宏观审慎政策应对外部金融冲击的有效性

The Effectiveness of Macroprudential Policies in Responding to External Financial Shocks

本文探讨了全球金融周期背景下宏观审慎政策提升国内金融体系应对外部金融冲击的有效性。通过构建两期开放经济模型,本文得到逆周期的宏观审慎政策能够降低跨境资本流动和资产价格联动性的结论,并利用1997-2020年53个经济体的面板数据,基于逆倾向得分回归检验了提出的假设。实证结果表明:宏观审慎政策能够减少跨境资本流动带来的汇率波动并降低资产价格联动性,在制度质量和金融发展水平更高、外汇储备更多的经济体,政策工具的实施效果更好。此外,使用包含强度信息的LTV工具的估算结果表明:宏观审慎政策的边际影响逐渐下降。在稳步推进高水平金融开放的背景下,本文研究结论为实施宏观审慎政策以减轻外部冲击、维护金融稳定提供参考。

In the context of the global financial cycle,this paper explores the effectiveness of macroprudential policies in enhancing the domestic financial system's response to external financial shocks.By constructing a model of the two-period open economy,the paper concludes that counter-cyclical macroprudential policies can reduce the linkage between crossborder capital flows and asset prices.Using the panel data of 53 economies from 1997 to 2020 and based on the regression of inverse propensity scores,this paper then tests the hypothesis proposed by the theoretical model.The results show that macroprudential policies have a causal effect on reducing the linkage between cross-border capital flows and asset price fluctuations.Instruments performance is better in economies with higher institutional quality,more advanced financial development,and richer foreign exchange reserves.Results from LTV tools also show that the marginal impact of macroprudential policies is gradually decreasing.In the context of continuously promoting high-level financial openness,this research provides empirical support for the implementation of macroprudential policies to mitigate external shocks and maintain financial stability.