宏观审慎政策、货币政策与经济波动

Macroprudential Policy, Monetary Policy and Economic Fluctuation:Based on the DSGE Model

我国宏观审慎管理与货币政策的双支柱体系能否有效实现价格、金融、经济的多重稳定有待检验。实证研究发现:(1)宏观审慎政策可以有效应对信用风险冲击,减缓波动,使经济、金融保持稳定;(2)宏观审慎政策与货币政策的协调搭配在应对不同外部冲击时的效果不同,面临技术性冲击时放松宏观审慎政策能更好地调节经济;(3)宏观审慎政策对经济波动、金融波动的影响存在U形效应。因此,考虑宏观审慎政策、货币政策的协调搭配,更为灵活地调控宏观审慎政策幅度将有助于减少我国经济、金融波动,顺利度过经济结构转型期。

The outbreak of the global financial crisis in 2008 has drawn extensive attention to studies on macro-prudential policies across the world.China has implemented macro-prudential policies for a long time.It first adopted macro-prudential tools such as the loan-to-value ratio and the deposit-loan ratio policy in 1993.In recent years,the Chinese government has paid much more attention to macro-prudential management,proposed a dual-pillar control system of"macro management+monetary policy",and established a separate macro-prudential administration department.However,whether China’s current dual-pillar system of"macro-prudential management and monetary policy"can effectively achieve stability in its pricing,finance and economy still remains to be tested.At present,most literature focuses on the effectiveness of macro-prudential management policies and their coordination effects with monetary policy.However,the existing researches stay at the level of the theoretical layer,lacking further support from empirical evidences and neglecting the discussion of the impact of the"macroprudential policy"regulation range on economic and financial stability.Based on this,this article hopes to study the collocation effect between macro-prudential policy and monetary policy and the adjustment range of macro-prudential management tin both theoretical and empirical perspectives.In terms of theoretical analysis,we introduced macro-prudential policies and monetary policies on the basis of the traditional New Keynesian model and constructed a five-sector DSGE model to study the effectiveness of macro-prudential policies,the coordination relationship between macro-prudential and monetary policies,and the influence of adjustment of macro-prudential on both economic and financial stability.In terms of empirical research,with the help of generalized moment model,we conducted empirical analysis based on China’s 2000-2019 quarterly data to verify the correctness of the conclusions inferred by the DSGE model.We have realized the verification of macro-prudential policy and monetary policy from micro to macro,from theory to empirical research.Compared with existing researches,we have mainly made marginal contributions in the following aspects:First,we provide a theoretical framework for studying the two-pillar system of"macroprudential policy and monetary policy"where we separate macro-prudential management from monetary policy.The two policies have different objectives in better explaining China’s actual operating situations.The second is to give empirical evidences for understanding monetary policy,macro-prudential policies and volatility and analyze the possible impact of changes in macro-prudential policies on volatility and stability.These findings are helpful in understanding China’s economy and government policies.The research results in this paper show that:Firstly,the separate implementation of macro-prudential policies is not conducive to financial and economic stability but will aggravate economic fluctuations.Secondly,the combination of macro-prudential policies and monetary policies can resolve specific external shocks,reduce economic and financial fluctuations to a certain extent,regulate the economy and achieve multiple stability goals.Also,macroprudential policies will have a more obvious impact on financial stability.Thirdly,the impact of macro-prudential policies on economic and financial fluctuations has an obvious U-shaped relationship.That is,macro-prudential policies will be a double-edged sword.When government regulation exceeds the optimal level,it will intensify economic fluctuations and lead to financial instability or even financial risks.Therefore,when implementing macro-prudential policies,the government can consider the following improvements:First of all,it is necessary to identify the types of the economic external shocks,and rationally match macro-prudential policies,monetary policies and fiscal policies to achieve"counter-cyclical"control.Secondly,the government must continue to advance the reform of the financial system,actively and flexibly adjust macro-prudential management strategies,stimulate the positive vitality of macro-prudential policies to reduce economic volatility and ensure financial stability.Apart from that,the government should be aware of the differences of micro subjects to avoid one-size-fits-all regulations.