双支柱调控的金融稳定效应研究*

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。

THE FINANCIAL STABILITY EFFECTS OF THE TWO PILLAR ADJUSTMENT

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.