摘要
由于分属不同的管理部门,宏观审慎管理与货币政策可能存在冲突,然而国内研究尚未注意这个问题。本文基于带金融摩擦的DSGE模型,构造了家庭借贷约束中的贷款价值比以及商业银行资本充足率这两种宏观审慎逆周期调节工具,在一个更为精细全面的新凯恩斯DSGE模型架构下考察中国宏观审慎管理的有效性。更进一步,将货币政策宏观调控职能归于央行货币政策部门,将宏观审慎管理职能归于宏观审慎管理部门,在一个连续博弈的设定下考察两部门之间的协调问题。研究发现:(1)面对技术冲击和金融冲击时,宏观审慎管理能够有效缓解经济波动,但在遭受财政冲击时,效果则相反;(2)与非协调施政相比,货币政策与宏观审慎管理部门的协调施政可以明显减少福利损失。因此,现实中应进行更高层次的统筹管理或改革,以解决两部门政策目标和工具使用的冲突问题。
As different policy departments exist,the macroprudential management and monetary policy may have conflicts,which haven t been observed by domestic research.Hereby,we construct a new Keynesian DSGE model involving financial friction to describe two countercyclical policy instruments,the households loan-to-value ratio and banks capital requirement ratio,aiming to investigate the effect of Chinese macroprudential management.Besides,we suppose the monetary policy is conducted by the monetary department and the macroprudential management by the macroprudential department.Then we consider the coordination effect of the two departments by a continuous game theory's framework.It's shown that:(1)Macroprudential management can mitigate the economic fluctuation against technology and financial shock unless fiscal shock.(2)Compared to uncoordinated case,the policy coordination between monetary and macroprudential departments can significantly decrease the welfare loss.Hence,a higher level of management and reform is necessary,which can ease the contradictions between two departments targets and instruments.
作者
苏嘉胜
王曦
SU Jiasheng;WANG Xi(Sun Yat-sen University,510275)
出处
《财贸经济》
CSSCI
北大核心
2019年第9期65-83,共19页
Finance & Trade Economics
基金
国家社会科学基金重大项目“我国经济发展新常态下的货币政策创新问题研究”(15ZDA014)
关键词
宏观审慎管理
货币政策
政策协调
DSGE
Macroprudential Management
Monetary Policy
Policy Coordination
DSGE
