国内宏观经济需求不振,金融体系面临风险压力,外部环境动荡不安,这些都对“双支柱”调控框架下的政策选择提出了更高要求,分析并提炼其他经济体实施“双支柱”调控政策的有效经验,对我国具有重要的借鉴价值。本文基于84个主要经济体1998—2020年的面板数据,系统考察了“双支柱”政策在不同经济和金融周期阶段的金融稳定效应。实证结果显示：第一,货币政策与宏观审慎政策均能较好地对信贷增速、实体部门杠杆和资产市场进行调节,并在稳定信贷和实体部门杠杆方面产生“1+1>2”的协同效应。第二,“双支柱”调控在不同的经济和金融周期阶段表现出不同的政策效果。其中,货币政策在经济衰退期的金融稳定效应要强于非衰退期,而宏观审慎政策在经济繁荣期的金融稳定效应要弱于非繁荣期;货币政策在金融繁荣期的金融稳定能力较强,而宏观审慎政策则在金融衰退期的金融稳定能力较强。第三,发达经济体的“双支柱”政策大多有效且能灵活选择,而新兴经济体的“双支柱”政策受制于宏观审慎政策有效性相对不足,导致其整体调控表现要弱于发达经济体。第四,当经济周期与金融周期同步时,货币政策的金融稳定效应会被显著削弱,而当经济周期和金融周期错位时,货币政策的金融稳定效应会被显著增强。本文的研究结论表明,“双支柱”调控在实践中需要考虑调控对象所处的经济和金融周期阶段,并根据调控的具体目标选择合适的工具或工具组合。
Abstract
Domestic macroeconomic demand has been sluggish and the financial system has faced significant risk pressures exacerbated by unstable external environments. These challenges have increased the demands on policy choices within the dual-pillar regulatory framework especially considering the central financial directives focused on“advancing high-level financial openness and ensuring national financial and economic security.”Analyzing and distilling the commonalities in the implementation of dual-pillar policies in other economies has significant value for China.
This paper; based on the panel data from 84 major economies from 1998 to 2020 systematically examines the financial stability effects of dual-pillar policies during different economic and financial cycles. The study finds that the dual-pillar policies exhibit varying policy outcomes across different economic and financial cycles. Specifically monetary policy demonstrates stronger financial stability effects during economic recessions than in non-recession periods while macroprudential policy shows weaker financial stability effects during economic booms compared to non-boom periods. Additionally monetary policy tends to have stronger financial stability capabilities during financial booms whereas macroprudential policy is more effective during financial recessions. Furthermore the dual-pillar policies in developed economies are generally effective and flexible in most cases while in emerging market economies these policies are less effective due to the limited efficacy of macroprudential policy resulting in overall weaker regulatory performance compared to developed economies. In addition the financial stability effects of monetary policy are significantly weakened when economic and financial cycles are synchronized but are significantly enhanced when these cycles are misaligned.
Based on extensive cross-econony data this paper examines the regulatory effects of dual-pillar policies and discusses their varying impacts during different economic and financial cycles. It also compares their heterogeneous impacts between developed economies and emerging market economies effectively addressing gaps in the existing empirical literature. Moreover this study meticulously analyzes policy responses in complex scenarios where economic and financial cycles are“synchronized”or“misaligned” helping to enhance the understanding of the implementation effects of dual-pillar policies across different economic and financial cycle states.
关键词
“双支柱”调控 /
经济周期 /
金融周期 /
金融稳定
{{custom_keyword}} /
Key words
Dual-Pillar Policy /
Economic Cycles /
Financial Cycles /
Financial Stability
{{custom_keyword}} /
中图分类号：
F831
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] 陈伟泽,陈小亮,王兆瑞,陈彦斌. 长期TFP增速变化对双支柱调控框架的影响研究——兼论双稳定目标的实现策略[J]. 中国工业经济,2023(1):19-37
[2] 樊明太,叶思晖. 宏观审慎政策使用及其有效性研究——来自全球62个国家的证据[J]. 国际金融研究,2020(12):33-42
[3] 范小云,王道平. 巴塞尔Ⅲ在监管理论与框架上的改进:微观与宏观审慎有机结合[J]. 国际金融研究,2012(1):63-71
[4] 何德旭,张庆君,陈思,刘蕴霆. 资产数字化、银行风险与“双支柱”调控[J]. 经济研究,2023(1):38-55
[5] 马勇. “双支柱”调控框架的理论与经验基础[J]. 金融研究,2019(12):18-37
[6] 马勇,陈雨露. 金融杠杆、杠杆波动与经济增长[J]. 经济研究,2017(6):31-45
[7] 马勇,吕琳. “双支柱”政策、政府债务与财政政策效果[J]. 经济研究,2021(11):30-47
[8] 马勇,姚驰. 外生冲击下双支柱调控框架的稳定效应——理论建模及基于全球样本的实证检验[J]. 中国工业经济,2022(12):14-32
[9] 马勇,章洪铭. 不同融资结构下的“双支柱”调控效应研究[J]. 财贸经济,2022(10):87-101
[10] Acharya V V.A Theory of Systemic Risk and Design of Prudential Bank Regulation[J]. Journal of Financial Stability,2009,5(3):224-255
[11] Adrian T,Shin H S.Liquidity and Leverage[J]. Journal of Financial Intermediation,2010,19(3):418-437
[12] Angelini P,Neri S,Panetta F.The Interaction between Capital Requirements and Monetary Policy[J]. Journal of Money,Credit and Banking,2014,46(6):1073-1112
[13] Angeloni I,Faia E.Capital Regulation and Monetary Policy with Fragile Banks[J]. Journal of Monetary Economics,2013,60(3):311-324
[14] Bezemer D,Zhang L. From Boom to Bust in the Credit Cycle:The Role of Mortgage Credit[R]. University of Groningen Working Paper,2014,No.14025
[15] Borio C,Zhu H. Capital Regulation,Risk-Taking and Monetary Policy:A Missing Link in the Transmission Mechanism[J]. Journal of Financial Stability,2012,8(4):236-251
[16] Braun M,Larrain B.Finance and the Business Cycle:International,Inter-Industry Evidence[J]. The Journal of Finance,2005,60(2):1097-1128
[17] Brunnermeier M,Rother S,Schnabel I.Asset Price Bubbles and Systemic Risk[J]. The Review of Financial Studies,2020,33(9):4272-4317
[18] Cerutti E,Claessens S,Laeven L.The Use and Effectiveness of Macroprudential Policies:New Evidence[J]. Journal of Financial Stability,2017,28:203-224
[19] Duarte F,Eisenbach T M.Fire-Sale Spillovers and Systemic Risk[J]. The Journal of Finance,2021,76(3):1251-1294
[20] Fendoğlu S.Credit Cycles and Capital Flows:Effectiveness of the Macroprudential Policy Framework in Emerging Market Economies[J]. Journal of Banking & Finance,2017,79:110-128
[21] Galán J E.The Benefits Are at the Tail:Uncovering the Impact of Macroprudential Policy on Growth-at-Risk[J]. Journal of Financial Stability,2020,100831
[22] Galati G,Moessner R.What Do We Know about the Effects of Macroprudential Policy[J]. Economica,2018,85(340):735-770
[23] Greenwood R,Landier A,Thesmar D.Vulnerable Banks[J]. Journal of Financial Economics,2015,115(3):471-485
[24] Paoli B D,Paustian M.Coordinating Monetary and Macroprudential Policies[J]. Journal of Money,Credit and Banking,2017,49(2):319-349
[25] Revelo J D G,Lucotte Y,Pradines-Jobet F. Macroprudential and Monetary Policies:The Need to Dance the Tango in Harmony[J]. Journal of International Money and Finance,2020,108:102156
[26] Rey H. Dilemma not Trilemma:The Global Financial Cycle and Monetary Policy Independence[R]. NBER Working Paper,2015,No. 21162
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
*本文获国家社会科学基金重大项目“中国建设现代中央银行调控制度研究”（21ZDA044）资助
{{custom_fund}}
PDF(1188 KB)
京公网安备 11010202008337号
