结构性货币政策与金融机构风险——基于TVP-VAR模型的实证研究

Structural Monetary Policy and the Risk of Financial Institutions——An Empirical Study Based on TVP-VAR Model

2013年以来,我国结构性货币政策工具日渐丰富,在实现宏观结构调整功能的同时,也引发了对金融机构风险影响的热议。本文在分析结构性货币政策对金融机构的风险传导机制基础上,运用TVP-VAR模型检验结构性货币政策对金融机构风险的时变影响。研究表明:数量型结构性货币政策对金融机构风险的抑制效应优于价格型;定向降准在短期对金融机构风险的抑制效应显著,而SLF和PSL在中长期对金融机构风险的抑制效应显著;近年结构性货币政策对金融机构风险抑制效应优于执行初期。因此,在实现经济结构调整目标的同时,为有效化解金融机构风险的产生,货币当局应从“健全中央银行与市场沟通机制,拓宽多部门金融监管渠道”与“优化政策组合与执行节奏,适应市场经济体制新发展”两方面共同发力。

China's structural monetary policy tools have become increasingly rich since 2013.While realizing the function of macro structural adjustment,it has also triggered a heated discussion on the risk impact of financial institutions.Based on the analysis of the risk transmission mechanism of structural monetary policy to financial institutions,this paper uses TVP-VAR model to test the time-varying impact of structural monetary policy on the risk of financial institutions.The results show that the quantitative structural monetary policy has a better inhibition effect on the risk of financial institutions than the price type;the directional reduction has a significant inhibition effect on the risk of financial institutions in the short term,while SLF and PSL have a significant inhibition effect on the risk of financial institutions in the medium and long term;in recent years,the structural monetary policy has a better inhibition effect on the risk of financial institutions than the initial implementation.Therefore,in order to effectively resolve the risks of financial institutions while achieving the goal of economic restructuring,monetary authorities should work together in the aspects of"improving the communication mechanism between the central bank and the market,broadening the channels of multi sector financial supervision"and"optimizing the combination and implementation rhythm of policies to adapt to the new development of market economy system".