我国货币政策与宏观审慎监管的协调效应研究

Coordination between Monetary Policy and Macro-prudential Supervision in China

信贷市场摩擦与BaselⅡ的银行资本监管会加剧金融体系和实体经济的波动性,这促进了"宏观审慎监管"理念的引入。本文运用一个带有抵押品约束的DSGE模型分析货币政策与宏观审慎监管对经济周期、福利改善和金融稳定的影响,基于中国经济的模拟检验得到如下结论:(1)宏观审慎监管中的LTV规则可以降低福利损失,此工具在维持金融稳定方面是有效的;(2)两种政策如何协调应根据具体经济情况而定,研究表明,经济体在面临需求冲击时两种政策可以相互促进,而面临供给冲击时可能会产生冲突;(3)最优政策组合的福利分析表明,LTV规则对房价应做出更强的反应,而修正泰勒模型中加入宏观审慎监管后的政策效率比标准泰勒模型更好,说明两种政策的互动能显著地增强经济体系的稳定性。鉴于此,我国政策当局在宏观经济调控中应当有效发挥货币政策与宏观审慎监管的协调效应,共同实现经济与金融稳定。

Our paper analyzes the impact of monetary policy and macro-prudential supervision on economic cycle,welfare improvement and financial stability by using a DSGE model with collateral constraints.After the simulation test of China's economy,we find that LTV macro-prudential rules can reduce welfare losses.The two policies could promote each other in the face of demand shocks,and conflicts may exist in the face of supply shocks.The modified Taylor curve with financial stability further shows that coordination between these two policies could enhance economic system's stability significantly.Consequently,China's policy makers should play full roles on the coordination of monetary policy and macro-prudential supervision in macroeconomic regulation,so as to achieve economic and financial stability together.