跨境融资、杠杆波动与宏观审慎调节

Cross-border Financing,Leverage Fluctuation and Macroprudential Adjustment

基于疫情下全球货币宽松后回归正常化的背景,以及中国稳健的经济基本面吸引跨境资本持续流入的事实,本文建立了包含居民家庭、房地产企业和地方政府等代表性实体部门和金融中介在内的动态随机一般均衡模型,引入了金融中介的跨境融资,以及实体部门使用土地及房地产进行的抵押借款及发债融资行为,分析了跨境融资流入对实体杠杆的影响机制。研究发现,跨境融资流入通过推动地价及房价上涨,提高了实体部门的抵押借贷或发债融资能力,推升了宏观杠杆,并造成了冲击结束后的被动去杠杆进程,而居民基于借贷约束的资产配置变动进一步推动股市上涨。在对金融中介实施逆周期资本充足率调节的基础上,使用基于抵押融资约束的贷款价值比规则,以及基于流动性调节的本币及外汇存款准备金率的逆周期调节的前瞻性宏观审慎政策组合,搭配跨境融资规模的宏观审慎调节,可以缓解金融中介跨境融资流入造成的汇率升值及实体杠杆波动,约束实体部门的过度借贷行为,增强货币政策主动性,助力金融稳定和产出增长。其中,逆周期资本充足率和外汇存款准备金率的动态调节政策组合能够起到较好的福利改善效果。

This article presents a research that focuses on the relationship between cross-border financing,leverage fluctuation,and macro-prudential adjustment.The COVID-19 pandemic and the normalization of global monetary policy,along with China's stable economic environment,have attracted continuous cross-border capital inflows.The study uses a dynamic stochastic general equilibrium model to analyze the impact of cross-border capital inflows on the leverage ratio of the real sector(households,real estate firms,and local government),and its transmission mechanisms.The results suggest that cross-border capital inflows can increase mortgage borrowing and bond issuing capacity in the real sector by boosting land and housing prices,and in turn raise the macro leverage ratio,leading to passive deleveraging.Additionally,changes in asset allocation by households with borowing constraints can drive up stock market prices.The study argues that a combination of macro-prudential policy measures,such as loan-to-value ratio rules and countercyclical reserve requirement ratio for local currency and foreign exchange deposits,along with cross-border financing adjustment,can reduce the impact of cross-border capital inflows on domestic currency appreciation and leverage fluctuations,restrain excessive borrowing by the real sector,and promote financial stability and the steady growth of the real economy.The article concludes that a dynamic adjustment of counter-cyclical capital adequacy ratio and reserve requirement ratio for foreign exchange deposits can achieve better welfare outcomes.