国际监管合作下的流动性风险监管政策溢出效应研究  

Research on the Spillover Effect of Liquidity Risk Regulatory Policy under International Regulatory Cooperation

作　　者：方意 欧阳辉 贾妍妍 张碧琼[4] FANG Yi;OUYANG Hui;JIA Yanyan;ZHANG Biqiong(Renmin University of China,100872;Guizhou University of Finance and Economics,550025;Tianjin University of Finance and Economics,300221;Central University of Finance and Economics,102206)

机构地区：[1]中国人民大学国家发展与战略研究院,100872 [2]贵州财经大学大数据应用与经济学院,550025 [3]天津财经大学金融学院,300221 [4]中央财经大学金融学院,102206

出　　处：《财贸经济》2023年第4期41-56,共16页Finance & Trade Economics

基　　金：国家自然科学基金项目“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”(71973162);国家自然科学基金项目“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”(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”(20&ZD101)。

摘　　要：本文基于定性向量自回归模型(Qual VAR模型)和广义预测误差方差分解方法测度全球33个主要国家之间流动性风险监管政策的交互溢出效应,并考察国际监管合作下国家之间经济周期和金融周期协动对溢出效应的影响。结果显示:全球流动性风险监管政策的总溢出效应具有波动性。发达国家之间、发达国家与中国之间的政策溢出效应比较大。政策的关联网络是一个以发达国家为中心,其他新兴市场国家为边缘的中心-边缘网络,网络内部的联结具有区域聚集特征。总体来看,国家之间的经济周期协动和金融周期协动对政策溢出效应有显著的正向影响,这一影响随着国际监管对各国的压力变大而增强。但对于不同类型国家组内和组间的情况而言,这一影响具有明显的异质性。由此,本文认为各国在制定和执行宏观审慎政策时,应重点关注与本国联系紧密、处于同一地域国家的政策,加强政策信息沟通;同时,应重视国家之间经济周期和金融周期协动所带来的影响,提高政策监管的效果。After the 2008 global financial crisis,the regulation of liquidity risk was strengthened,but globalization has resulted in the interplay of national policies,and the policy spillover effect cannot be ignored.In this paper we construct the spillover effect indices of liquidity risk regulatory policies.Using the Qual VAR model,we transformed variables of the liquidity risk regulatory policy of 33 major countries in the world into continuous latent variables,and performed the generalized forecast error variance decomposition.The spillover effect indices were constructed after the results of the differential decomposition were weighted.Then the indices were used to examine dynamic and static levels of the effect and its correlation network characteristics.Finally,this paper theoretically analyzes the spillover effects of the co-movement of economic cycles and of financial cycles including the role of international regulatory cooperation,and discusses their heterogeneity.The contributions of this paper are as follows.First,it extends the scope of research on macro-prudential policy's spillover effects to the influence on policies between two countries,and analyzes the theoretical mechanism behind it.Second,it discusses and quantifies spillover effects between regulatory policies on liquidity risks.Third,in the context of international regulatory cooperation,it analyzes and empirically tests the mechanism under which the co-movement of economic cycles and of financial cycles affects the spillover effects of global liquidity risk regulatory policies.This paper shows that the total spillover effects of global liquidity risk regulatory policies are volatile.Policy spillovers between developed countries and between developed countries and China are relatively large.The policy association network is a center-periphery network with developed countries at the center and emerging markets at the periphery.The connections within the network have the characteristics of regional aggregation.In general,the economic cycle co-movemen

关 键 词：流动性风险监管政策 溢出效应 国际监管合作 宏观审慎政策 周期协动 

分 类 号：F831.0[经济管理—金融学]