商业银行杠杆水平、金融稳定与宏观审慎政策协调

Leverage Level of Commercial Banks, Financial Stability and Macroprudential Policy Coordination

本文建立了一个同时包含企业违约风险与银行金融风险的新凯恩斯DSGE模型,以技术冲击、金融冲击与货币政策冲击作为外部的风险因素,刻画了实体经济与金融系统间的风险传导渠道,并在此基础上分析了宏观审慎监管政策与宏观审慎货币政策组合的调控效果。主要结论有:(1)以商业银行资本充足率为核心目标的宏观审慎监管政策能够有效地稳定金融系统,但可能削弱传统货币政策对金融变量的调控效果;(2)宏观审慎货币政策应该盯住金融变量,但具体的目标取决于经济波动的驱动因素;(3)当宏观审慎监管政策与宏观审慎货币政策组合时,货币政策对经济的调控效果减弱,且这种政策组合在金融冲击与货币政策冲击下存在“政策叠加”现象。

This paper establishes a new Keynes DSGE model that includes the corporate default risk and banks’ financial risk, with technology shock, financial shock and monetary policy shock as external risk factors, and portrays how risks are transmitted between the real economy and the financial system. It also analyzes the effect of macroprudential supervision policy and macroprudential monetary policy. The conclusions are as follows.(1) The macroprudential supervision policy aiming at regulating the capital adequacy ratio of commercial banks can effectively stabilize the financial system, but it may weaken the effect of traditional monetary policy on financial variables.(2) The macroprudential monetary policy should focus on financial variables, but the specific goal depends on the driving factors of economic fluctuation.(3) There is a phenomenon of “policy superposition” in the combination of macroprudential supervision policy and macroprudential monetary policy under the impact of financial shock and monetary policy. In this case, the effect of monetary policy on economic regulation is weakened.