货币政策与宏观审慎政策协调对跨境资本流动的影响:基于商业银行跨境融资与企业外币借贷视角  

The Influence of Coordination of Monetary Policy and Macro Prudential Policy on Cross Border Capital Flow: From the Perspective of Cross Border Financing of Commercial Banks and Foreign Currency Lending of Enterprises

作　　者：兰晓梅 杨胜刚[2] 陈百助[3] Lan Xiaomei;Yang Shenggang;Chen Baizhu

机构地区：[1]湖北经济学院金融学院 [2]湖南大学金融与统计学院 [3]美国南加州大学马歇尔商学院金融与商务经济系

出　　处：《世界经济研究》2022年第2期26-41,M0002,M0003,共18页World Economy Studies

基　　金：国家自然科学基金重点应急管理项目《基于外部冲击的汇率市场波动、跨境资本流动及其风险防范问题研究》(项目批准号:71850006);中国博士后科学基金《基于中国宏观审慎管理背景下的商业银行行为选择研究》(资助编号:2020M672463);湖南省自然科学基金青年基金项目《宏观审慎评估对商业银行支持实体经济信贷行为的影响研究》(资助编号:2021JJ40128)的资助。

摘　　要：在日益动荡的全球资本流动格局下,中国跨境资本流动宏观审慎管理离不开货币政策的协调配合,双支柱调控框架理论在资本流动领域存在进一步应用的空间。文章通过构建以商业银行跨境融资及向企业进行外币贷款为特征的开放经济动态随机一般均衡(DSGE)模型,论证了中国在面对跨境融资风险冲击时以存款准备金利率为代表的宏观审慎政策及其动态调整规则的有效性,并进一步论证了宏观审慎政策与货币政策协调的重要性。主要结论为:其一,商业银行跨境外币融资会增加国内企业外币贷款甚至本币贷款的风险且会在一定程度造成上本国产出和物价的波动。其二,正常性、奖励性、约束性三类不同强度的存款准备金利率有利于商业银行和国内企业应对跨境融资风险冲击,但不利于宏观经济增长与物价稳定,且存在向家庭部门外国债券投资传导不畅的弊端。其三,正常性、奖励性、约束性三类存款准备金利率与货币政策组合的协调效应集中体现在提升经济的产出水平和降低物价方面,且对于调节国内企业的本币贷款成本具有积极意义。文章的研究结论进一步说明了货币政策的实施在一定程度上需要关注跨境资本流动。因此,货币当局应充分发挥宏观审慎政策工具动态调整功能并加强与货币政策工具的多元组合协调效应,从而在规范商业银行经营的同时满足企业合理正常的本币与外币贷款融资需求。Under the increasingly turbulent global capital flow pattern,the macro prudential management of China’s cross-border capital flow cannot be separated from the coordination of monetary policies and there is room for further application of the dual pillar regulatory framework theory in the field of capital flow. This paper constructs an open economy dynamic stochastic general equilibrium( DSGE) model characterized by commercial banks’ cross-border financing and foreign currency loans of enterprises,and demonstrates the effectiveness of China’s macro prudential policy represented by deposit reserve rate and its dynamic adjustment rules in the face of cross-border financing risk shocks,and further demonstrates the importance of the coordination of macro prudential policy and monetary policy. The main conclusions are as follows: first,cross-border foreign currency financing of commercial banks will increase the risk of domestic enterprises’ foreign currency loans and even local currency loans,and will cause fluctuations in domestic output and prices to a certain extent. Second,the normal,incentive and restrictive three different intensities types of reposit reserve interest rate are conducive to commercial banks and domestic enterprises to cope with the influence of cross-border financing risks,but they are not conducive to macroeconomic growth and price stability,and there are disadvantages of poor transmission to foreign bond investment in the family sector. Third,the coordination effect of normal,incentive and restrictive reposit reserve interest rate and monetary policy combination is mainly reflected in the improvement of economic output level and the reduction of prices,which has positive significance for regulating the local currency loan cost of domestic enterprises. The conclusion of this paper further shows that it is necessary for monetary policy to pay attention to cross-border capital flow to a certain extent. Therefore,the monetary authorities should give full play to the dynamic adjustment funct

关 键 词：货币政策 宏观审慎政策 跨境资本流动 商业银行跨境融资 动态随机一般均衡模型 

分 类 号：F832.6[经济管理—金融学] F822