系统性风险防范与多重金融政策搭配——基于DSGE模型的逆周期监管效应分析  

Systemic Risk Prevention and Multiple Financial Policy Coordination:Analysis of Countercyclical Regulatory Effect Based on DSGE Model

作　　者：田娇[1] 王擎[2] 

机构地区：[1]重庆理工大学经济金融学院,重庆400054 [2]西南财经大学中国金融研究中心,四川成都611130

出　　处：《财经研究》2017年第7期57-69,共13页Journal of Finance and Economics

基　　金：国家自然科学基金项目"银行资本约束下我国系统性金融风险传递研究"(71473200);教育部人文社科重点研究基地重大项目"基于金融稳定的货币政策与宏观审慎监管协调配合研究"(15JJD790027);重庆市社会科学规划博士项目"银行业逆周期资本监管政策研究"(2014BS026);重庆市教委科学技术研究项目"基于经济周期波动的系统性金融风险防范研究"(KJ1709236);重庆理工大学博士科研启动基金项目"银行资本监管与系统性金融风险传递"(2014ZD41)

摘　　要：我国经济近年处于下行期,金融风险不断上升,央行、银监会等相继提出坚决守住不发生系统性金融风险的底线。通过金融政策来防范风险是常规之举,但多重金融政策之间可能存在不一致性。文章基于动态随机一般均衡模型的比较分析表明,在资本监管要求下,取消银行存贷比约束或银行间市场的政府隐性担保等弱化流动性干预的措施,将起到一定的逆周期调节作用;当经济金融领域遭受各类负向的外生冲击时,就减缓资本监管的顺周期性而言,取消政府隐性担保的措施更为稳健。可见,应重视不同的银行流动性干预政策对资本监管宏观审慎性的影响,通过政策之间的兼容匹配来强化防范系统性金融风险的作用。文章的研究对于评价现有政策效果以及提升我国金融政策有效性具有重要的现实意义。Faced with the fact that China＇s economy is in the down period and financial risks continue to rise in recent years,the central bank,the China Banking Regulatory Commission（CBRC）and so on have put forward firmly that systemic financial risks should be prevented as the bottom line.It is common practice to guard against risks with financial policies,but there may be inconsistency between multiple financial policies.By constructing a dynamic stochastic general equilibrium model,this paper conducts the comparative analysis and arrives at the following results：firstly,under the requirement of capital supervision,the measures of weakening liquidity intervention,such as the cancelation of the loan-to-deposit ratio constraint or the implicit government guarantee of the inter-bank market,play a countercyclical adjustment role to some extent;secondly,in the view of mitigating the pro-cyclicality of capital regulation when the economic and financial sectors suffer from exogenous shocks of various negative impacts,the measure to eliminate the implicit government guarantee is more robust.So it suggests that the effects of different bank liquidity intervention policies on macro prudential attribute of capital supervision should be paid to attention and the role of capital supervision in preventing systemic financial risks could be strengthened through the compatibility among policies.This paper is of great significance to the evaluation of current policy effects and the improvement of the effectiveness of financial policies in China.

关 键 词：系统性风险 多重金融政策 逆周期监管 DSGE模型 

分 类 号：F832[经济管理—金融学]