宏观审慎政策的信号识别、规则确立与传导路径分析

The Analysis on the Signal Source Identification,Rule Establishment and Conduction Path of Macro-prudential Policy

2008年金融危机的爆发证明了单一机构的安全稳健无法保证金融系统的整体稳定,因此危机后以宏观审慎为核心的全局监管框架备受关注。本文以金融加速器DSGE模型为基础,从宏观审慎的货币政策和宏观审慎监管两个角度搭建宏观审慎政策框架,以福利损失函数为核心构建评价体系,识别政策信号源进而确立政策规则,最后通过模拟脉冲响应函数讨论两类政策的传导路径、政策外溢以及搭配使用等问题,本文得到如下结论:第一,宏观审慎的货币政策和宏观审慎监管的金融稳定因素信号源分别为资本资产价格和信贷增量;第二,从传导路径中可以看出,宏观审慎的货币政策影响范围广、外溢效果明显,但因其过多地关注金融稳定目标,会影响传统货币政策目标的实现;第三,宏观审慎监管以金融稳定为唯一目标,政策传导路径短且外溢效果小;第四,建立分区制的宏观审慎管理框架是解决政策外溢、目标干扰、协调搭配问题的有效途径。

The 2008 financial crisis makes people realize that single organization steady does not guarantee the safety of the whole stability of the financial system. After the crisis, macro- prudential becomes the core of the global regulatory framework. Based on the classic financial accelerator DSGE models, we build macro-prudential policy framework with macro-prudential monetary policy and macro- prudential regulation, and then design the evaluation system with welfare loss function to identify policy signal source, establish policy rules. Finally we discuss the conduction path, policy spillover and matching usage of two policies through the numerical simulation of impulse response function methods. We get following conclusions ： the policy signal of financial stability in macro- prudential monetary policy and macro- prudential regulation respectively are capital asset price and social financing; from the conductive path , we can see the spillover of macro-prudential monetary policy is bigger , but which can interfere the original policy goals for paying more attentions to financial stability; macro-prudential regulation choose financial stability as the only goal, policy transmission path is short and its spillover effect is small; the zoning macro-prudential policy framework is efficient to solve policy spillover, target jamming and matching usage.