双支柱政策的时变效果及协调作用

The Time-varying Effect and Policy Coordination of the Two-Pillar Framework

本文利用TVP-VAR与局部投影模型分别研究货币政策与宏观审慎政策对经济与金融稳定的时变影响以及政策间的协调作用,发现:(1)宏观审慎政策在短、中、长期均能抑制股票价格、房价增速与杠杆率的提高;(2)不同类型的宏观审慎政策效果不同,与房地产相关的信贷政策调控力度更大但持续时间较短,针对银行的监管政策与窗口指导政策效果持续时间更长;(3)紧缩的宏观审慎政策可以在一定程度上抵消货币政策宽松对经济与金融变量的刺激作用。

This paper uses the time-varying parameter vector autoregressive(TVP-VAR) model and local projection method to examine the time-varying effects of China’s monetary policy and macro-prudential policy on economic situation and financial stability. The research results of this paper are as follows.(1) Macro-prudential policy is effective in curbing the increase of stock prices, real estate prices growth rate and leverage ratios in the short, medium and long term.(2) The impacts of different macro-prudential policies are heterogeneous. Credit policies which focus on real estate market have a larger impact in a shorter duration, while the effects of regulatory policies for banks and window guidance policies last longer.(3) Tight macro-prudential policies can offset the stimulating effect of monetary easing on economic and financial variables to a certain extent.