中央银行与宏观审慎政策有效性——来自121家央行的经验证据

Research on Central Banks and Effectiveness of Macro-Prudential Policy一Evidence from 121 Central Banks

本文基于2002—2017年121个国家和地区数据,分析了中央银行作为宏观审慎政策主体对政策有效性的影响以及主体选择的决定因素。结果表明:中央银行作为宏观审慎政策主体能够显著提升审慎政策的有效性,并对不同类型工具产生异质性影响。中央银行能够加强缓冲型工具、借款人工具以及资产负债工具在抑制信贷扩张方面的作用;改善缓冲型工具和借款人工具在降低金融机构杠杆水平方面的效果;提高借款人工具和资产负债工具在缓解跨境资本流动方面的效力。但对于资产负债工具调整金融机构杠杆水平以及缓冲型工具调控跨境资本流动并未产生显著影响。本文还发现,经济金融发展水平、制度背景以及中央银行自身特征等因素均会影响各国家和地区对宏观审慎政策主体的选择。本文结论对于完善宏观审慎政策框架具有重要意义。

Existing literature lacks research on the institutional framework and governance mechanism of macro-prudential policy, especially the effectiveness of central banks as macro-prudential policy authority.Based on the data of 121 countries(or regions) from 2002 to 2017, this study empirically investigates the impact of central banks, being the macroprudential policy authority, on the effectiveness of overall policy and different types of instruments, and further analyzes what determines the institutional arrangements for macro-prudential policy. The result shows that central banks have inherent incentives to maintain financial stability, and have obvious advantages in information collection, macroeconomic analysis, policy coordination, and independence. Being the macro-prudential policy authority, central banks can significantly enhance the effectiveness of the macro-prudential policy. Due to the differences in objects and mechanisms among different instruments,central banks may have heterogeneous impact on different types of instruments. Central banks can strengthen the power of buffer instruments, borrower instruments, and asset-liability instruments to curb credit expansion;improve the effectiveness of buffer instruments and borrower instruments to reduce financial institutions’ leverage;enhance the effect of borrower instruments and asset-liability instruments on cross-border capital flows. However, as the macro-prudential policy authority, central banks seem to have no significant influence either on asset-liability instruments to adjust financial institutions’ leverage, or on buffer instruments to control cross-border capital flows. This study also finds that economic and financial development, institutional background, and the characteristics of a central bank can all affect macro-prudential policy’s institutional arrangements. The conclusions of this article provide new theoretical evidence for central banks to undertake macro-prudential policy authority function, and to be of great significance for improving the institutional framework of macro-prudential policy.China has proposed to build the two-pillar policy framework of"monetary policy & macro-prudential policy",and has empowered the People’s Bank of China legal responsibilities for macro-prudential management, making full use of the existing advantages of the People’s Bank of China in information collection, macro-control, policy coordination, social credibility, and etc. It is a reasonable and necessary institutional choice based on China’s economic and financial conditions and institutional background.