宏观审慎监管政策工具有效性研究——基于DSGE模型的实证分析

Effectiveness of macro-prudential regulations:evidence from DSGE model

在DSGE模型中加入银行部门变量,通过模型结构参数校准、数值模拟和脉冲响应函数分析,比较模型引入资产充足率下限和LTV率上限这两种代表性宏观审慎监管政策工具使用前后生产率冲击、金融风险冲击、房地产需求冲击和货币政策冲击对经济和金融稳定性的影响差异,以此来判断宏观审慎监管政策工具的有效性。实证结果表明,两种工具面对不同类型冲击时各有优势和不足,整体上资本充足率下限工具的适用情况更为普遍。两者结合使用可以取长补短,增进政策实施收益。此外,货币政策搭配宏观审慎监管政策实施时,应根据特定环境和政策目标进行策略选择,以实现政策之间的相互协调。

By adding the banking sector into the DSGE model,we compare the impact of the productivity shocks,financial risk shocks,real estate shocks and monetary policy shocks on the economic and financial stability before and after we introduce the lower limit of asset adequacy rate and the upper limit of LTV rate,the two typical macro-prudential regulations,into the DSGE modal through structural parameter calibration,numerical simulation and impulse response function in order to judge the validity of macro-prudential regulations.The results show that the two regulations have their own advantages and disadvantages when facing different types of shocks although the capital adequacy ratio is more applicable.For this reason,we suggest that policymakers tailor their policies to different local conditions.