Economic Theory and Business Management ›› 2021, Vol. 41 ›› Issue (9): 35-54.

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THE FINANCIAL STABILITY EFFECTS OF THE TWOPILLAR ADJUSTMENT

  

  1. School of Finance, China Financial Policy Research Center, Renmin University of China
  • Online:2021-09-28 Published:2021-09-16

双支柱调控的金融稳定效应研究*

  

  1. 中国人民大学财政金融学院
  • 基金资助:
    本文为研究阐释党的十九届五中全会精神国家社科基金重大项目“中国建设现代中央银行调控制度研究”(21ZDA044)成果。

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