宏观审慎框架下的银行资本监管及其最优规则--基于“双重道德风险”的动态随机一般均衡分析  

Bank Capital Regulation and Optimal Rules under Macro-prudential Framework——Dynamic Stochastic General Equilibrium Analysis Based on Double Moral Hazard

作　　者：李建强[1] LI Jianqiang

机构地区：[1]中国人民银行金融研究所

出　　处：《金融监管研究》2020年第4期1-19,共19页Financial Regulation Research

基　　金：国家社会科学基金一般项目“双支柱调控框架下货币政策与宏观审慎政策协调机制研究”的资助,项目编号:18BJY237。

摘　　要：随着我国宏观审慎政策框架的落实和供给侧结构性改革的深化,如何进一步完善商业银行的资本监管,在提升金融支持实体经济能力的同时,增强银行体系韧性、防范系统性风险,已成为需要重点关注的问题。本文基于"双重道德风险"的动态随机一般均衡模型,分析了宏观审慎框架下的银行资本监管及其最优规则。研究发现:逆周期银行资本要求体现了宏观审慎监管理念,具有稳定宏观经济的"压舱石"作用。作为事前成本,其可约束银行过度放贷,抑制金融失衡的风险积累;作为风险补偿工具,其可提高银行吸收损失和应对冲击的能力,缓解传统资本监管的顺周期性,避免纯粹资产缩减造成的深度经济衰退。在实体经济冲击下,宏观审慎银行资本监管与货币政策存在矛盾冲突,需要加强二者政策的协调配合;而在金融冲击下,宏观审慎银行资本监管与货币政策之间相互补充、彼此强化。从社会福祉角度看,货币政策与宏观审慎银行资本监管协调配合时,社会福利改善最显著。鉴此,本文提出健全宏观审慎框架下的银行资本监管,不断完善资本补充机制及强化货币政策与银行资本监管的协调与配合等政策建议。With the implementation of China's macro-prudential policy framework and the deepening of supply-side structural reform,it has become an important issue to improve and optimize the capital supervision of commercial banks,enhance the financial support for the real economy,and enhance the resilience of the banking system to prevent systemic risks.Based on the dynamic stochastic general equilibrium model of"double moral hazard",this paper analyzes the bank capital supervision and its optimal rules under the macro-prudential framework.The research finds that the counter-cyclical bank capital requirements reflect the concept of macroprudential supervision and play a stabilizing role in the macro-economy.As an ex-ante cost,it restrains banks from excessive lending and curb the risk accumulation of financial imbalances.As a risk compensation tool,it improves banks'ability to absorb loss and cope with shocks,alleviate the pro-cyclical of traditional capital regulation and avoids the deep economic recession caused by pure asset reduction.There are contradictions and conflicts between macro-prudential bank capital supervision and monetary policy in the face of the shock from the real economy,so it is necessary to strengthen the coordination and cooperation between the two policies.Macro-prudential bank capital supervision and monetary policy complement and reinforce each other in the face of the financial shock.From the perspective of social welfare,the most significant improvement in social welfare occurs when monetary policy is coordinated with macro-prudential bank capital regulation.Therefore,this paper puts forward some policy suggestions such as improving bank capital supervision under the macro-prudential framework,continuously improving the capital supplement mechanism and strengthening the coordination and cooperation between monetary policy and bank capital supervision.

关 键 词：宏观审慎 资本监管 双重道德风险 

分 类 号：F832[经济管理—金融学]