重大突发公共事件对系统性金融风险的影响研究

The Impact of Major Public Emergencies on Systemic Financial Risk

在全球重大突发公共事件高发、经济下行压力增大的背景下,防范化解金融风险、维护金融稳定成为当务之急。构建了一个包括金融中介部门的新凯恩斯动态随机一般均衡模型(NK-DSGE),利用1995Q1-2021Q4的实际国内生产总值、社会消费品零售总额、消费者价格指数对相关参数进行贝叶斯估计,以全要素生产率冲击、重大突发公共事件冲击以及货币政策不确定性冲击作为外部冲击,探讨了重大突发公共事件对系统性金融风险的影响,并分析了基础泰勒规则和宏观审慎货币政策规则的调控效果。研究表明:(1)重大突发公共事件的发生会造成系统性金融风险积累与上升,影响金融稳定;(2)以信贷市场流动性和银行杠杆率为信号源的宏观审慎货币政策在应对货币政策冲击时表现较好,能够实现稳增长和防风险的政策目标;(3)货币政策不确定性增加会带来产出、投资等的减少,加剧经济系统的系统性金融风险,宏观审慎货币政策可以降低货币政策不确定所诱发的波动。

As the world enters a period of high incidence of major public emergencies and downward economic pressure increases,preventing and defusing financial risks and maintaining financial stability are issues that cannot be ignored.The dynamic stochastic general equilibrium model(DSGE)takes the maximization of the interests of each micro subject as the starting point,so that the macro analysis has a micro foundation,and it can better portray the dynamic relationship between the exogenous shock variables and the endogenous variables.A New Keynesian dynamic stochastic general equilibrium model(NK-DSGE)is constructed including financial intermediation sector,Bayesian estimation of relevant parameters using real gross domestic product,total retail sales of consumer goods,consumer price index from 1995Q1-2021Q4,and total factor productivity shock,major unexpected public event shock and monetary policy uncertainty shock as the external shocks,the impact of major unexpected public events on systemic financial risk is explored,and the regulatory effects of the basic Taylor rule and the macroprudential monetary policy rule are analyzed.The results show that:(1)The occurrence of major emergencies further increases the level of systemic financial risk by influencing the lending rate to rise,increasing the cost of financing for manufacturers and then shrinking the credit scale,which makes the bank leverage ratio rise;(2)The macro-prudential monetary policy,which takes the liquidity of the credit market and the leverage ratio of the bank as the signaling source,performs better in responding to monetary policy shocks,and help achieving the policy objectives of stabilizing growth and preventing policy objectives of risk prevention;(3)Increased monetary policy uncertainty will bring about a reduction in output,investment,etc.,exacerbating systemic financial risk volatility in the economic system,and macroprudential monetary policy can reduce the volatility caused by monetary policy uncertainty.Based on the above findings,the policy recommendations are as follows:Firstly,strengthen attention to the process of mutual transmission between the real economy and financial risks when major public emergencies occur,and clarify the transmission path of systemic risks between the financial market and the real economy after major public emergencies occur.Secondly,In the event of major public emergencies,it is still necessary to continue to play the role of traditional monetary policy tools,and at the same time to strengthen the use of new monetary policy tools,focusing on identifying and finding the most appropriate macroprudential rules for the current economic environment of China's signaling sources.Finally,Further strengthen the transparency of monetary policy and the communication with the public in macroeconomic policies,and adhere to the bottom line of avoiding systemic financial risks.