美联储加息冲击下中国双支柱调控政策的协调研究--基于“稳增长”与“防风险”的视角  

The Two-Pillar Policy Coordination under Fed's Interest Rate Shock from the Perspective of“Maintaining Stable Growth” and“Preventing Risks”

作　　者：易宇寰 潘敏 YI Yuhuan;PAN Min(Hunan University,410006;Wuhan University,430072)

机构地区：[1]湖南大学金融与统计学院,410006 [2]武汉大学经济与管理学院,430072

出　　处：《财贸经济》2022年第11期75-90,共16页Finance & Trade Economics

基　　金：教育部哲学社会科学研究重大课题攻关项目“经济发展新常态下我国货币政策体系建设研究”(15JZD013)。

摘　　要：美联储加息冲击引发的国内资产价格波动可能导致实体经济波动与金融系统风险相互反馈的螺旋式上升。本文通过构建包含跨境资本流动和供需金融摩擦的小型开放经济DSGE模型,刻画了美联储加息冲击下国内实体经济波动与供需两侧金融风险交互作用形成的负反馈机制,并在此基础上研究了稳增长和防风险目标下货币政策和宏观审慎政策的协调问题。研究表明:(1)美联储加息冲击引发的跨境资本流动与资产价格波动,不仅导致企业违约风险上升,投资收缩,并且使得银行净值受损而被动“加杠杆”,宏观经济下行的同时金融风险积聚;(2)应对美联储加息冲击的货币政策无论是选择以对内“稳产出和稳物价”为主要目标,还是选择以对外“稳汇率”和“稳国际收支”为主要目标,均无法保证“稳增长”与“防风险”双重目标的实现;(3)以对内“稳产出和稳物价”为主要目标的货币政策与以信贷规模为锚定目标的差别存款准备金动态调整的宏观审慎政策构成的双支柱调控体系不仅有助于减小宏观经济波动,而且能够减缓供需金融摩擦交互作用的加速效应,从而兼顾“稳增长”和“防风险”两大目标,提升社会福利水平。The spillover effect of Fed’s monetary policy will result in a risk feedback loop between real economy and financial system, leading to the spiral rise of economic and financial risks. By constructing a SVAR model and a small open-economy DSGE model that incorporated cross-border capital flows and financial frictions on both supply and demand sides, this paper describes the feedback loop between economic risks and financial risks under the Fed’s monetary policy shock, and studies the coordination and target selection of two-pillar policy under the targets of “maintaining stable growth” and “preventing risks.” We found that:(1) the multiple feedback effects caused by cross-border capital flows and financial friction interaction of both financial supply and demand sides not only lead to higher default probability among enterprises, but also damage banks’ net value and increase leverage passively, eventually resulting in contraction of the macro economy and the accumulation of financial risks.(2) Whatever the rules of monetary policy, stabilizing the economy or the exchange rate, and following the Fed’s monetary policy, they cannot strike a balance between “maintaining stable growth” and “preventing risks.”(3) When the macroprudential policy targeting at bank lending and the monetary policy focusing on stabilizing the growth of the real economy are combined, the two-pillar policy may attenuate the feedback effects of the coordination of financial frictions on both supply and demand sides, balance “growth stabilization” and “risk prevention, ” and improve the social welfare level as well.

关 键 词：美联储货币政策 双支柱调控政策 供需金融摩擦 DSGE模型 

分 类 号：F827.12[经济管理—财政学] F822