我国宏观审慎政策规则确立与传导路径研究——基于内生银行破产机制的BGG-DSGE模型  

Research on Macro-prudential Policy Rules and the Conduction Path

作　　者：李天宇[1] 张屹山[1] 张鹤[2] 

机构地区：[1]吉林大学数量经济研究中心 [2]中国人民大学财政金融学院

出　　处：《管理世界》2017年第10期20-35,共16页Journal of Management World

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经研究"(项目编号:12&ZD197);国家自然科学基金青年基金项目"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

摘　　要：金融危机爆发以来,传统的金融监管方式难以为继,世界各国纷纷进行监管改革。在这一背景下,宏观审慎政策成为政策制定者和学者所关注的焦点。本文首先在BGGDSGE模型的基础上内生银行破产机制,构建银行业系统性风险的刻画指标,而后在经典的福利损失函数中引入系统性风险因素,确立了宏观审慎政策规则,最后通过脉冲响应函数模拟演绎传导路径和政策搭配等问题,得到如下结论:第一,以动态资本充足率和贷款价值比(LTV)为核心的宏观审慎监管体系应以产出缺口和信贷量为信号源,宏观审慎的货币政策规则中应盯住信贷量指标,同时资本资产价格也适合作为参考变量;第二,宏观审慎的货币政策与宏观审慎监管都具有维护金融稳定的作用,但作为常备政策,宏观审慎监管要优于宏观审慎的货币政策;第三,识别经济周期波动的驱动因素是确立宏观审慎政策规则、使政策更有效地传导到实体经济并发挥风险防控作用的根本问题。第四,联合使用两类宏观审慎政策时,合理确立政策规则系数可以增强政策的正向外溢效果,但政策的搭配强度却不易把控。为防止政策错搭引起效果干扰问题,可在常规时段仅采用宏观审慎监管,当风险较高时再联合使用两类政策以实现金融稳定。Since the U.S. subprime mortgage crisis, the traditional way of financial regulation is unsustainable and countries around the world are reforming financial regulation. In this background, macro-prudential policy has become the focus of scholars and policymakers all around the world. This paper is based on the BGG-NK-DSGE model which incorporates rational expectation contracts, and we build up a fundamental model for the macro-prudential policy research as we construct a measurement index for the banking aggregate systematic risk by making the bank bankruptcy mechanism endogenous; we incorporate systemic risk factor in the context of welfare loss function and regulate rules concerning macro-prudential policies; we stimulate path of policy transmission mechanism and resolve the policy coordination problems through impulse-response function accordingly. We get results as follows: Firstly, Macro-prudential regulation system with the core of dynamic capital adequacy ratio and LTV should emphasize on output gap and credit market liquidity. Secondly, both the macro-prudent monetary policy and macro-prudential regulation policy have the role of maintaining financial stability, but as a regular policy, macro-prudential regulation is superior to the macro-prudent monetary policy. Thirdly, identifying driving factors of economic cycle fluctuation is the prior and underlying problem before establishing macro-prudential policy rules, rendering the effectiveness of policy transmitting into real economy and realizing its role of risk prevention and control. Lastly, it enhances the positive spread effect of policy and overcomes various drawbacks if we can establish reasonable coefficients of the policy rules when we combine these two types of macro-prudential policies, nevertheless, it is hard to handle the policy coordination strength. Since macro-prudential regulation policy is superior to the conventional macro-prudent monetary policy, we should only use macro-prudential regulation policy in regular period in order to preven

关 键 词：宏观审慎政策 系统性风险 金融稳定 

分 类 号：F832[经济管理—金融学]