风险承担视角下的货币政策审慎调控研究  

Research on Prudential Adjustment of Monetary Policy from the Risk-Taking Perspective

作　　者：茆训诚[1] 王周伟[1] 吕思聪[1] 

机构地区：[1]上海师范大学商学院,上海200234

出　　处：《上海师范大学学报（哲学社会科学版）》2014年第4期22-32,52,共12页Journal of Shanghai Normal University(Philosophy & Social Sciences Edition)

基　　金："中国宏观审慎货币政策的调控机制研究"(11YJA790107);"通货膨胀惯性;金融市场摩擦与结构性冲击--债务危机下DSGE模型的扩展与应用研究"(12YJC790020);上海市教委重点课题"综合风险网络传染的系统性风险评估与分析框架研究"(12ZS125);上海师范大学研究生优秀成果(学位论文)培育项目"基于溢出效应分析中国银行业的系统性风险"(B-6001-12-103112)

摘　　要：文章构建了基于效用函数的风险承担渠道理论模型框架,分析了货币政策的经济调控效应与银行风险承担渠道效应的作用机制,并进一步阐述了货币政策工具与宏观审慎监管工具之间的内在关联性。并且利用VAR脉冲响应分析法构建了用于度量经济金融体系中系统性风险水平的金融形势指数,再依据理论分析结论构建VAR模型,实证分析了货币政策工具、调控目标变量、风险承担水平与宏观审慎监管四个方面的相互作用。研究表明,经济变量与风险承担之间是显著相互作用的,货币政策应当与宏观审慎监管措施相互融合,形成宏观审慎监管框架下的货币审慎调控政策。The paper builds a risk-taking theoretical model based on utility function,analyzes economy adjustment of monetary policy and mechanism of bank risk-taking effect,and enquires further into intrinsic relationship between monetary policy tools and macro-prudential regulation tools.Besides,the paper constructs the financial condition index measuring systematic risk in economy by VAR impulse function.Accordingly,the paper empirically analyzes the relationships among monetary tools,adjustment targets,risk-taking level and macro-prudential regulation.The findings show that the interaction between economy variables and risk-taking is significant.Moreover,it is necessary to form prudential adjustment of monetary policy with mutual integration of monetary policy and macro-prudential regulation.

关 键 词：系统性风险 风险承担 货币政策 审慎调控 

分 类 号：F822.0[经济管理—财政学] F832.2