宏观审慎与金融稳定:基于计量经济政策评估方法的研究  

Econometric Evaluation of Macro Prudential Policy Effects on Financial Stability

作　　者：方颖 蔡宗武[3] 刘泽琴[4] 林明 Fang Ying;Cai Zongwu;Liu Zeqin;Lin Ming

机构地区：[1]厦门大学王亚南经济研究院和经济学院统计学与数据科学系,厦门361005 [2]厦门大学国家自然科学基金计量建模与经济政策研究基础科学中心,厦门361005 [3]美国堪萨斯大学经济系,堪萨斯劳伦斯66045 [4]山西财经大学统计学院,太原030006

出　　处：《复印报刊资料（统计与精算）》2023年第2期38-55,共18页STATISTICS AND ACTUARIAL SCIENCE

基　　金：研究阐释党的十九届六中全会精神国家社科基金重大项目《防范化解经济金融领域风险研究》(22ZDA051)。

摘　　要：宏观审慎政策的目标是维护金融稳定,本文首次提出利用计量方法在Rubin因果效应框架下对现代宏观经济政策评估进行模型量化评估了中国2007-2020年宏观审慎政策对金融稳定的影响效应首先,本文构建了能反映中国宏观审慎政策实施强度的宏观审慎政策指数;其次,采用Brownleesand Engle(2017)提出的系统性风险指数SRISK测度了中国的系统性金融风险;最后,评估了宏观审慎政策对系统性金融风险、系统性金融风险跨部门传染以及信贷传导渠道中重要中间变量的影响效应。研究发现,宽松性宏观审慎政策会加大信贷渠道中间变量的风险,这些风险主要传导至房地产部门,导致房地产部门SRISK显著提升,而对金融部门系统性风险的累积影响并不显著,风险也没外溢至制造业部门。紧缩性宏观审慎政策除了会显著提高商业银行资本充足率同比增速外,对信贷渠道其他中间变量基本无显著影响,进而对金融部门、房地产部门及制造业部门的SRISK也无明显趋势性影响。基于以上结论,本文建议应进一步深化系统性金融风险测度指标的研究,为宏观审慎政策的制定与实施提供更全面、更系统的靶向目标;其次,需充分考虑监管套利的影响,疏通宏观审慎政策传导渠道,健全传导机制,提高调控效率;最后,应重视系统性风险的跨部门传染,从更广泛的角度关注金融稳定,以避免跨机构、跨部门间的风险传染对金融稳定造成不利影响,进而更好地防范系统性金融风险。The main goal of macro prudential policies is to maintain financial stability.This paper proposes a-dopting the macro-econometric policy evaluation method under the Rubin causal effect framework to evaluate the impact of China's macro prudential policies on financial stability during the sample period 2007-2020.First,the paper constructs a macro prudential policy index to quantitatively measure the intensity of China's macro prudential policies.Second,the paper uses the systemic financial risk index,termed as SRISK to measure China's systemic fi-nancial risk.Finally,the paper evaluates the macro prudential policies'effects on the systemic financial risk,cross-sectoral contagion of systemic financial risk and important intermediate variables in the credit channel.Our empirical findings indicate that loose macro prudential policies can increase the risks of intermediate variables in the credit channel,and the risks lead to a significant rise in SRISK of house sector,but for the SRISK of financial and manufacturing sectors,the cumulative effects in 24 periods are not significant.However,in addition to a significant rise in commercial banks'capital adequacy ratio growth,tight macro prudential policies have no significant effects on the other intermediate variables in the credit channel,and further have no obvious effects on SRISK of financial,house and manufacturing sectors.Based on the conclusions,we suggest that systemic risk indicators should be further researched to provide more comprehensive and systematic targets for macro prudential authorities.Moreover,the transmission channel of macro prudential policies on financial stability should be improved to enhance the effi-ciency of regulation.Finally,more attentions should be paid to the cross-sectoral contagion of systemic financial risk so as to prevent systemic financial risk from a systemic perspective.

关 键 词：宏观审慎政策 金融稳定 系统性风险 宏观经济政策评估 SRISK 机器学习方法 

分 类 号：F224.0[经济管理—国民经济] F832.3