宏观杠杆率、金融稳定与货币政策调控——基于中国金融稳定指数的构建

On the Dynamic Relationship between the Monetary Policy and the Macro Leverage and Financial Stability——Based on the Construction of China s Financial Stability Index

基于TVP-VAR模型探讨货币政策不同量价工具对宏观杠杆率和金融稳定的时变影响机制以及宏观杠杆率与金融稳定间的双向动态溢出效应。结果表明,从货币政策的调控效应看,数量型和价格型工具对稳杠杆和稳金融均具有显著的、阶段性的调控效果,不同期限组合能够实现抑制宏观杠杆率和促进金融稳定;从稳杠杆与稳金融的双向溢出效应看,二者互为调控政策的路径选择,宏观杠杆率的适度波动在长期内有助于提升金融稳定,而金融体系稳定性的增强在中长期内能够有效遏制宏观杠杆率的上升势头。为此,货币当局应继续健全“稳杠杆”和“稳金融”的监管体系,完善货币政策调控改革机制,提升结构性货币政策实施质效,加快宏观审慎政策框架建设,形成宏观杠杆率稳定与金融稳定相互促进的良性循环。

At present,the global economic and financial situation has become more complex and severe,and the global financial system is facing major challenges.The work report of the Chinese government and the Central Economic Work Conference have repeatedly emphasised the need to adhere to the steady progress of financial work,to form a synergy in financial risk disposal,and to maintain the relative stability of the macro leverage ratio.The implementation of scientific and effective monetary policy is an important means of maintaining financial stability and preventing leverage risks,as well as an inevitable requirement for the modernisation of the national governance system and governance capacity.However,there is little literature on the dynamic relationship between the monetary policy and the macro leverage and financial stability to explore the effectiveness of quantity and price regulation,especially the lack of empirical models for in-depth research.This paper adopts the websites of the National Bureau of Statistics,the People s Bank of China,and the China Securities Regulatory Commission,selects indicators covering multiple dimensions,such as real estate market risk,non-performing asset risk,and bond default risk,constructs a financial stability composite index through principal component analysis,and explores the dynamic relationship between macro leverage,financial stability,and monetary policy based on the time-varying parameter vector autoregressive model(TVP-VAR).The empirical study finds that:from the perspective of the regulatory effect of monetary policy,both quantitative and price-based tools have significant,stage-by-stage regulatory effects on leverage stabilisation and financial stabilisation,and different combinations of maturities can achieve the suppression of macro leverage and the promotion of financial stability;from the perspective of the bi-directional spill-over effect of leverage stabilisation and financial stabilisation,the two are the path of choice for each other s regulatory policies,and the moderate fluctuations in macro leverage will help to promote financial stability in the long term,while the enhancement of financial system stability will help to improve financial stability in the long term.In the long run,the moderate fluctuation of macro leverage ratio can help improve financial stability,while the enhancement of financial system stability can effectively curb the rising momentum of macro leverage ratio in the medium and long term.Compared with previous studies,this paper expands in the following three aspects:First,based on the time-varying characteristics perspective,it provides a realistic explanation for the impact of monetary policy on macro leverage and financial stability;second,based on the inclusion of macro leverage and financial factors in the regulatory framework of monetary policy,it reveals the two-way dynamic spillover effect between macro leverage and financial stability in the argument,and provides empirical evidence on whether the two are the path choices for the control policy;third,it provides empirical evidence on whether they are the path choices for the control policy;third,it discusses the heterogeneous impact of monetary policy on macro leverage and financial stability when China s financial stability is at different stages,and puts forward relevant policy recommendations based on the analysis of the focus and modes of monetary policy regulation and reform.The research in this paper reveals to a certain extent the time-varying response characteristics of different quantitative tools on macro leverage and financial stability,as well as the bidirectional dynamic spillover effect between macro leverage and financial stability,which helps to enrich the theoretical basis of macro regulation practice,further improve the reform mechanism of monetary policy regulation,and provide decision-making references to realise the dual stability of macro leverage and financial stability.