摘要
2008年的金融危机暴露了金融业缺乏系统性监管的缺陷,引起监管当局对商业银行宏观审慎管理和系统性风险防范的深刻思考,2010年版巴塞尔协议据此提出各国监管当局应构建逆周期监管框架。本文按照巴塞尔协议Ⅲ建议的方法,利用H-P滤波法模拟计提2008-2018年间中国银行体系逆周期缓冲资本,讨论了若实施逆周期资本缓冲政策可能对货币政策稳定、经济增长以及通货膨胀产生的影响。结果表明,提取逆周期缓冲资本有助于减少货币政策波动性,提高货币、信贷与GDP的匹配度,从而减少对经济稳定的冲击,降低通货膨胀风险,一定范围内可对货币政策的制定与实施起到自动调节作用,有助于控制系统性风险。
The financial crisis in 2008 exposed the drawbacks of the lacking in systematic supervision in the financial industry,resulting in regulation about the macro prudential supervision of commercial banks and the prevention of systemic risks,the Basel accord issued in 2010 based on these two points,address that national regulatory authorities should build a counter-cyclical regulatory framework.According to the method recommended by Basel III,we simulate the inverse periodic capital buffer factor in China from 2008 to 2019,discussing the possible effect of the countercyclical capital buffer policy on monetary policy if implemented by adopting the counter-cyclical buffer capital of China’s banking system in 2008-2019.The results show that the extraction of counter-cyclical buffer capital can help reduce the volatility of monetary policy and the rate of inflation,improve the matching of money supply,credit and GDP,regulating the formulation and implementation of monetary policy automatically,and building a risk control system.
作者
金素
杨江涛
Jin Su;Yang Jiangtao(School of Finance,Nanjing Audit University,Nanjing 211815;Graduate School of Shanghai Academy of Social Sciences,Shanghai 200020)
出处
《上海经济》
2020年第6期106-120,共15页
Shanghai Economy
基金
国家社科基金重大项目“互联网金融的发展、风险与监管研究(14ZDA043)”
国家级一流本科专业建设点(教高厅函〔2019〕46号)
江苏省高校优势学科三期南京审计大学应用经济学(苏政办发[2018]87号)。
关键词
货币政策
宏观审慎政策
逆周期缓冲资本
金融监管
Monetary Policy
Macro-prudential Policies
Counter-cyclical Capital Buffer
Financial Regulation