我国跨境资本流动宏观审慎政策有效性研究——基于贝叶斯VAR模型

Research on the Effectiveness of FX-Related Macroprudential Policies in China :Based on Bayesian VAR model

本文通过选取代表跨境资金流动、国际市场、国内宏观经济金融市场等情况的变量,构建贝叶斯向量自回归模型(BVAR),对2000-2019年间我国跨境资本流动宏观审慎政策有效性进行了实证检验。结果表明,我国在面临跨境资本流动时,所采取的宏观审慎政策较为有效,能较好地发挥逆周期调节作用,政策实施期限保持在半年到一年左右的时间较为合理。为进一步完善宏观审慎监管体系,还需借鉴其他有效的经验和做法,丰富政策工具箱。

In this paper, bayesian vector autoregressive model(BVAR) was constructed by selecting representative variables which can stand for cross-border capital flows, international market conditions and domestic financial market conditions. We use the BVAR model to analyze the effectiveness of the macroprudential tools China used to deal with cross-border capital flows from 2000 to 2019.It is found that the existing macroprudential tools related to foreign exchange are relatively effective and can play a better role of counter-cyclical regulation. A time period of half a year to one year is relatively reasonable to implement these tools. Our suggestion is that the related policy toolbox should be further enriched and select the effective tool according to the actual needs.