“双支柱”调控的微观稳定效应研究

本文基于中国银行业和企业的数据,对“双支柱”调控的微观稳定效应进行了研究。实证结果表明:一方面,宏观审慎政策能够减弱货币政策的银行风险承担渠道传导效应,有效抑制银行在宽松货币政策下的过度风险承担;另一方面,在宽松货币政策下,企业有提高负债率的激励,而宏观审慎政策能够有效抑制企业过度负债的动机;同时,宏观审慎政策能够降低企业对银行贷款的依赖程度、促进企业优化债务结构,而货币政策与宏观审慎政策的配合强化了这一作用。上述实证结果说明“双支柱”调控政策对银行和企业两个微观层面主体都具有更好的稳定效应。此外,本文的实证分析还发现,“双支柱”调控对银行风险承担和企业负债行为的影响在不同经济周期阶段具有显著的差异性,同时,“双支柱”调控的政策效果在不同性质的银行和企业中也有所不同,这意味着在制定“双支柱”调控政策时需考虑经济周期以及银行和企业异质性,以进一步提高政策的针对性和有效性。本文的相关研究结论丰富了“双支柱”调控在微观层面的传导效应等方面的文献,并为中国实施“双支柱”调控的科学性和有效性提供了一定的经验证据。

The Micro-Stabilization Effect of the Two-Pillar Adjustment Framework

Since the severe global financial crisis in 2008, macro-prudential policies have resurged, while the use of monetary policy to prevent financial imbalances and systemic risks has been widely criticized. As a result, a series of macro-prudential policies have been introduced in many countries. China uses a two-pillar adjustment framework involving both monetary and macro-prudential policy. In October 2017, the report of the 19th National Congress of the Communist Party of China identified the need to “improve the framework of regulation underpinned by monetary policy and macro-prudential policy… to forestall systemic financial risks.” The two-pillar adjustment framework is expected to maintain financial stability. However, how well do monetary policy and macro-prudential policy cooperate under the two-pillar adjustment framework to better preserve financial stability？ How can monetary policy and macro-prudential policy cooperate better in different economic environments and with different policy objectives？ While many studies investigate the effect of either monetary policy or macro-prudential policy, few studies focus on the coordination between these two types of policies. Despite several papers investigating these questions theoretically, there is still no consensus and there is a lack of empirical evidence, especially at the micro level. To address this gap, we investigate empirically the micro-stabilization effect of monetary policy and macro-prudential policy under the two-pillar adjustment framework at both the bank level and the firm level.
Our empirical results using data on China's banks and firms from 2009 to 2018 show that the monetary policy rate is negatively related to bank risk taking but that macro-prudential policy can weaken the transmission effect of monetary policy's bank risk taking channel and restrict excessive risk taking of banks under easy monetary policy. Firms have an incentive to improve their debt ratio under easy monetary policy, but this effect can be effectively restrained by macro-prudential policy. Macro-prudential policy can reduce firms' dependence on bank loans, forcing firms to optimize their debt structure. The cooperation between monetary policy and macro-prudential policy can strengthen this effect. Compared with monetary policy or macro-prudential policy acting in isolation, the coordination between these two types of policies under the two-pillar adjustment framework has a better stabilizing effect on banks and firms. We further investigate the different effects of the two-pillar adjustment at different points in the business cycle and on different types of banks and firms. The implementation effect of the two-pillar adjustment is related to the business cycle because of the different policy objectives in different economic environments. As a result, the impact of the two-pillar adjustment on banks' risk exposure and firms' debt behavior also differs in boom and bust periods. Moreover, the effect of the two-pillar adjustment framework also differs for banks and firms of different types. These conclusions have an obvious policy implication that attention should be paid to the economic environment and to the heterogeneity of regulatory targets in the processes of policy formulation and implementation to strengthen the effectiveness of the two-pillar adjustment framework.
This paper makes three main contributions. First, unlike studies focusing on the effect of monetary policy or macro-prudential policy in isolation, we pay attention to the coordination between these two types of policies under the two-pillar adjustment framework through a well-designed empirical study using data on banks and firms. Our paper provides new thinking on the coordination between monetary policy and macro-prudential policy and enriches the literature on the two-pillar adjustment framework. Second, we both investigate the micro-stabilization effect of the two-pillar adjustment framework at the bank and firm levels and discuss differences in the micro-stabilization effect by looking at changes over the business cycle and allowing for heterogeneity in banks and firms. Our findings provide complementary evidence of the effectiveness of the two-pillar adjustment framework and shed light on the micro-transmission mechanism of the two-pillar adjustment framework. Finally, our results provide empirical evidence of the validity of China's two-pillar adjustment framework and have policy implications for the improvement of the two-pillar adjustment framework.