系统性金融风险的度量及其宏观审慎监管研究述评

Research Review on the Measurement of Systemic Risk and Its Macro-prudential Supervision

全球金融危机爆发以来,宏观审慎监管引入之后金融不稳定现象仍然存在且日益尖锐,关于系统性金融风险的度量及其宏观审慎监管问题的国内外文献对此进行了一系列系统而深入的探讨,在新时代这具有相当重要的理论价值与实践意义。从系统性金融风险的度量来看,已有研究从宏观与微观两个方面来梳理系统性风险度量方法,相关研究应注重度量与监管相结合、降低模型风险等;从宏观审慎工具的有效性来看,国内外最新研究主要基于宏微观数据或基于DSGE模型来展开,大多数研究都表明宏观审慎工具有效地维护了整个金融体系的稳定;从双支柱政策协调的角度来看,已有文献从理论基础、制度安排、政策评估等方面来分析货币政策与宏观审慎监管之间的协调问题。基于此,今后的研究还存在如下拓展之处,如结合新型金融业态与实体经济发展来进一步研究系统性风险对经济金融稳定的影响、运用微观数据进行宏观审慎工具的有效性分析、从福利改善和开放经济等角度来完善政策协调的模型设定等问题。

Since the outbreak of the global financial crisis,after the introduction of macro-prudential supervision,financial instability has become increasingly acute.A series of systematic and in-depth researches have been conducted on the measurement of systemic financial risks and the macro-prudential supervision,which is of considerable theoretical value and practical significance in the new era.From the perspective of the measurement of systemic financial risk,existing studies have summarized the measurement methods on both the macro and micro levels.From the perspective of policy coordination,existing literatures have analyzed the relationship between monetary policy and macro-prudential regulation in the aspects of theoretical basis,institutional setup and policy evaluation.Based on these,future research could explore the impact of systemic risks on economic and financial stability,combining new financial formats and the development of the real economy.Or it could analyze the effectiveness of macro-prudential tools,using micro data.Or it could improve the modeling of policy coordination from the perspective of social welfare and open economy.