金融稳定视角下财政货币政策跨周期和逆周期调控效应研究

Fiscal and Monetary Policy Cross-cyclical and Counter-cyclical Regulation Effect Study from the Perspective of Financial Stability

跨周期和逆周期调控已经成为中国经济“稳增长”和“防风险”的重要调控方式,调控效果和如何协调配合是两个关键问题。本文在运用TVP-FAVAR模型测算中国金融稳定状况的基础上,通过CF带通滤波法和转折点法识别金融稳定周期,结合TVAR模型和TVP-VAR模型重点考察中国财政政策和货币政策对金融稳定逆周期和跨周期的调控效果。结果表明:第一,中国金融稳定状况经历了五轮周期性波动,呈现出风险“快聚集、慢消融”的特征;第二,在金融稳定恶化阶段,宏观政策可以有效平抑金融风险,在金融向好阶段,宏观政策也能够防止金融过热,两个阶段均能体现宏观政策逆周期调控的意图;第三,财政政策和货币政策的实施具有同向性,2017年以后宏观政策具有明显的跨周期调控偏好且调控效应逐年增强。据此,本文提出跨周期和逆周期财政货币政策配合的现实方案,并为维护金融稳定、促进跨周期和逆周期宏观调控的有机结合提供有益启示。

Cross-cyclical and counter-cyclical regulation has become crucial for China's economy to achieve stable growth and prevent risks.Two key issues are the effectiveness of regulation and how to coordinate with it.In this paper,based on the TVP-FAVAR model to measure China's financial stability,we identify the financial stability cycle through the CF band-pass filtering method and the turning point method and combine the TVAR model and the TVP-VAR model to focus on the regulatory effects of China's fiscal and monetary policies on the counter-cyclical and cross-cyclical regulation of financial stability.We find that China's financial stability has experienced five rounds of cyclical fluctuations,showing the characteristics of“fast aggregation and slow ablation”of risks.We also find that in the stage of deterioration of financial stability,macro policy can effectively calm financial risks,and in the stage of financial improvement,macro policy can also prevent financial overheating,and both phases reflect the importance of counter-cyclical regulation and control of financial stability.Moreover,the implementation of fiscal policy and monetary policy is homogeneous,and macro policy clearly prefers cross-cyclical regulation after 2017,and the regulatory effect increases yearly.Accordingly,we propose a realistic scenario for coordinating cross-cyclical and counter-cyclical fiscal and monetary policies,and provide valuable insights for maintaining financial stability and promoting the organic combination of cross-cyclical and counter-cyclical macroeconomic regulation.