我国宏观审慎政策有效性比较研究

Comparative Research on the Effectiveness of Macroprudential Policies in China

基于我国建立了宏观审慎评估体系(MPA)的事实,比较各类逆周期性宏观审慎政策效应有利于提高宏观审慎工具选择的合理性。通过将信贷类、资本类和流动性类政策植入一个DSGE模型并进行模拟,结果表明:在经济上升期,资本类和流动性类政策对金融稳定的促进作用最强,组合政策的优势并不明显;在金融风险期,组合政策对于金融稳定的贡献则显著优于单一政策。从福利效应角度来看,宏观审慎政策只在金融风险期提高了社会福利,其中组合政策的帕累托改进最为显著。因此,中国人民银行一般应主要实施调整存款准备金率的流动性类政策和调整资本充足率的资本类政策,并在金融风险加剧时期考虑使用组合型政策,从而更有利于金融长期稳定和社会福利改善。

Based on the fact that China has built a macroprudential assessment system,the studying various counter-cyclical policies is conducive to improving the rationality of the choice of macroprudential tools.By embedding credit,capital and liquidity policies into a DSGE model and exercising a simulation,it is found that in the period of economic growth,capital and liquidity policies have the strongest promotion effect on financial stability,while portfolio policies have no obvious advantages;in the period of financial risk,portfolio policies have more significant contribution to financial stability than the single policies.From the perspective of social welfare effect,macroprudential policy can improve social welfare only in financial risk period,and Pareto improvement of portfolio policy is most significant.Therefore,the People's Bank of China should adopt liquidity policies to adjust the reserve ratio of deposits and capital policies to adjust the capital adequacy ratio.And considering using portfolio policies in the period of intensified financial risks,thus being more conducive to long-term financial stability and social welfare improvement.