双支柱调控与系统性金融风险

Double Pillar Regulation and Systemic Financial Risk

面对复杂的国内外经济局势,防范和化解金融风险特别是系统性金融风险,是新时期金融工作的重点。党的十九大报告指出要深化金融体制改革,健全货币政策与宏观审慎双支柱调控框架,守住不发生系统性金融风险的底线。因此,通过构建系统性金融风险和宏观审慎监管指标体系分析它们的演变过程,然后运用TVP-VAR模型研究"数量型"、"价格型"货币政策与宏观审慎监管对系统性金融风险的动态变化情况和影响程度。研究结果表明:在不同滞后期数和时间点冲击作用下,"数量型"货币政策造成系统性金融风险不同程度的聚集,对系统性金融风险具有正向冲击作用;而"价格型"货币政策通过提高利率水平等手段对系统性金融风险起到抑制效果,具有负向冲击作用;此外,随着滞后期数的变化和时间的推移,宏观审慎监管对系统性金融风险负向脉冲响应越来越强烈,抑制效果非常显著。

In the face of complicated domestic and international economic situations,preventing and defusing financial risks,especially systemic financial risks,is the focus of financial work in the new era.The report of the 19 th National Congress of the Communist Party of China pointed out that it is necessary to deepen the reform of the financial system,improve the dual-pillar control framework of monetary policy and macro-prudence,and keep the bottom line that no systemic financial risks occur.Therefore,this paper analyzes their evolution process by constructing a system of financial risks and macro-prudential supervision indicators.Then,the time-varying parameter vector autoregressive model is used to study the dynamic changes and degree of influence on"quantitative"and"price"monetary policies and macro-prudential supervision on systemic financial risks.The research results show that:under the impact of different lags and time points,"quantitative"monetary policy causes the accumulation of systemic financial risks to varying degrees and has a positive impact on systemic financial risks.But,"Price"monetary policies have negative impact on the systemic financial risk by means of raising the interest rate.In addition,with the change of lag time and the time goes by,the negative impulse response of macro-prudential supervision to systemic financial risks is more and more intense,and the suppression effect is very significant.