双支柱政策的时变效应研究  

A Study on the Time-varying Effects of Dual-pillar Policies

作　　者：张晓燕[1] 郭莹 Zhang Xiaoyan;Guo Ying

机构地区：[1]山西财经大学金融学院

出　　处：《宏观经济研究》2023年第5期4-19,103,共17页Macroeconomics

基　　金：国家社会科学基金一般项目“新时代面向国家安全的金融系统性风险识别、测度、预警及防控研究”(18BJY235);山西省政府重大决策咨询课题“发挥居民消费对山西传统产业转型升级的基础作用研究”(ZB2023015)的资助。

摘　　要：在当前亟需统筹经济发展和风险防范的新形势下,实施货币政策和宏观审慎政策双支柱调控框架是实现“稳经济”和“稳金融”的重要手段。本文着眼于金融和经济的联动关系,分析双支柱政策的传导机制,构建金融市场波动指数,采用TVP-VAR模型刻画双支柱政策对金融市场和宏观经济的动态脉冲响应机制。研究表明,双支柱政策经信贷、资产价格等渠道影响金融市场,政策效应经金融市场间发酵、放大后进一步传导至宏观经济体系中。作为中国未来一段时间的政策选择,实施双支柱政策有利于减弱金融市场对宏观经济波动的负向传导效应。同时,双支柱政策具有时变性,需要疏通双支柱政策的传导渠道,避免双支柱政策的逆向选择,降低政策的伴生风险,为促进金融联动经济的高质量发展提供现实依据。Itn the current new situation where there is an urgent need to integrate economic development and risk prevention,the implementation of the dual-pillar regulatory framework of monetary policy and macroprudential policy is an important tool to achieve‘stabilizing the economy'and‘stabilizing finance'.This paper focuses on the linkage between finance and economy,analyzes the transmission mechanism of dual-pillar policy,constructs a financial market fluctutation index,and adopts TVP-VAR model to portray the dynamic impulse response mechanism of dual-pllar policy on financial market and macroeconomy.The study shows that the dual-pillar policy affects the financial market through the channels such as credit and asset prices,and the policy effects are further transmitted to the macroeconomic system after fermentation and amplification among financial markets.As a policy choice for China in the future,the implementation of the dual-pillar policy is conducive to weakening the negative transmission effect of financial markets on macroeconomic fluctuations.At the same time,the dual-pillar policy is time-varying,it is necessary to dredge the transmission channels of the dual-pillar policy,avoid the adverse selection of the dual-pillar policy,reduce the risks associated with the policy,and provide a realistic basis for promoting the high-quality development of the financially linked economy.

关 键 词：双支柱政策 金融市场波动 TVP-VAR模型 时变效应 

分 类 号：F822.0[经济管理—财政学] F832