宏观审慎政策工具的有效性研究——基于动态随机一般均衡模型的分析  

The Effectiveness of Macro-prudential Policy Tools——A Study Based on a DSGE Model

作　　者：吕进中[1] 张燕[1] 张鹏辉[1] 张习宁[1] 

机构地区：[1]中国人民银行福州中心支行

出　　处：《金融监管研究》2018年第10期18-32,共15页Financial Regulation Research

基　　金：国家社会科学基金项目(15BJY157);国家社会科学基金青年项目(18CJL032)的资助

摘　　要：本文在一个新凯恩斯DSGE模型中引入多种宏观审慎政策工具,以考察货币政策与宏观审慎政策的协调配合对宏观经济稳定的影响。研究发现:贷款价值比政策可通过抑制信贷顺周期效应,在不损害实体经济发展的同时实现金融稳定;加强型货币政策的实施,虽然可以抑制信贷波动,但需大幅度调整政策利率,从而会导致实体经济的频繁波动;逆周期的存款准备金率政策的效果并不十分显著,但在面对生产率冲击和抵押贷款比冲击时,可用作权衡产出和通胀的工具;贷款增速指导政策可以有效维护货币政策目标,但通常会导致更大的信贷波动。This paper has introduced several macro-prudential tools into a New Keynesian Dynamic Stochastic General Equilibrium （NK DSGE） model to investigate the effect of coordination between macro prudential policy and monetary policy on economic stability. We find that： First, the loan-to-value ratio policy could maintain financial stability via alleviating financial pro-cyclicality without hurting real economy. Second, the augmented monetary policy which includes macro-prudential policies could smooth the fluctuation of loans via adjusting policy rate substantially, which could lead to frequent fluctuations in the real economy. The effect of Counter-cyclical Required Reserved Ratio policy is not significant, but in case of productivity and mortgage ratio shocks, it can be used to balance the output and inflation. Loan growth guidance can effectively maintain monetary policy objectives, but it usually leads to greater credit volatility.

关 键 词：宏观审慎政策 货币政策 贷款价值比 顺周期效应 

分 类 号：F832[经济管理—金融学]