跨境资本异常流动下双支柱政策协调研究

The Coordination of Two Pillar Policies under Abnormal International Capital Flows

在扩大金融业对外开放背景下,如何实现跨境资本异常流动环境中货币政策与宏观审慎政策的有效协调,已成为我国宏观政策调控框架中的重点与关键。本文基于我国2005—2019年的经济数据,运用Diebold和Yilmaz(2012)提出的溢出指数方法,实证研究了跨境资本异常流动环境下双支柱政策的协调问题。研究结果表明:整体而言货币政策对宏观审慎政策的溢出影响大于后者对前者的影响,但是2008年全球金融危机后,总溢出指数、定向溢出指数和净溢出指数呈现明显的时变特征,并且两类政策的交互影响正不断强化;在不同跨境资本异常流动的情形下,货币政策与宏观审慎政策交互影响中的主导地位由不同的溢出效应所体现;当跨境资本异常流动导致货币供应量增加时,双支柱调控框架以货币政策为主,反之则是宏观审慎政策起主要作用。据此,本文认为,双支柱政策的协调应考虑跨境资本异常流动的新环境,并提出了相应政策建议。

Under the background of expanding the opening of financial industry,how to realize the effective coordination of monetary policy and macro-prudential policy in the environment of abnormal international capital flows has become the focus and key to Chinese macro policies.Based on Chinese economic data from 2005 to 2019,this paper uses the spillover index method proposed by Diebold and Yilmaz(2012)to empirically study the coordination of two pillar policies under the environment of abnormal international capital flows.The results show that although the overall impact of monetary policy on macro-prudential policy is greater,after the global financial crisis in 2008,the total spillover index,directional spillover index as well as net spillover index represent apparent time-varying characteristics,and the interaction between the two types of policies is constantly strengthened.In different cases of abnormal cross-border capital flows,the dominant position in the interaction between monetary policy and macro-prudential policy is reflected by different spillover effects;when abnormal cross-border capital flows lead to the increase of money supply,monetary policy is in the dominant position of volatility spillover effect in the dual pillar regulatory framework;conversely macro-prudential policy plays a major role.Therefore,this paper suggests that the coordination of the two-pillar policy should take into account the new environment of abnormal cross-border capital flows and corresponding recommendations are put forward.