ubin Sella 2014, 2017,, DC/EP (Digial Currency/Elecronic Paymen),??,,,?, * (2016YFB ),

2 Financial Theory & Policy?,?,?,,,,,,,,,,,,,,,,, ; DSGE,, ( Disribued Ledger Technology, DLT) (Real-Time Gross Selemen, RTGS),, 2015, (Commiee on Paymens & Marke Infrasrucures, CPMI) (Crypo-Currency), (2016), Broadben (2016) (Cenral Bank Digial Currency, CBDC), (2016), (M 0 ) (2016a, 2017a) (Accoun-Based) (Walle-Based),,,,, Koning (2017), (Cenral Bank Digial Accoun, CBDA) (CBDC) Bordo & Levin (2017) CBDC CBDC, Bech & Garra (2017) (Cenral Bank Crypo-Currencies, CBCCs) (2017b),,,,, CPMI (2018), ( ); ); ( ); ( ), Broadben (2016), (2016),,, Bordo & Levin (2017),, Sigliz (2017)

3 Financial Theory & Policy,,,, ( ), (2018a),,,, Barrdear & Kumhof (2016) (DSGE),,,,, Barrdear & Kumhof (2016), DSGE, ( ) 1. Ubin, (DLT) ( DLT ) (Liquidiy Saving Mechanism, LSM) (RTGS), DLT RTGS, DLT DLT RTGS, Ubin DLT RTGS 2., DLT ( ),, DLT,,, Benos e al. (2017) DLT, Sella DLT (DvP) (2017),, (2017c),, 3.,,,,,,,,,, GDP (Yves, 2017),, 18,,,,

4 Financial Theory & Policy,, (AML/CFT), ;, ;,,, 4.,,,,,,,,,,,,,,,,,,,,,,,,,,,, (, 2016b),,,,,,, ( ) 1.,,,,,, (Wholesale), 100%,,,, 2.,,, ; (Reail),,,,,,,,,

5 Financial Theory & Policy,,, 3., Prasad (2018),, 2003, M 2 5%, 7%, 3%,, 4., (2018a),,, (2018a),,,, ( ) 1.,,, ;,,,,,, Broadben (2016) DC CBDC,, CBDC, CBDC, CBDC, CB- CBDC,, CBDC,, CB- DC CBDC,, 2. Broadben (2016), Kumhof & Noone (2018) CBDC, CBDC, CBDC CBDC,, CBDC, CBDC (, ;,, ), CBDC, CBDC, CBDC, CBDC,,,, CBDC, CBDC,

6 Financial Theory & Policy,,,, CBDC,, CBDC CBDC,, CBDC,,, CBDC,,,, (2018b),,,,,,,,, ; ( ),,,,,,,,,, DSGE,,,,,,,,,, ( ) P c +D +B =W n +D -1 R D -1+B -1 R -1 +G (1), P, c (Real), D, B (Nominal), W, n, R D -1, R -1, G (1),,,,,, (1), c +d +b =w n +d -1 R D -1+b -1 R -1 +g (2), d, b, w, g

7 Financial Theory & Policy u 覬 d u =lnc - 覬 n - 2 ( D -D -1 ) 2 (3) P c, n, 覬 (Leisure), 覬, (Leisure),,, ATM,,, ;,,,,,,,,,, /????,, α c d (4), α =1-v, v =ρ v v -1 +(1-ρ v )α+q q, v, α, q,, v, α, (2) (4), E j=0 β j u +j,, 0<β<1, β 1 -λ c -ξ α =0 (5) 覬 λ = (6) w P P -1 -λ +βr E λ +1 π +1 =0 (7) βe λ +1 (R -R d ) π +1 + 覬 d(d - d -1 π )=β 覬 de 1 π +1 (d - d -1 π )-ξ (8), π, λ ξ (2) (4) λ, Ψ,-1 =βe +1 λ (Seady Sae), π =1, d =d -1, λ +1 =λ =λ, ξ +1 =ξ =ξ (5) (8), 1 c -λ =ξα (9) βλ(r-r d )=ξ (10) αc=d, lnd=-ln [ λ α -βλ(rd -R)],,, α ;,, R d -R 22

8 Financial Theory & Policy ( ),, z (z, z [0,1]) y (z), y y =( 1 μ-1 μ 乙 y (z) 0 dz) μ μ-1, μ, y (z) y (z)=( P (z) ) -μ y, P =( 1 1 乙 P (z) 1-μ μ-1 dz) 0 P, Cobb-Douglas y (z) =A k γ (z)n 1-γ (z),, A, (11) A =exp(χ+θ ) (12) θ =ρ θ θ +ε θ (13), χ>0, θ k, δ, z i (z) k +1 (z)=i (z)+(1-δ)k (z) (14) ( ) L (z)=w n (z)+p i (z) (15), R L L (z), R L,, 覬 P C P (P (z))= 2 [ P (z) P -1 (z) -1]2 y (z) (16) 覬 k C k (k (z))= 2 [k (z)-k -1 (z)] 2 (17) g (z)= P (z) y P (z)- RL -1L -1 (z) -C P P (P (z))-c k (k (z)) (18) -1, E Ψ j=0 +j,+j-1g +j n (z) k (z), W =βe Ψ,+1 y n (z)p (z)π +1 P R L (19) R L -1 + 覬 π kδk (z)= P (z) y k P (z)+ Ψ 覬 ke Ψ,+1 Δk +1 (z)+e,+1 R L (1-δ) (20) π +1, y n (z) yk (z) ( ), D ; (Sanding Lending Faciliy, SLF) B 軒, L M, L +M =D +B 軒, l +m =d +b 軌 (21)

9 Financial Theory & Policy, h = m -1 Ř -1 π + l R L -1-1 π - d R d b 軌 π 赞 -1R -1 π -σl - ω d m (22), Ř -1 赞, R-1, σl d,,,,, ω,, ω ω =(1-ρ ω )ω+ρ ω ω -1 +j E Ψ j=0 +j,+j-1h +j l m d b 軌, Ψ,+1 (R L E -R 赞 ) -1 =σ (23) π +1 Ψ,+1 (R 赞 E -1 -Rd -1 ) π +1 m = ω m (24) ω m =E [ d π +1 ] 2 (25) λ +1 (R 赞 -R 姚 ), R 赞 =R,,,, R d =E +x1 (26) R 赞 =R +x1 +x2 (27) x1 =(1-ρ x1 )x1 0 +ρ x1 x1-1 +ε x1, x2 =(1-ρ x2 )x2 0 +ρ x2 x2-1 +ε x2 ( ), B +M =B 軒 (28), B M B 軒 b +m =b 軌 B R,, R 軒軒 R =(1-ρ) 1 β +φ (π -1 π ) ρr -1 +ε R (29), ε R ( ) y =c +i +C p (P (z))+c k (k (z))+σl + ω d (30) m, c, i, C p (P (z))+c k (k (z)), σl + ω d m

Financial Theory & Policy ( ) (2013) 4% 4.5%,,,,, 2% 3%, β 0.9925, 3% (2014), 1 覬 1, γ 0.5, β δ 0.03, μ 6 覬 0.9925 1 δ μ 0.03 6 γ 0.5 覬 P 5 α 0.5 覬 K 4, x1 0 x2 0 χ 0.0001 x1 0 0.75% 0.

10 Financial Theory & Policy ( ) (2013) 4% 4.5%,,,,, 2% 3%, β , 3% (2014), 1 覬 1, γ 0.5, β δ 0.03, μ 6 覬 δ μ γ 0.5 覬 P 5 α 0.5 覬 K 4, x1 0 x2 0 χ x % 0.75% 2%, σ x2 0 2% ( 1) ω 0.2 ρ x ρ ω 0.75 ρ x %, ρ υ 0.8 ρ %, 2, m/d GDP 69%, 2017 GDP c/y 58.8%, 25% 69% 17% 58.8%,, GDP,, ( ) 1. q , (4), 1 1, q ( 1 b),

11 Financial Theory & Policy 1, ( 1 d),, y q,,, 0.01, ; 2., (29) ε R , 2,, i y, 2,, ;,,,,,,,, DSGE,,, 0.01,,,,,,, ( )

12 Financial Theory & Policy [1]. [J]., 2016 (17) [2],. [J]., 2013(6) [3],. [R]., [4],. [J]., 2016 (17) [5] a. [J]., 2017 (7) [6] b. [J]., 2017 (11) 1-9 [7] c. [R]., 2017 [8] a. [J]., 2016 (12) [9] b. [J]., 2016 (17) [10] a. [J]., 2018 (4) [11] b. [J]., 2018 (5) 4-10 [12],. [J]., 2016 (17) [13]. [J]., 2016 (6) [14] Barrdear J. and Kumhof M. The Macroeconomics of Cenral Bank Issued Digial Currencies[R]. Bank of England, Saff Working Paper No. 605 [15] Bech M, Garra R. Cenral Bank Crypocurrencies[R]. BIS Quarerly Review [16] Benos Evangelos, Rod Garra, Pedro Gurrola-Perez.The Economics of Disribued Ledger Technology for Securiies Selemen[EB/OL] hps // resources/supervision-and-regulaion/evens/2017/finech/resources/economics-disribued-ledger-echnology-for-securiies-selemen.pdf [17] Bordo M D, Levin A T. Cenral Bank Digial Currency and he Fuure of Moneary Policy[R]. NBER Working Paper No [18] Broadben B. Cenral Banks and Digial Currencies[EB/OL] hp // co.uk/ publicaions/ pages/speeches/2016/886.aspx [19] Commiee on Paymens and Marke Infrasrucures. Digial Currencies[R] [20] Commiee on Paymens and Marke Infrasrucures, Markes Commiee. Cenral Bank Digial Currencies[R]. March, 2018 [21] Koning J P. Evoluion in Cash and Paymens Comparing Old and New Ways of Designing Cenral Bank Paymens Sysems, Cross-Border Paymens Neworks, and Remiances. R3 Repors [22] Kumhof M. and Noone C.Cenral Bank Digial Currencies Design Principles and Balance Shee Implicaions[R]. Bank of England Saff Working Paper, No. 725, May 2018 [23] Prasad E. Cenral Banking in a Digial Age Sock-Taking and Preliminary Thoughs[R]. Brookings Insiuion Working Paper, 2018, April [24] Sigliz J. E. Macro-Economic Managemen in an Elecronic Credi/Financial Sysem[R]. NBER Woking Paper 2017, No.23032, 3 [25] Yves Mersch. Why Europe Sill Needs Cash[R]. Cenral Bank Speech, BIS, May 2017 Absrac A core mission of CBDC research & developmen is o maximize he overall economic performance and social welfare. Theoreical analysis shows ha, in erms of paymen, CBDC provides a new model for inerbank paymen and selemen and opimizes paymen funcionaliies of radiional fia money a reail end. Meanwhile, CBDC, if inegraed effecively wih oher financial infrasrucure, will be conducive o improving cos-effeciveness of he enire sociey. In erms of moneary policy, CB- DC, wih sound insiuional design, will no only keep neural o moneary policy and macro economy, bu also become a new moneary policy insrumen o enhance effeciveness of moneary policy. In erms of financial sabiliy, i is possible o avoid he impac of CBDC on narrow banking by increasing fricions and coss for banking deposis o be ransformed o CBDC. Empirical research based on DSGE suggess ha he shock of CBDC issuance o China's banking sysem and financial srucure is conrollable. Moreover, in he long run, CBDC issuance will conribue o higher economic oupu and raise economic growh by 0.01 percenage poin compared wih economic oupu a seady sae. In addiion, empirical sudies also show ha CBDC ineres rae may become a new moneary policy insrumen ha can play a role in macro-economic conrol. Keywords Digial Fia Currency; CBDC; DSGE Model

中国人民银行工作论文 No.2015/12

中国人民银行工作论文 No.2015/12 中国人民银行工作论文 No.206/4 PBC Working Paper No.206/4 206 年 4 月 8 日 April 8,206 货币政策通过银行体系的传导纪敏张翔牛慕鸿马骏摘要 : 本文首先定性分析了我国商业银行存贷款利率定价的机制和面临的问题, 然后用