加强宏观审慎有效监管,使宏观审慎政策有效发挥作用,对于防范发生系统性银行危机、守住不发生系统性金融风险的底线至关重要。本文基于124个经济体1990—2017年的跨国面板数据,研究宏观审慎政策防范系统性银行危机的效果,并探讨其作用机制和异质性。研究结果表明,紧缩型宏观审慎政策能够降低系统性银行危机的发生概率。作用机制方面,紧缩型宏观审慎政策通过抑制信贷扩张,降低了系统性银行危机的发生概率。异质性分析方面,宏观审慎政策在发达经济体、金融体系为市场主导型及金融发展程度较高的经济体更为有效。此外,宏观审慎政策在经济周期不同阶段的效力也存在差异,防范系统性银行危机的效力在经济上行阶段更为有效。本研究对于宏观审慎政策实施与政策工具选择、防止信贷过度扩张与防范系统性银行危机方面,提供了重要的经验证据和政策启示。
Abstract
Since the 2008 international financial crisis, macroprudential policy has received extensive attention from international organizations, national regulatory authorities, and academic circles. Macroprudential policies have also become the most potent means for advanced and emerging economies to deal with financial shocks and prevent systemic risks. In practice, macroprudential policies emphasize counter-cyclical and cross-sectoral regulation and use a series of intermediate targets as anchors to achieve the ultimate goal of preventing and controlling systemic risks through the toolbox of macroprudential policies. The effectiveness and mechanism of macroprudential policies are the most important issues for regulators and academic circles.
Based on the cross-country panel data of 124 economies from 1990 to 2017, this paper examines the effect of macroprudential policies on preventing systemic banking crises and explores the mechanism and heterogeneity. The results show that the tightening macroprudential policy can reduce the probability of a systemic banking crisis. From the perspective of action mechanism, the tightening macroprudential policy reduces the probability of a systemic banking crisis by restraining credit expansion. Regarding heterogeneity analysis, macroprudential policies are more effective in developed countries and countries with a “market-oriented” financial system and a high degree of financial development. In addition, the effectiveness of macroprudential policies varies at different stages of the economic cycle, and the effectiveness of preventing systemic banking crisis is more effective in the upturn.
Compared with the existing research, the research value of this paper mainly has three aspects. Firstly, this paper focuses on macroprudential policies' prevention and action mechanisms for systemic bank crises considering the fact that the ultimate goal of macroprudential policies is to prevent and control systemic risks. Secondly, based on international empirical data, this paper analyzes the prevention effects of different macro-prudential policy tools on systemic banking crises, which has essential policy significance for selecting macro-prudential policy tools. Thirdly, this paper further analyzes the mechanism of macro-prudential policies and puts forward the mediating effect of credit expansion, which enriched the research on the mechanism of macro-prudential policies.
关键词
宏观审慎政策 /
信贷扩张 /
系统性银行危机
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Key words
Macroprudential Policy /
Credit Expansion /
Systemic Banking Crisis
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中图分类号：
F831
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基金
*本文获国家社会科学基金青年项目“健全系统性金融风险预警、防控与应急处置机制研究”（18CJY061）资助
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