Abstract: Based on crosscountry panel data of 42 countries over the period of 1991-2016, this paper examines the financial stability effects of the twopillar framework. Empirical results show that: (1) Both monetary and macroprudential policies are significantly effective in curbing household credit growth, which proves the role of twopillar policy in mitigating the procyclicality of financial risk. (2) Loantargeted macroprudential tools and macroprudential policy groups for lenders and borrowers have a more significant financial stability effect. (3) The financial stability effect of the twopillar framework is significantly different at different levels of economic development, where the macroprudential policy is more effective in emerging economies but the coordination effect of twopillar framework is more significant in advanced economies. (4) In advanced economies, monetary policy is more effective in adverse times but macroprudential tools and their interaction with monetary policy are better in upward cycle. (5) Only a fraction of Macroprudential tools have a milder side effect on unemployment, private consumption and price.

Key words: twopillar adjustment, monetary policy, macroprudential policy, financial stability

摘要： 本文基于全球42个主要经济体1991—2016年的面板数据，系统考察了双支柱政策框架的金融稳定效应。实证结果表明：（1）货币政策和宏观审慎政策在抑制家庭信贷增长上具有显著作用，双支柱政策在缓解金融风险顺周期性上具有显著的金融稳定效应；（2）盯住贷款的宏观审慎工具和针对借款人、贷款人的宏观审慎组合具有更为显著的金融稳定效应；（3）新兴经济体的货币政策在抑制家庭信贷扩张上的作用不显著，但其宏观审慎政策的金融稳定效应相较发达经济体更为显著，发达经济体双支柱政策的金融稳定效应总体显著，其中货币政策效应更为突出；（4）发达经济体的货币政策效应在下行周期优于上行周期，宏观审慎政策及其与货币政策的交互效应在上行周期优于下行周期；（5）只有个别宏观审慎工具会对失业率、消费和物价产生微弱的负效应。

关键词: 双支柱调控, 货币政策, 宏观审慎政策, 金融稳定