金融周期与“双支柱”调控效果

Analysis on Financial Cycle and the Effect of“Double Pillar”Regulation Frame

本文运用滚动回归VAR模型,动态地考察了不同金融周期和三种宏观审慎政策工具对金融稳定的政策效果,并通过累计脉冲响应函数分析货币政策与宏观审慎政策的配合情况。研究表明:宏观审慎政策对维护金融稳定是有效的,但与货币政策的配合还需探索;货币政策对金融稳定的正负影响都较大,维护金融稳定应主要依靠宏观审慎政策。具体来看,在金融状况平稳期,三种政策工具均发挥了维护金融稳定的效果,货币政策与宏观审慎政策配合较佳;在金融状况出现剧烈波动期,流动性比例监管政策实施效果最好,如果货币政策与宏观审慎政策同向变动,有增加金融不稳定的风险;在金融状况企稳期(MPA实施后),资本充足率的地位得到强化,逆周期资本政策效果较好,但因"双支柱"调控还处在探索阶段,货币政策承担了较多维护金融稳定职能。

This paper uses the rolling regression VAR model to dynamically investigate the policy effects of three macro-prudential policy tools on financial stability during different financial cycles, and to analyze the coordination between monetary policies and macro-prudential policies with the cumulative impulse response function. The main conclusion is that macro-prudential policies are effective in maintaining financial stability, but the coordination with monetary policies needs to be further explored. Monetary policies may severely influence financial stability positively or negatively, and we should mainly rely on macro-prudential policies to maintain financial stability. In particular, during the period of stable financial environment, all the three policy instruments have played a role in maintaining financial stability. During the period of severe financial fluctuations, the liquidity ratio regulation policy performs the best. If monetary policy changes in the same direction as the macro-prudential policy, there is a risk of increasing financial instability. During the period of stable financial environment（after the implementation of MPA）, the position of capital adequacy ratio has been strengthened, and the counter-cyclical capital policy has achieved good results. However, since the ＂ two-pillar＂ regulation frame is still in the exploratory stage,monetary policy is currently undertaking more functions of maintaining financial stability.