基于GaR尾部期望风险测度的中国宏观审慎政策效果评估  

Assessing the Effectiveness of China's Macroprudential Policies Based on GaR Tail Expectation Risk Measures

作　　者：许启发[1,2] 王慧卉 蒋翠侠[1] Xu Qifa;Wang Huihui;Jiang Cuixia(School of Management,Hefei University of Technology,Hefei 230009,Anhui,China;Key Laboratory of Process Optimization and Intelligent Decision-making,Ministry of Education,Hefei University of Technology,Hefei 230009,Anhui,China)

机构地区：[1]合肥工业大学管理学院,安徽合肥230009 [2]合肥工业大学过程优化与智能决策教育部重点实验室,安徽合肥230009

出　　处：《金融发展研究》2024年第10期3-16,共14页Journal Of Financial Development Research

基　　金：国家自然科学基金面上项目“基于GaR新框架的系统性风险混频计量与监管研究”(72171070)。

摘　　要：宏观审慎政策需要统筹“稳增长”与“防风险”两大目标,在促进短期经济增长与预防中期下行风险之间进行跨期权衡。为了评估宏观审慎政策的实施效果,本文选取2000—2021年中国宏观金融数据进行实证研究。首先,采用分位数向量自回归模型分析了宏观审慎政策对经济增长和金融条件的影响。其次,构建在险增长尾部期望风险测度指标增长短缺和增长盈余,引入多期GS和GL到收益—风险分析框架,构造社会福利函数。最后,通过反事实情景分析,量化评估了宏观审慎政策的跨期权衡。实证结果表明:宏观审慎政策对经济增长具有非对称影响,紧缩政策在经济繁荣时期能有效减少下行风险,而在经济危机时应采取宽松政策以促进经济复苏。Macroprudential policies need to integrate the two objectives of"stabilizing growth"and"preventing risks",and make an intermediate-term trade-off between promoting short-term economic growth and preventing medi-um-term downside risks.In order to assess the implementation effect of macroprudential policies,this paper selects China's macrofinancial data from 2000 to 2021 for empirical research.First,the impact of macroprudential policies on economic growth and financial conditions is analyzed using quantile vector autoregressive models.Second,the in-risk growth tail expectation risk measures growth shortage and growth surplus are constructed,and multi-period GS and GL are introduced to the return-risk analysis framework to construct the social welfare function.Finally,the intertemporal trade-offs of macroprudential policy are quantitatively assessed through a counterfactual scenario analysis.The empiri-cal results show that macroprudential policies have an asymmetric impact on economic growth,and that tightening poli-cies are effective in reducing downside risks in times of economic prosperity,while easing policies should be adopted in times of economic crisis in order to promote economic recovery.

关 键 词：宏观审慎政策 在险增长 金融条件指数 分位数向量自回归 社会福利函数 

分 类 号：F830[经济管理—金融学]