金融稳定与外部宏观审慎政策溢出效应——以存款准备金率和贷款价值比为例  

Financial Stability and External Macroprudential Policy Spillovers:Taking Reserve Requirement and Loan-to-value Ratios as Examples

作　　者：方意[1] 欧阳辉 张碧琼[1] FANG Yi;OUYANG Hui;ZHANG Bi-qiong

机构地区：[1]中央财经大学金融学院 [2]贵州财经大学大数据应用与经济学院

出　　处：《中央财经大学学报》2022年第4期25-36,共12页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(项目编号:71973162);国家自然科学基金面上项目“金融文本大数据与银行业系统性风险:指标构建、应用与评估整合”(项目编号:72173144);国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(项目编号:20&ZD101);中国博士后科学基金“银行‘脱实向虚’、系统性风险与宏观审慎政策”(项目编号:2020M670558);中央财经大学青年科研创新团队项目“中国金融部门系统性风险与金融稳定政策”。

摘　　要：2008年金融危机后,各国宏观审慎政策的执行变得更加频繁。随着金融一体化的加深,一国的宏观审慎政策会影响其他国家宏观审慎政策的实施,即产生了溢出效应。本文以紧缩性存款准备金率政策和贷款价值比政策为研究对象,对宏观审慎政策工具溢出的传导机制进行了分析;构建溢出指数对宏观审慎政策的溢出效应进行了讨论;最后,检验了中国的金融稳定对外部宏观审慎政策溢出效应的影响。研究发现:第一,外部宏观审慎政策对中国的宏观审慎政策具有显著的溢出效应。其中,存款准备金率的溢出效应要大于贷款价值比。第二,中国的金融稳定会对外部宏观审慎政策的溢出效应产生影响。其中,信贷和房价的变化与存款准备金率的溢出效应成反向关系,与贷款价值比的溢出效应成正向关系。由此,本文认为中国应该重视外部宏观审慎政策的影响,并积极参与国际宏观审慎政策协调。After the 2008 financial crisis, macro-prudential policies are being implemented more frequently.As financial integration deepens, macro-prudential policies in one country will have an impact on those in other countries.We took the tight reserve requirement and loan-to-value ratios as research objects, analyzed the transmission mechanism of macro-prudential policy spillover and constructed the spillover index.Then, we empirically examined the impact of China’s financial stability on the spillover effects suffered from external macro-prudential policies.We find that external macro-prudential policies have significant spillover effects on China.The spillover effect of reserve requirement ratio is greater than that of loan-to-value ratio.We also find that China’s financial stability affects the spillover effects suffered from external macro-prudential policies.Credit and house prices, the China’s financial stability variables, have a negative relationship with the spillover effect of reserve requirement ratio, and a positive relationship with that of loan-to-value ratio.Therefore, we argue that China should pay attention to the influence of external macro-prudential policies and actively participate in international macro-prudential policy coordination.

关 键 词：金融稳定 宏观审慎政策 溢出效应 存款准备金率 贷款价值比 

分 类 号：F831.0[经济管理—金融学]