全球金融周期、宏观审慎政策和跨境资本流动——兼论“三元悖论”和“二元悖论”之争  

The Global Financial Cycle,Macroprudential Policies and Cross-border Capital Flows:With an analysis of the“Trilemma”and the“Dilemma”Debate

作　　者：虞梦微 谭小芬 宋佳馨 YU Mengwei;TAN Xiaofen;SONG Jiaxin(School of Finance,Zhejiang Gongshang University;School of Economics and Management,Beihang University;School of Finance,Capital University of Economics and Business)

机构地区：[1]浙江工商大学金融学院,浙江杭州310018 [2]北京航空航天大学经济管理学院,北京100191 [3]首都经济贸易大学金融学院,北京100070

出　　处：《金融研究》2024年第6期1-19,共19页Journal of Financial Research

基　　金：国家社科基金重大项目(20&ZD101,22&ZD120);教育部人文社会科学研究青年基金项目(23YJC790181);首都经济贸易大学新入职青年教师科研启动基金(XRZ2024032)的资助。

摘　　要：在全球金融周期的驱动下,跨境资本流动呈现明显的顺周期性波动,资本的大进大出会影响经济金融稳定。本文通过构建开放经济动态随机一般均衡模型,并结合实证研究,分析宏观审慎政策平滑全球金融周期引致的资本流入顺周期性波动及其机制和效果。研究发现,宏观审慎政策可以平滑全球金融周期驱动下资本流入的顺周期性波动,并且,对债权型资本流入顺周期波动的平滑效果优于对股权型资本流入顺周期波动的平滑效果。异质性分析表明,外部风险敞口越大、抵御外部风险能力越弱、内部脆弱性越明显,以及汇率制度越缺乏弹性的经济体,实施宏观审慎政策的缓冲效果越好。基于在险资本流动(CFaR)框架的进一步研究发现,宏观审慎政策的缓冲作用因汇率制度类型和跨境资本流动分布而有所差异。本文可为相关部门选择合适的宏观审慎政策工具应对外部输入性金融风险提供有益参考。As global financial integration deepens, the financial conditions of various countries exhibit significant cross-border co-movements, known as the “global financial cycle”. As a critical transmission channel of the global financial cycle, cross-border capital flows display a marked procyclicality. If a recipient country's capital flows are highly procyclical with respect to the global financial cycle, they can form a positive feedback loop with the domestic financial system, becoming part of the financial accelerator and increasing the vulnerability of the financial system. Given that the intermediate targets of macroprudential policies are to mitigate the procyclical feedback of domestic financial cycle variables such as asset prices, credit, and leverage, and that these variables are also key components of the positive feedback loop in the transmission of the global financial cycle, theoretically, macroprudential policies should be able to weaken the procyclical feedback of capital flows to the global financial cycle.This paper constructs an open economy dynamic stochastic general equilibrium (DSGE) model and combines it with empirical research to qualitatively and quantitatively analyze the main mechanisms through which macroprudential policies smooth global financial cycle shocks. It compares the mechanisms of macroprudential policies on different types of cross-border capital inflows and analyzes the heterogeneous effects of these policies. The study finds that macroprudential policies can reduce the procyclical impact of the global financial cycle on capital inflows and that the buffering effect on the procyclicality of debt-type capital inflows is superior to that on equity-type capital inflows. The analysis of policy effectiveness heterogeneity indicates that economies with higher external risk exposure (higher financial development, greater capital account openness, higher financial integration, greater pegging to the dollar, and more foreign currency-denominated external debt), lower capacity to wit

关 键 词：全球金融周期 宏观审慎政策 跨境资本流动 三元悖论 

分 类 号：F113[经济管理—国际贸易] F831[经济管理—世界经济]