风险承担视角下的货币政策审慎调控研究

Research on Prudential Adjustment of Monetary Policy from the Risk-Taking Perspective

文章构建了基于效用函数的风险承担渠道理论模型框架,分析了货币政策的经济调控效应与银行风险承担渠道效应的作用机制,并进一步阐述了货币政策工具与宏观审慎监管工具之间的内在关联性。并且利用VAR脉冲响应分析法构建了用于度量经济金融体系中系统性风险水平的金融形势指数,再依据理论分析结论构建VAR模型,实证分析了货币政策工具、调控目标变量、风险承担水平与宏观审慎监管四个方面的相互作用。研究表明,经济变量与风险承担之间是显著相互作用的,货币政策应当与宏观审慎监管措施相互融合,形成宏观审慎监管框架下的货币审慎调控政策。

The paper builds a risk-taking theoretical model based on utility function,analyzes economy adjustment of monetary policy and mechanism of bank risk-taking effect,and enquires further into intrinsic relationship between monetary policy tools and macro-prudential regulation tools.Besides,the paper constructs the financial condition index measuring systematic risk in economy by VAR impulse function.Accordingly,the paper empirically analyzes the relationships among monetary tools,adjustment targets,risk-taking level and macro-prudential regulation.The findings show that the interaction between economy variables and risk-taking is significant.Moreover,it is necessary to form prudential adjustment of monetary policy with mutual integration of monetary policy and macro-prudential regulation.