宏观审慎管理、金融摩擦与经济周期——基于准备金率工具的视角

Macroprudential Management,Financial Friction and Business Cycles—From the Perspective of Required Reserve Ratio

本文采用DSGE模型,考虑银行部门存在杠杆率监管约束的情况下,研究调整法定存款准备金率对宏观经济波动和信贷市场的影响。研究发现:将法定准备金率作为逆周期货币政策工具更倾向于放大银行部门和通货膨胀率的波动性,但是有利于稳定实体经济波动;在贷款价值比处于较高水平的情况下,上述结论依旧成立;时变法定准备金率的政策安排将会有效地降低银行部门的顺周期特征,有利于降低系统性金融风险发生的可能性。但是本质上来讲,法定存款准备金率的调整属于行政调控,并且在一定程度上扭曲了我国资金供求关系,造成融资效率损失并且放大了银行部门主要指标的波动性。

In this paper,we investigate the relationship between adjusting reserve requirements ratio and the fluctuation of credit market and macro-economy under the regulation of banking leverage by using DSGE model. The results find that,after the productivity shocks,the reserve requirement as a tool of countercyclical monetary policy is prone to magnify the volatility of banking sector and inflation rate but it performs better at stabilizing the fluctuation of real economy. The above result holds in the situation of high loan-to-value ratio.Time-varying reserve requirements will reduce the cyclical characteristics of the banking sector and be helpful to reducing the possibility of systematic financial risk. However,adjusting reserve requirements ratio belongs to one of methods of administrative intervention in essence,it may distort the supply and demand behaviors of funds and magnify the fluctuation of banking sector and aggregate price level.