金融监管、流动性约束与货币政策效果——基于DSGE模型的实证研究

Financial Supervision, Liquidity Constraints and the Effects of Monetary Policy——A Research Based on DSGE Model

本文构建包含流动性约束下的银行部门的动态随机一般均衡模型,研究金融监管对货币政策的影响。研究结果表明:微观流动性约束会加大宏观货币政策对投资、产出等宏观经济变量的负面影响;面对技术冲击和货币政策冲击时,微观流动性约束对货币政策冲击的影响较大;逆周期金融监管有助于缓解流动性约束对货币政策调整的影响。因此,中央银行在货币政策的制定中,应充分考虑金融机构受到的监管约束;同时,在金融监管政策的制定中,必须结合当前的货币政策及宏观流动性状况。

The authors of this paper construct a dynamic stochastic general equilibrium model including liquidity constraints on banking sector to analyze the impact of financial supervision on monetary policy. The results of the paper show that, the micro-liquidity constraint increases the negative impact of macro-monetary policy on macro-economic variables such as investment and output; comparing the technical shock, the micro-liquidity constraint has a greater impact on monetary policy shock; counter-cyclical financial supervision helps ease the impact of liquidity constraints on monetary policy adjustments. Therefore, while forming the monetary policies, the central bank should fully consider the regulatory constraints imposed on financial institutions; while forming the financial regulatory policies, the current monetary policy and macro liquidity conditions should be considered.