摘要
文章研究了在开放经济下,宏观审慎政策如何降低由跨境资本流动引发投资过热导致的金融失衡、社会福利损失,并着重分析了在不同违约概率条件下,如何从跨境资本流动渠道运用审慎工具抑制系统性风险的顺周期累积,而后通过一个四变量MS-VAR模型,实证分析了不同宏观审慎政策工具对中国经济周期、金融周期以及金融杠杆的区制效应。结果表明,实施对国内金融部门与对跨境资本流动的宏观审慎政策具有明显的区制特征。在常规时期,应当以针对国内金融部门的宏观审慎监管为主;而在危机爆发时期,应加强跨境资本流动宏观审慎政策力度,同时放宽对国内金融部门的宏观审慎管理。
This paper studies how the macro-prudential policy can reduce the financial imbalances and social wel-fare loss caused by overheating investment of cross-border capital flows in an open economy.It emphatically analyses how to use prudential tools on cross-border capital flow to restrain the pro-cyclical accumulation of systemic risks under different kinds of default conditions,and then uses a four-variable MS-VAR model to empirically analyze the impact of different macroprudential policy tools on China’s economic cycle,financial cycle and financial leverage.The results show that the implementation of mac-ro-prudential policies towards domestic financial sector and cross-border capital flows has obvious re-gional characteristics.In the conventional period,domestic macro-prudential supervision should be fo-cused on financial sector,while in the period of crisis,macro-prudential policies on cross-border capital flows should be strengthened and macro-prudential management of domestic financial sector should be relaxed.
作者
金成晓
李岩松
姜旭
Jin Chengxiao;Li Yansong;Jiang Xu
出处
《世界经济研究》
CSSCI
北大核心
2020年第3期46-59,136,共15页
World Economy Studies
基金
国家自然科学基金项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(项目编号:71873056)
教育部重点研究基地重大项目“‘十三五’期间中国增长型经济波动态势与宏观调控的模式研究”(项目编号:16JJD790014)
教育部规划基金项目“基于状态识别与工具协调的货币政策与宏观审慎政策双支柱调控框架研究”(项目编号:19YJA790036).
