外生冲击下双支柱调控框架的稳定效应——理论建模及基于全球样本的实证检验

The Stabilization Effect of the Two-Pillar Adjustment Framework under an Exogenous Shock——Theoretical Model and Empirical Test Based on Cross-Country Sample

本文研究事前的货币政策和宏观审慎政策在应对外生冲击时的宏观经济金融稳定效应。理论分析表明:事前的宽松货币政策放大了外生冲击下银行部门的风险上升程度,而宏观审慎政策的收紧则能够增强银行部门的稳健性;同时,货币政策和宏观审慎政策在双支柱调控框架下存在相互作用,表现为宏观审慎政策能够部分抑制宽松货币政策导致的银行过度风险承担,由此减弱由事前宽松货币政策所引起的银行部门风险上升,进而起到对货币政策风险外溢效应的缓冲作用。在经济稳定效应方面,长期的低利率政策会加重经济遭受外生冲击时的产出下降,而逆周期调节的宏观审慎政策则可以通过抑制银行信贷和投资的顺周期性,减轻经济系统所遭受的冲击。此外,宏观审慎监管削弱了货币政策与外生冲击下产出下降之间的负相关关系,而且这一作用在宽松货币政策下更为明显。基于新冠肺炎疫情冲击这一独特的研究窗口,实证分析显示:事前宽松的货币政策确实放大了外生冲击下银行部门风险的上升程度和经济产出的下降幅度,而事前收紧的宏观审慎政策则增强了银行部门在面对外生冲击时抵御风险的能力,从而减缓了外生冲击所导致的产出下降。

The impact of the COVID-19 pandemic provides an occasion to evaluate how monetary and macro-prudential policies performed in response to an extreme negative shock.Did ex ante easy monetary policies amplify financial stress and economic recession?Did the use of macro-prudential policies mitigate financial and economic stress,either by reducing financial imbalances that could aggravate the shock,or by providing counter-cyclical tools that could mitigate the impact?Did monetary and macro-prudential policies cooperate well?To provide a first look at these issues,this paper constructs a theoretical model and conducts empirical analysis to examine the macro-stabilization effect of the two-pillar adjustment framework under an exogenous shock.First,this paper theoretically investigates the effects of ex ante monetary and macro-prudential policies on economic and financial stability in response to an exogenous shock.The result shows that,while ex ante easy monetary policy amplifies the risk of the banking sector under an exogeneous shock,tightened macro-prudential policy can enhance the resilience of the banking sector.Regarding the interaction effect,macro-prudential policy can partially restrain excessive bank risk-taking caused by easy monetary policy,so as to mitigate the increase in systemic risk.For the economic stabilization effect,the long-term low interest rate policy amplifies the decline in output when the economic system is faced with an exogenous shock,while the counter-cyclical macro-prudential policy can weaken the negative impact on the economic system.Also,macro-prudential policy mitigates the negative relationship between monetary policy and the decline in economic output,but this effect is more obvious under easy monetary policy.Then,based on a cross-country sample of 67 countries and regions,this paper empirically investigates the conclusions deriving from the theoretical model.The empirical results show that,ex ante easy monetary policy amplifies the increase in the risk of the banking sector as well as the decline in economic output caused by the COVID-19 shock,while ex ante tightened macro-prudential policy can enhance the ability of the banking sector to resist risks and mitigate the decline in output.The conclusions of this paper provide obvious policy implications for the development of the two-pillar adjustment framework.For one thing,the macro-stabilization effects of monetary and macro-prudential policies are verified,which indicates that central banks could make full use of the stress testing framework to analyze the resilience of financial institutions in response to an exogenous shock and to evaluate the effectiveness of existing policies,so as to improve or adjust the two-pillar adjustment framework.For another thing,the coordinating effect between monetary policy and macro-prudential policy has not been well released,which requires policy authorities to pay more attention to the cooperation between monetary and macro-prudential policies in addition to improve respective policies,so as to better perform the coordination effect between monetary and macro-prudential policies.The main contributions of this paper can be concluded as follows.First,unlike existing studies which mostly focus on the effect of the two-pillar adjustment framework in normal time,this paper pays attention to the macro-stabilization effect of ex ante monetary and macro-prudential policies in response to an exogenous shock.Second,existing theoretical research relating to the effect of the two-pillar adjustment framework is mostly based on dynamic stochastic general equilibrium models,but the theoretical model in this paper focus on the behavior of micro subjects(household and banking sector)to analyze the mechanisms of monetary and macroprudential policies.Third,in addition to the effects of monetary and macro-prudential policies,this paper also analyzes the coordination of these two policies.Finally,this paper is the first to empirically investigate the macro-stabilization of ex ante monetary and macro-prudential policies based on the COVID-19 shock,which enriches the studies on the two-pillar adjustment framework.