货币政策与宏观审慎政策共同支持宏观经济稳定

货币政策是维持宏观经济稳定运行的重要政策工具,但2007—2009年国际金融危机表明,仅仅保持物价水平稳定,忽视金融风险,并不足以维持宏观经济稳定。近年来中国提出双支柱宏观政策框架以支持宏观经济稳定,这一创新具有重要的理论与现实意义。我们首先提出了双支柱宏观调控的框架,强调应该注重两类政策目标的协同与矛盾、政策传导渠道的相互交叉与影响、冲击类型与开放条件的差异等,从而保证双支柱宏观调控对宏观经济的稳定效应。接下来,我们建立了一个DSGE两国模型,作为分析双支柱宏观调控稳定宏观经济的案例研究。研究表明,第一,金融冲击下,货币政策有助于稳定宏观经济,且随着汇率制度从固定转向浮动,货币政策稳定宏观经济的效果会明显加强。第二,在货币政策的基础上,增加以跨境资本流入税为代表的宏观审慎政策工具,可以有效遏制金融市场的顺周期机制,进一步提高宏观经济的稳定性,从而验证了双支柱宏观调控的有效性。第三,双支柱宏观调控的有效性与汇率制度有关,当汇率灵活性水平较低时,双支柱宏观调控对宏观经济的稳定效果更好。

The Support of Monetary Policy and Macroprudential on Macroeconomic Stability

Since the Great Depression, monetary policy has made an important contribution to macroeconomic stability. However, the subprime crisis showed that while attaching importance to price stability, monetary policy may ignore financial risks under certain circumstances, which can ultimately undermine macroeconomic stability. The two-pillar macro policy framework put forward and implemented by the China integrates both monetary policy and macro-prudential policy to support the macroeconomic stability comprehensively and has important theoretical and practical significance.
In this study, we first propose a framework for China's two-pillar macro policy based on a review of literature and a summary of international experience. We emphasize that (1) the two types of macro policies should perform their own goals: monetary policy should focus on price stability while macro-prudential policy should focus on financial stability, but there is possible synergy and contradiction between the two types of goals; (2) monetary policy and macro-prudential policy should be coordinated appropriately according to different situations in economic and financial cycles; (3) as there may be transmission channel sharing between monetary policy tools and macro-prudential policy tools during their operations, more elaborate coordination is needed in the design of the operation processes of the two-pillar macro regulation; (4) different optimal modes of the two-pillar macro regulation need to be found for different types of external shocks and financial openness. We then construct a DSGE two-country model as a case study to analyze the two-pillar macro regulation and its stabilization effect on macroeconomy. The model analyzes the effects of external financial shocks on domestic economy by incorporating both trade channels and financial channels, together with Chinese characteristics. The innovations we make in this model, compared to the ones in previous studies, can be summarized as follows.
First, in traditional economic theories, the devaluation of domestic currency affects economy positively by increasing exports and output. However, the negative impacts of domestic currency devaluation through financial channels (e.g. capital outflows may reduce investment and therefore output) are becoming increasingly prominent. Therefore, we incorporate both trade channels and financial channels to better evaluate the overall effects.
Second, we integrate Chinese characteristics such as capital account restrictions and hedging policies to construct an asymmetric model. In addition, to reflect the economic reality that capitals flow from developed countries to emerging countries, the home country (China) is set to include only entrepreneurs as market participants, while the foreign country (US) is set to include global banks and entrepreneurs as market participants. Due to financial frictions of external financing, the interest rate of Chinese companies' loans from foreign banks is set to be lower than China's domestic market interest rate to reflect the risk premium faced by Chinese companies.
Third, previous studies on Chinese economy simply assume that capital controls are effective and can improve welfare. We compare specific macro-prudential policies by linking capital inflow tax rate with the size of foreign borrowings and discuss the effects of macro-prudential policy under different scenarios.
In the case study, our main findings are as follows. (1) Under financial shocks, monetary policy helps to stabilize macro economy.Especially when the exchange rate system changes from fixed to floating, the effect of monetary policy in stabilizing the macro economy is significantly strengthened. (2) On the basis of monetary policy, adding macro-prudential policy tools represented by cross-border capital inflow taxes can effectively curb the procyclical mechanism of financial markets and further improves the stability of macroeconomy.This finding verifies the effectiveness of the two-pillar macroeconomic regulation. Welfare analysis also shows that implementing a macro-prudential policy along with a conventional monetary policy leads to higher social welfare compared to relying solely on monetary policy. (3) The effectiveness of the two-pillar macro regulation is related to the exchange rate system. When the exchange rate flexibility is relatively low, the two-pillar macroregulation has a greater stabilization effect on macro economy and a larger benefit on social welfare.