中国宏观审慎政策工具有效性研究

发布时间：2018-04-20 06:47

本文选题：宏观审慎政策工具 + 有效性　；参考：《经济科学》2015年02期

【摘要】：本文将差别存款准备金动态调整机制和可变的LTV上限作为宏观审慎政策工具的代表,利用中国商业银行2003-2012年的微观数据,采用系统GMM方法实证检验了这两大工具在抑制商业银行信贷扩张、杠杆率变动及其顺周期性中的作用,评估了中国宏观审慎政策工具的有效性。研究显示,这两大工具能够显著影响中国商业银行的信贷增长和杠杆率变动,而且通过其逆周期调节,能够有效降低银行信贷扩张和杠杆率放大的顺周期性,中国宏观审慎政策工具的调控是有效的。由于其传导机制的不同,准备金率的调控效率在不同类型银行间的差异相对较小,可变的LTV上限对五大行和全国性股份制银行的效力则要高于城商行和农商行。研究结果为构建中国宏观审慎政策框架,科学有效地实施宏观审慎政策提供了经验证据支撑。
[Abstract]:In this paper, the dynamic adjustment mechanism of differential deposit reserve and the variable LTV upper limit are taken as the representative of macro-prudential policy tools, using the micro-data of China's commercial banks from 2003 to 2012. This paper empirically tests the role of these two instruments in restraining the credit expansion, leverage ratio and its procyclicality of commercial banks by using the systematic GMM method, and evaluates the effectiveness of the macro-prudential policy instruments in China. The research shows that these two instruments can significantly affect the credit growth and leverage ratio of Chinese commercial banks, and through their countercyclical adjustment, they can effectively reduce the pro-cyclical expansion of bank credit and the amplification of leverage ratio. China's macro-prudential policy instruments are effective. Because of its different transmission mechanism, the regulation efficiency of reserve ratio is relatively small among different types of banks, and the effect of variable LTV upper limit on five banks and national joint-stock banks is higher than that of city commercial banks and agricultural banks. The results provide empirical evidence for the construction of China's macro-prudential policy framework and the scientific and effective implementation of macro-prudential policy.
【作者单位】：南开大学经济学院;中国特色社会主义经济建设协同创新中心;
【基金】：国家社会科学基金重大项目“金融风险度量的新理论与新方法及其在中国金融机构的应用研究”(批准号:14ZDB124)和“中国金融监管制度优化设计研究”(批准号:09&ZD037)的阶段性成果
【分类号】：F822.0;F832.4

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