中国宏观审慎政策工具的有效性和靶向性研究  

The Effectiveness and Targeting of China's Macroprudential Policy

作　　者：荆中博[1] 方意[2] JING Zhongbo;FANG Yi(School of Management Science and Engineering, Central University of Finance and Economics,100081;School of Finance,Central University of Finance and Economics,100081)

机构地区：[1]中央财经大学管理科学与工程学院 [2]中央财经大学金融学院

出　　处：《财贸经济》2018年第10期75-90,共16页Finance & Trade Economics

基　　金：国家自然科学基金青年项目"货币政策;房地产价格与金融稳定"(71503290);国家自然科学基金青年项目"风险承担;负面冲击与银行信贷风险:基于我国信贷大数据的实证研究"(71703182);中央财经大学"青年英才"培育支持计划(QYP1802)

摘　　要：本文在政策工具有效性的基础上提出靶向性的概念,并对两者的相互影响机制进行系统梳理。然后,本文利用定性向量自回归模型和历史方差分解研究2005—2017年我国贷款价值比、法定准备金率政策对贷款增速、房地产价格增速等金融稳定目标的有效性和靶向性。研究结果表明:(1)贷款价值比政策以房价为靶向目标,以贷款为非靶向目标;法定准备金率政策同时以贷款和房价为靶向目标。(2)贷款价值比政策对靶向目标的有效性较强,对非靶向目标的有效性较弱;法定准备金率政策对两个靶向目标的有效性均较强。(3)动态来看,2008年金融危机前后,宏观审慎政策与金融稳定目标的相互作用机制发生结构性变化。危机爆发后,政策工具对监管目标的有效性和靶向性显著提高,两个宏观审慎政策对房地产的调控由逆周期转为顺周期。This paper proposes the definitions of effectiveness and targeting of macroprudential policies based on the theoretical analysis of the interactive relationship between policy tools and policy targets.Then we apply the Qual VAR model to investigate the effectiveness and targeting of two widely used policy tools,Loan-to-Value(LTV)and statutory deposit reserve ratio(RR),in ensuring financial stability in China between 2005 and 2017.Here the financial stability is measured by the credit growth rate and the real estate price.Empirical results show that:(1)LTV targets the real estate price instead of the credit growth while RR targets both credit growth and real estate price.(2)Results of impulse response and variance decomposition indicate that LTV has greater impact on its target than credit growth while RR has significant impacts on both the credit growth and the real estate price.(3)From a dynamic perspective,the interactive relationship between policy tools and policy targets underwent structural changes when the Global Financial Crisis occurred in 2008.After the crisis,the effectiveness and targeting of macroprudential policies become more significant than before.The impacts of macroprudential policies on the real estate price turn to be procyclical from being countercyclical.

关 键 词：宏观审慎政策 系统性风险 法定准备金率 贷款价值比 

分 类 号：F820.3[经济管理—财政学]