跨境资本宏观审慎工具选择及货币政策搭配研究

Research on the Choices of Macro-Prudential Tools and the Coordination with Monetary Policy in Managing Cross-Border Capital Flow

本文基于跨境资本扰动机制,构建包含数量型与价格型跨境资本宏观审慎政策的DSGE理论框架,分析跨境资本扰动的汇率渠道、货币供给渠道和银行信贷渠道效应,进一步研究数量型与价格型审慎工具的政策选择及货币政策搭配。结果表明:第一,跨境资本影响国内经济的汇率渠道具有逆周期性,货币供给渠道和银行信贷渠道具有顺周期性,综合效应呈现顺周期性。第二,数量型与价格型审慎政策均能有效稳定宏观经济和金融系统,但数量型的无息准备金政策优于价格型的托宾税政策,原因是基于准备金政策的货币增量较小、顺周期效应较弱。第三,跨境资本宏观审慎政策与货币政策之间存在较强独立性,相互协调能降低社会福利损失,数量型跨境资本管理政策与兼顾汇率稳定的价格型货币政策搭配效果较好。

It is of great theoretical significance and practical value to study how using macro-prudential policy rules in managing cross-border capital may help achieve financial stability, and how the coordination of such macro-prudential policies and monetary policy works, thus helping prevent large-scale cross-border capital disturbances and achieve economic growth. The purpose of this paper is to discuss which policy rules should be chosen to achieve financial stability. The paper sets up a 4-sector DSGE model containing the exchange rate channel, money supply channel and bank credit channel of cross-border capital disturbances. It integrates two macro-prudential policy tools, the quantitative-type and the price-type. It analyzes how cross-border capital affects the domestic economy through the three channels, compares the policy effects between quantitative-type and price-type prudential tools, and finally studies the choice of their combination with monetary policy. The results show that: Firstly,the exchange rate channels of cross-border capital affecting the domestic economy are counter-cyclical, and the money supply channel and the credit channel are pro-cyclical, while the comprehensive effect is pro-cyclical. Secondly,both quantitative-type and price-type prudential policies can effectively stabilize the macroeconomic and financial systems, but the former is better than the latter, the monetary increment is smaller and the pro-cyclical effects are weaker. Thirdly,Currently the macro-prudential policy in managing cross-border capital is highly independent from monetary policy, while a better coordination between the two can help reduce social welfare losses;quantitative tools for cross-border capital management are better matched with price-type monetary policies that take into account exchange rate stability. In order to improve the decision-making process and the implementation of China's macro-prudential policies, the paper puts forward three suggestions. Firstly, it is necessary to continue to optimize and enrich management tools, and develop a macro-prudential tool box with strong effectiveness and low management cost. Secondly, it is more advisable to use quantitative tools for cross-border capital management. Thirdly, a quantitative cross-border capital policy can work well with a price-type monetary policy with exchange rate stability.