开放经济下的“双支柱”调控稳定效应研究

Stabilization Effects of the Two-Pillar Framework in an Open Economy

本文研究了管理浮动汇率制下我国货币政策和宏观审慎政策双支柱的调控稳定效应。首先,本文从实证层面考察了人民币汇率升贬值对央行货币政策的非对称影响。接着,本文构建了包含银行部门与货币错配的开放宏观经济模型,重点分析了在面对美联储加息、人民币贬值压力的情况下,货币政策(包括对汇率的反应)和宏观审慎政策(对外债的逆周期调节)的配合如何影响宏观经济和金融的稳定。结论表明,如果缺少宏观审慎政策的配合,货币政策对汇率的反应将导致产出、通货膨胀和资产价格等经济金融变量的波动增大。在存在宏观审慎政策的前提下,相对于完全浮动汇率制,管理浮动汇率制从中长期看能进一步促进产出和外债等核心变量的稳定。

The stabilization effects of monetary policy and macro-prudential policy in an open economy are of concern to both academic researchers and policymakers. The establishment of a macro-prudential policy framework has become an important research topic worldwide since the global financial crisis in 2008. China has explored a series of macro-prudential policies and proposed a two-pillar regulation framework consisting of "monetary policy+macro-prudential policy". In recent years, many scholars have studied the two-pillar framework.However, less attention is paid when discussing such framework in a managed floating exchange rate regime. The central bank has maintained a relatively stable RMB exchange rate through measures such as open market operations in the FX market, which is also an important monetary policy tool. According to the regulations of the People’s Bank of China, maintaining the stability of the RMB exchange rate is one of the objectives of China’s monetary policy. Therefore, it is important to study how China’s monetary policy is affected by its exchange rate policy, and the coordination between the monetary policy and the macro-prudential policy under the "two-pillar" regulation framework.This study first empirically examines the intervention mechanism of the RMB’s managed floating exchange rate regime and its impact on China’s monetary policy. Based on Chen et al.(2018), we incorporate exchange rate pressure(either appreciation or depreciation) into monetary policy reaction function. We find that the augmented monetary policy rule is asymmetric. Specifically, the monetary policy negatively responds to an expected depreciation on the RMB while there is no evident reaction when the currency is expected to appreciate. A possible explanation for this asymmetry is that the central bank mainly responds to the appreciation pressure on the RMB through sterilized FX interventions, which does not affect the overall money supply.Next, we build an open macroeconomic model consisting of the financial sector and the currency mismatch. The model illustrates how monetary and macroprudential policies help to achieve macroeconomic and financial stability. Currency mismatch commonly occurs in emerging market economies that are in the process of economic and financial globalization(Eichengreen and Hausmann, 1999), and it has become increasingly prominent in China. After the "8.11" exchange rate regime reform in 2015, the depreciation pressure on the RMB rose sharply, leading domestic agents to repay U.S. dollar debts early to minimize their loss. This tightened budget constraints and affects economic and financial stability. Furthermore, the central bank has clearly stated that the macro-prudential management of external debt is also part of capital account management. Therefore, our model of macroprudential policies focuses on the tools used to manage foreign currency debt.To study the exchange rate regime, this study adopts "occasional binding constraints" to capture the asymmetric responses of China’s monetary policy to exchange rate changes in a structural macro model. We find that under a managed floating regime, the central bank is forced to follow foreign interest rate hikes to restrain the depreciation of the RMB exchange rate. In the absence of macro-prudential policies on cross-border capital flows, the central bank needs to closely follow foreign interest rate hikes by raising the domestic interest rate. Thus,it increases the volatility of economic and financial variables. Macro-prudential policies reduce economic fluctuations to a certain extent and achieve macroeconomic and financial stability. We further examine the impact of pure floating and managed floating exchange rate policies on macroeconomic and financial variables in the presence of macroprudential policies. We find that in the medium and long term, the managed floating regime has smaller fluctuations in its core macro variables, such as output and external debt, than the fully floating regime.The main contribution of this study is its investigation of an asymmetric monetary policy in a managed floating exchange rate regime and the coordination of monetary and macro-prudential policy. This study provides theoretical support for the construction of a two-pillar regulatory framework under an open economy. Our study also offers some suggestions for future research on macroeconomic problems in other emerging market economies.