风险冲击、政府担保与最优宏观审慎政策——基于金融加速器效应  

Risk shocks,government guarantees,and optimal macro-prudential policy:Based on the financial accelerator effect

作　　者：殷红 张龙 叶祥松 YIN Hong;ZHANG Long;YE Xiang-song(International School of Business&Finance,Sun Yat-sen University,Zhuhai 519082,China;Investment Banking Division,China Guangfa Bank,Guangzhou 510062,China;School of Economics and Statistics,Guangzhou University,Guangzhou 510006,China)

机构地区：[1]中山大学国际金融学院,珠海519082 [2]广发银行总行投资银行部,广州510062 [3]广州大学经济与统计学院,广州510006

出　　处：《管理科学学报》2024年第10期125-143,共19页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(72203053)。

摘　　要：随着全球经济运行不确定性的增强,宏观审慎与政府担保逐渐成为维护金融稳定的重要手段.因此,构建含有不确定性风险冲击、政府担保及宏观审慎的金融加速器模型,来探索风险冲击下的最优宏观审慎政策,以及政府担保与宏观审慎间的政策关系.研究发现:第一,宏观审慎货币政策应同时盯住资本价格、融资溢价等多个信号源,宏观审慎监管政策应盯住资本价格单一信号源.第二,宏观审慎货币政策和宏观审慎监管政策均可削弱风险冲击,其中宏观审慎监管政策可直接影响企业和金融中介的信贷行为,调控效果更优.另外二者的混合搭配虽会产生“叠加效应”,但对经济的提振效果十分有限.第三,政府担保在维护金融稳定的同时也会带来资源错配和挤出效应的不利后果,兼顾货币政策和宏观审慎监管可以有效削弱政府担保的负面影响.最后,货币政策工具的选择并不会显著影响宏观审慎政策的调控效果.文章顺应了货币政策和宏观审慎“双支柱”调控框架的政策方针,为健全金融监管体系、守住金融风险底线有一定借鉴意义.With the increasing uncertainty of global economic operation,macroprudential and government guarantee have gradually become important means to maintain financial stability.Therefore,a financial accelerator model containing uncertain risk shocks,government guarantees and macro-prudential is constructed to explore the optimal macro-prudential policies under risk shocks and the policy relationship between government guarantees and macro-prudential policies.The findings are as follows.First,macro-prudential monetary policy should simultaneously target multiple signal sources such as capital price and financing premium,while macro-prudential regulatory policy should target a single signal source of capital price.Second,both macro-prudential monetary policy and macro-prudential regulatory policy can weaken the risk impact,among which macro-prudential regulatory policy can directly affect the credit behavior of enterprises and financial intermediaries,with a better regulation effect.Although the combination of the two may produce a“stacking effect”,its effect on stimulating the economy is very limited.Third,government guarantee will also bring adverse consequences such as resource mismatch and crowding out effect while maintaining financial stability.Balancing monetary policy and macro-prudential supervision can effectively weaken the negative effects of government guarantees.Finally,the choice of monetary policy tools does not significantly affect the effect of macro-prudential policies.The paper conforms to the policy guideline of monetary policy and macro-prudential“two-pillar”regulation framework,and has certain reference significance for improving the financial supervision system and guarding the bottom line of financial risks.

关 键 词：风险冲击 宏观审慎 货币政策 政府担保 金融加速器 

分 类 号：F832[经济管理—金融学]