国际资本外流冲击下汇率逆周期因子的金融稳定效应研究  

Exchange Rate Counter Cyclical Adjustment and Financial Stability under Two-Pillar Regulation Framework

作　　者：王东明 曹春玉 WANG Dongming;CAO Chunyu

机构地区：[1]上海立信会计金融学院金融学院

出　　处：《世界经济研究》2024年第3期90-106,M0004,共18页World Economy Studies

基　　金：国家自然科学基金面上项目“重大突发公共卫生事件冲击下的全球金融风险溢出及其管理研究”(项目批准号:72073113)。

摘　　要：文章构建动态随机一般均衡模型,在外部加息带来国际资本外流冲击时,结合中国经济结构及运行特征,在管理浮动汇率中加入汇率逆周期因子,研究其对金融稳定的影响及其与其他宏观审慎政策配合的政策效应。研究发现,基于外国货币政策调整的逆周期因子的汇率稳定效果优于其他政策,在管理浮动汇率中引入逆周期因子,能够更好地实现金融稳定的目标;在实施逆周期准备金率时,管理浮动汇率中加入逆周期因子能够抑制汇率过度贬值的顺周期行为,平滑汇率波动,同时辅以再贷款利率的调节,有助于平滑国内债务波动;在管理浮动汇率下加入逆周期因子,能够降低社会福利损失。文章提出,货币当局应构建完善的动态汇率逆周期调节机制,注重其与汇率浮动管理、准备金政策和再贷款利率等宏观政策的配合。This paper examines domestic financial stability performance of the policy combination of counter cyclical exchange rate factor under managed floating and other macro prudential policies under foreign interest rate hikes bring capital outflow shock through a dynamic stochastic model.The study found that exchange rate stability effect of the counter cyclical factor of global monetary policy is better than other alternatives.Managed floating together with a counter cyclical exchange rate factor can achieve the goal of domestic financial stability more effectively.Further,when the central bank implements the counter cyclical reserve requirement,managed floating with a counter cyclical factor can suppress the procyclical behavior of excessive depreciation,smooth the exchange rate path,and create a moderately stable financial environment.When the central bank implements the counter-cyclical reserve requirement and managed floating with a counter-cyclical exchange rate factor,counter cyclical adjustment of the central bank refinancing rate to commercial banks could smooth the domestic debt fluctuations.Managed floating together with a counter cyclical exchange rate factor can reduce social welfare losses.Therefore,monetary authorities should establish a dynamic countercyclical adjustment mechanism for exchange rates,focusing on its coordination with macroeconomic policies such as exchange rate fluctuation management,reserve policy and refinancing interest rates.

关 键 词：汇率逆周期因子 金融稳定 双支柱调控 宏观审慎政策 国际资本流动 

分 类 号：F832.6[经济管理—金融学]