宏观审慎、资本管制与系统性银行危机

Macroprudential Policies,Capital Controls and Systemic Banking Crises

本文基于91个经济体2000—2017年的数据,实证探讨宏观审慎与资本管制政策谁更有效。研究发现,在系统性银行危机视角下,相较于资本管制政策,宏观审慎政策是一个更加有效的政策工具,尤其是针对金融机构资产负债头寸的宏观审慎政策,而资本管制政策并不能降低系统性银行危机爆发的概率。进一步的分析显示,宏观审慎政策的重要性在次贷危机之后开始显现,且它的影响在高杠杆率、资本管制程度较低情况下较大;宏观审慎政策虽然能够抑制系统性银行危机的爆发,但是对货币危机和主权债务危机的影响并不大;宏观审慎政策能够有效地降低信贷增速,但是资本管制效果并不明显,这可能是宏观审慎政策抑制系统性银行危机效果更为明显的重要原因。由此可见,中国要降低高宏观杠杆率下系统性银行危机爆发的概率,需要确保宏观审慎政策的有效执行,而非依赖高强度的资本管制。

Based on the panel data of 91 economies from year 2000 to 2017,this paper empirically examines which one is more effective,macroprudential policy or capital control.The result shows that macroprudential policies especially those for the balance sheet positions of financial institutions are more effective than capital controls from the perspective of systemic banking crises,while capital controls can’t reduce the likelihood of systemic banking crises.Further analysis also shows that the importance of macroprudential policies began to emerge after the subprime crisis.And macroprudential policies are more effective when the level of leverage is high and the intensity of capital controls is low.Although macroprudential policies can restrain the outbreak of systemic banking crises,it has little influence on currency crises and sovereign debt crises.The important reason why macroprudential policies are more effective in reducing the likelihood of systemic banking crises may be that macroprudential policies can effectively slow credit growth while capital controls can not.Therefore,if China aims to reduce the likelihood of systemic banking crisis under high macro leverage ratio,it needs to ensure the effective implementation of macroprudential regulation policies,instead of increasing the intensity of capital controls.