跨境资本流动、金融摩擦与准备金政策分化  

Cross-border Capital Flows,Financial Market Frictions and the Divergence in Reserve Requirements

作　　者：梅冬州[1] 宋佳馨 谭小芬 MEI Dongzhou;SONG Jiaxin;TAN Xiaofen(School of International Trade and Economics,Central University of Finance and Economics;School of Finance,Capital University of Economics and Business;School of Economics and Management,Beihang University)

机构地区：[1]中央财经大学国际经济与贸易学院,102206 [2]首都经济贸易大学金融学院,100070 [3]北京航空航天大学经济管理学院,100191

出　　处：《经济研究》2023年第6期49-66,共18页Economic Research Journal

基　　金：国家社会科学基金重大项目(22&ZD131);国家社会科学基金重大项目(20&ZD101)的阶段性成果;国家自然科学基金面上项目(72073149)。

摘　　要：近年来,新兴经济体国家积极地使用逆周期的准备金政策对宏观经济进行调节,而在发达经济体中准备金政策的重要性则不断下降,那么造成这种准备金政策使用分化的背后机制是什么?为了回答这一问题,本文构建了实证模型分析发达经济体和新兴经济体准备金政策的周期性特征,并讨论了资本流动与金融市场摩擦等因素如何影响一国准备金政策的制定。进一步地,本文构建了一个开放宏观经济模型,对外部冲击下准备金政策的作用机制进行梳理。研究发现,对于新兴经济体而言,负向的外部冲击下跨境资本大量流出致使金融中介部门的可贷资金减少、贷款利率上升,并在国内金融市场摩擦的放大作用下进一步引起一国信贷规模和产出水平的大幅收缩。此时,中央银行可以通过降低法定准备金要求向金融中介部门注入流动性,抑制企业融资成本的上升,而在发达经济体中准备金政策在应对外部冲击时的作用效果并不明显。反事实分析和福利分析的结果进一步表明,新兴经济体的国内金融市场摩擦和资本流动顺周期特征是影响准备金政策应对外部冲击有效性的重要因素。当一国的金融开放水平更高以及更倾向于使用固定汇率制度时,逆周期的准备金政策在遏制外部冲击传导上的作用效果也更强,从而将更有效地“熨平”宏观经济的波动。In recent years,emerging economies have actively used counter-cyclical reserve requirements to regulate macroeconomic fluctuations,while the importance of reserve requirements in advanced economies has continued to decline.Why do advanced and emerging economies have different attitudes toward the use of reserve requirements?What is the mechanism behind this divergence?To answer these questions,this paper uses macroeconomic data from 62 economies to analyze the cyclical characteristics of reserve requirements in both advanced and emerging economies.It also discusses how factors,such as capital flows and financial market frictions affect the use of reserve requirements.Our work provides empirical evidence of the divergence in the implementation of reserve requirements between the two types of economies.The results show that reserve requirements in emerging and developing economies exhibit significant counter-cyclical characteristics,while those in advanced economies do not display such characteristics.Additionally,the results also show that the levels of financial market frictions,pro-cyclical capital flows,financial openness,and exchange rate elasticity are related to the degree of reserve requirements counter-cyclicality.Based on the empirical results,we construct an open economy model with pro-cyclical cross-border capital flows and a financial accelerator mechanism(Bernanke et al.,1999).After sorting out the mechanism of reserve requirements under external shocks,we calibrate the parameters for both emerging and advanced economies and test the factors that influence the effectiveness of reserve requirements through counterfactual analysis and welfare analysis.The theoretical analysis shows that for emerging economies,large quantities of cross-border capital outflows under negative external shocks will lead to a reduction in loanable funds in the financial intermediary sector and an increase in lending rates.The magnification of financial market frictions will further cause a sharp decline in the credit scale an

关 键 词：准备金政策 金融市场摩擦 跨境资本流动 

分 类 号：F832.6[经济管理—金融学] F822.0