我国逆周期宏观审慎政策工具调控效果研究

Research on Effects of Counter Cyclical Macro-prudential Policy Tools

2008年爆发的国际金融危机使全球主要经济体意识到传统的货币政策不足以防范系统性风险,纷纷引入逆周期宏观审慎监管框架,以减缓金融体系的顺周期性和促进金融稳定。本文基于我国2008-2018年的金融数据,构建了金融周期性指数并运用VAR模型检验了我国主要逆周期宏观审慎政策工具的调控效果。研究表明,拨备覆盖率(PC)、逆周期资本缓冲(CCyB)调控效果显著,而贷款价值比(LTV)在降低房地产行业系统性风险的同时,容易引起金融体系的短期波动。在此结论基础上,本文对完善我国宏观审慎管理体系提出了政策建议。

The framework of macro-prudential regulation policy is the main way to control systemic financial risk,and the counter cyclical macro Prudential policy is committed to slow down the periodicity of financial system.Based on the macro financial data of 2008-2018 in China,this paper constructs the financial cyclical index and uses VAR model to test the regulatory effects of counter cyclical macro Prudential policy instruments in China.The research shows that the provision coverage(PC)ratio has a better and more stable effect on the regulation of financial periodicity,while the loan to value ratio(LTV)helps to reduce the systemic risk of the real estate industry,but,as the effect is more intense,it will increase the volatility of the financial system in short term,and the countercyclical capital buffer(CCyB)also has a more significant effect on the regulation of financial periodicity,reflecting a good policy effect.On this basis,this paper puts forward suggestions to improve the macro Prudential policy system in China.