宏观审慎政策的信号识别、规则确立与传导路径分析

发布时间：2019-05-16 06:42

【摘要】：2008年金融危机的爆发证明了单一机构的安全稳健无法保证金融系统的整体稳定,因此危机后以宏观审慎为核心的全局监管框架备受关注。本文以金融加速器DSGE模型为基础,从宏观审慎的货币政策和宏观审慎监管两个角度搭建宏观审慎政策框架,以福利损失函数为核心构建评价体系,识别政策信号源进而确立政策规则,最后通过模拟脉冲响应函数讨论两类政策的传导路径、政策外溢以及搭配使用等问题,本文得到如下结论:第一,宏观审慎的货币政策和宏观审慎监管的金融稳定因素信号源分别为资本资产价格和信贷增量;第二,从传导路径中可以看出,宏观审慎的货币政策影响范围广、外溢效果明显,但因其过多地关注金融稳定目标,会影响传统货币政策目标的实现;第三,宏观审慎监管以金融稳定为唯一目标,政策传导路径短且外溢效果小;第四,建立分区制的宏观审慎管理框架是解决政策外溢、目标干扰、协调搭配问题的有效途径。
[Abstract]:The outbreak of the financial crisis in 2008 proved that the safety and soundness of a single institution can not guarantee the overall stability of the financial system, so the global regulatory framework with macroprudential as the core has attracted much attention after the crisis. Based on the DSGE model of financial accelerator, this paper builds a macro-prudential policy framework from two angles of macro-prudential monetary policy and macro-prudential supervision, and constructs an evaluation system with welfare loss function as the core. The policy signal source is identified and then the policy rules are established. Finally, the transmission path, policy spillover and collocation use of the two kinds of policies are discussed by simulating impulse response function. The following conclusions are obtained in this paper: first, The signal sources of macroprudential monetary policy and financial stability factors of macro-prudential supervision are capital asset price and credit increment, respectively. Second, we can see from the transmission path that the macro-prudential monetary policy has a wide range of influence and obvious spillover effect, but because it pays too much attention to the goal of financial stability, it will affect the realization of the goal of traditional monetary policy. Third, the only goal of macro-prudential supervision is financial stability, the policy transmission path is short and the spillover effect is small; fourth, the establishment of a zoning macro-prudential management framework is an effective way to solve the problems of policy spillover, target interference and coordination.
【作者单位】：吉林大学数量经济研究中心;中国人民银行长春中心支行金融稳定处;
【基金】：国家社会科学基金重大项目“中国潜在经济增长率计算及结构转换路径研究”(项目编号:12&ZD197) 国家自然科学基金青年项目“包含异质消费者的DSGE框架下的中国房地产调控政策传导机制与仿真研究”(项目编号:71403099)的资助
【分类号】：F822.0;F832

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