宏观审慎政策使用及其有效性研究--来自全球62个国家的证据

A Study of the Use and Effectiveness of Macro-Prudential Policies-Evidence from 62 Countries

本文对Cerutti et al.(2017)构建的全球宏观审慎工具指数进行扩展,分析2000—2018年全球62个国家宏观审慎政策的使用情况,并采用GMM动态面板方法对政策有效性进行实证研究。研究结果表明:第一,全球宏观审慎政策在2008年国际金融危机后呈现方向收紧和力度加大的特征。第二,相较于抑制房价上涨,全球宏观审慎政策在信贷增速管理方面的总体效果更为显著。第三,就抑制信贷规模增长而言,针对家庭借款人的宏观审慎工具的政策效果在新兴市场经济体表现更好,针对金融机构类的宏观审慎工具的政策效果在发达国家更为显著。第四,相较于经济正常时期,宏观审慎工具的信贷抑制效应在金融繁荣期有所增强,在金融萧条期有所减弱,且增强效应大于减弱效应,政策效果在经济周期的不同阶段具有非对称性。基于研究结果提出建议:我国可根据62个国家宏观审慎工具的使用及其有效性的经验,完善宏观审慎评估和工具箱,结合政策目标相机选择政策工具,改善宏观审慎政策有效性。

Macro-prudential policy has gradually become a new means for countries to promote financial stability. However, countries have different choices of macro-prudential policy tools, implying the effectiveness of single country's policies are difficult to be universal.This paper empirically studies with GMM method the use and effectiveness of macro-prudential policies in 62 countries from 2000 to 2018 by expanding the global macro-prudential tool index constructed by Cerutti et al.(2017). The results show that,firstly,Global macro-prudential policies have tightened their direction and strengthened their strength after the global financial crisis. Secondly,the global macro-prudential policies are more effective in suppressing credit growth than curbing house prices. Thirdly,in terms of curbing the growth of credit, macro-prudential tools for household borrowers perform better in emerging market countries. On the contrary, the policy tools for financial institutions are more effective in developed countries;in addition, the policy effectiveness of both types of tools are better in financially closed countries than those in financially open countries. Fourthly,compared with the normal period, the credit suppression effect of macro-prudential policy is further strengthened during the financial boom, but weakened during the financial depression. Given the fact that the strengthening effect is greater than the weakening effect, the conclusion is that policy effect is asymmetric at different stages of the financial cycle. The policy implications are as followed. Firstly, China should choose appropriate macro-prudential tools based on specific financial stability objectives, otherwise it may be“counterproductive”. Secondly, China should adjust the policy strength of macro-prudential tools based on economic and financial fluctuations, such as increasing and reducing the use of macro-prudential policies in the financial boom and financial bust respectively, so as to effectively hedge the possible negative impact of“financial accelerator”. Thirdly, the opening of the financial capital account and innovation of financial products have put forward higher requirements for China's financial regulation and supervision, thus requiring China to enrich the macro-prudential policy toolbox in time to eliminate possible regulatory arbitrage and regulatory evasion.