“金砖国家”宏观审慎政策有效性研究

发布时间：2018-05-08 23:40

本文选题：宏观审慎政策工具 + 有效性　；参考：《宏观经济研究》2017年01期

【摘要】：本文以"金砖国家"为例,利用定性向量自回归(Qual VAR)模型实证检验了流动类工具、信贷类工具、资本类工具以及税收类工具等宏观审慎政策的有效性。研究表明,信贷类、税收类等政策工具有效性较好,流动类、资本类等政策工具有效性较差;在盯住信贷、房价等政策目标方面,政策工具具有一定的偏好。其中,流动类、税收类工具盯住信贷更有效,信贷类工具盯住房价目标有效性更强,而资本类工具不具有明显的目标倾向性;宏观审慎政策实施次数越多、连续性越强,政策的有效性就越差;宏观审慎政策具有非对称性,经济上行周期实行紧缩宏观审慎政策的有效性比下行周期实施扩张政策更有效。研究结果为"金砖国家"构建宏观审慎监管框架,科学实施宏观审慎政策提供了经验支撑。
[Abstract]:Taking the BRICS as an example, this paper empirically tests the effectiveness of macro-prudential policies such as liquidity instruments, credit instruments, capital instruments and tax instruments by using qualitative vector autoregressive Qual VARs model. The research shows that the validity of policy tools such as credit and tax is better than that of liquidity and capital, and the policy tools have certain preference in fixing the policy objectives such as credit and house prices. Among them, the liquidity and tax instruments are more effective, the credit instruments are more effective, and the capital instruments have no obvious target orientation; the more times the macro-prudential policies are implemented, the more continuity is. The more effective the policy, the less effective the macro-prudential policy is, and the more effective the macro-prudential policy is in the upward cycle of economy than the one in the down-going cycle. The results provide empirical support for the BRICS countries to establish a macro-prudential regulatory framework and implement macroprudential policies scientifically.
【作者单位】：中央财经大学金融学院;
【基金】：国家社科基金重大项目“改革并完善适应现代金融市场发展的金融监管框架研究”(项目编号:15ZDC019) 国家自然科学基金青年项目“货币政策、房地产价格与金融稳定”(项目编号:71503290)的资助
【分类号】：F831.0

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