银行资产负债表、金融系统性风险与双支柱调控框架  

Bank Balance Sheets,Financial Systemic Risk and the Two-pillar Regulatory Framework

作　　者：董丰 周基航 贾彦东[2] DONG Feng;ZHOU Jihang;JIA Yandong(School of Economics and Management,Tsinghua University;Research Bureau,People's Bank of China)

机构地区：[1]清华大学经济管理学院,100084 [2]中国人民银行研究局,100800

出　　处：《经济研究》2023年第8期62-82,共21页Economic Research Journal

基　　金：国家社会科学基金项目(23AZD025);国家自然科学基金项目(72122011,72250064)的资助。

摘　　要：本文构建了一个包含金融部门(银行)的无限期动态新凯恩斯模型,并在该框架之下引入内生资产泡沫。在理论视角下,本文将银行资产端所包含的资产泡沫简称为银行泡沫,并构建了“加速—缓冲—挤出”分析框架,用以刻画银行泡沫波动对宏观经济和金融系统的传导效果和对应的理论机制。加速机制是指银行泡沫会通过资产负债表的传导,致使金融系统放大经济波动;缓冲机制是指银行泡沫会降低经济波动对实体经济的冲击;挤出机制则是指银行泡沫会挤出银行对于生产资本的配置,导致宏观经济“脱实向虚”。宏观调控政策方面,本文重点研究了货币政策与宏观审慎政策双支柱调控框架如何通过调节资金成本和银行资产负债表来应对资产泡沫。基于参数校准和贝叶斯估计的定量分析表明,当银行泡沫的加速和缓冲机制占主导时,逆风货币政策和宏观审慎政策均能有效维护经济金融系统稳定,实现“防风险”和“稳经济”的双重政策目标,且两类政策间的有效协作与配合能更大幅度地提升社会福利水平。当挤出机制占主导时,最优政策组合则需根据经济形势变化及波动来源进行调整,进而在“防风险”和“稳经济”之间寻求平衡。The primary theoretical innovation of this paper lies in constructing a dynamic New Keynesian model that incorporates a financial sector and introduces the concept of asset bubbles.It assumes that banks,in addition to purchasing productive capital,can also hold asset bubbles,namely bank bubbles.This paper focuses on the impact of bank bubbles on the safety and stability.of the macroeconomy,as well as the responses and governance of macroeconomic policies.The mechanism through which bank bubbles affect the macroeconomy can be summarized as an"acceleration-buffer-squeeze"analytical framework.The"acceleration"mechanism refers to the positive feedback loop in which the expansion of bank bubble values increases banks'net capital and expands the size of their balance sheets,thus promoting prosperity in the real economy,which in turn stimulates the further expansion of asset bubble values.Conversely,when asset bubbles burst,a negative"acceleration"process occurs,leading to prolonged economic downturns.The"buffer"mechanism suggests that when banks'capital or leverage levels are affected,the banks first adjust the number of bank bubbles held and then adjust the quantity of productive capital,thereby reducing the volatility of productive capital or the real economy resulting from exogenous shocks.Lastly,the"squeeze"mechanism implies that bank asset supply is limited,necessitating a trade-off between productive capital and asset bubbles.When the allocation of asset bubbles increases,it may squeeze out the allocation of productive capital.In this mechanism,the expansionary credit policies of banks may fail to achieve the desired stabilizing effect on the economy since funds flow from the real sector to the virtual sector,resulting in asset price inflation and a downturn in the real economy.This paper focuses on the application of a two-pillar policy framework consisting of monetary policies and macro prudential policies in managing bank bubbles.The research findings indicate that"leaning against the wind"monetary policies an

关 键 词：银行资产负债表 金融系统性风险 资产泡沫 双支柱调控框架 

分 类 号：F832.33[经济管理—金融学] F830.42