“双支柱”调控、政策协调搭配与宏观稳定效应

本文通过构建包含金融部门和“双支柱”调控政策的DSGE模型,系统考察了货币政策和宏观审慎政策的组合在不同经济金融冲击下的宏观经济和金融稳定效应。相关分析得出了三个基本结论:一是纳入宏观审慎政策的“双支柱”调控框架确实比单一使用货币政策具有相对更好的经济和金融稳定效应;二是“双支柱”调控框架在应对金融冲击时的稳定效应表现得更加明显,这说明宏观审慎政策确实是通过金融稳定渠道发挥作用的,从而与货币政策侧重实体经济(产出和通胀)的稳定效应形成了有效互补;三是不论是在价格型的货币政策工具下,还是在数量型的货币政策工具下,“双支柱”调控框架都较单一使用货币政策具有更好的经济金融稳定效应,这说明“双支柱”调控框架的有效性不依赖于货币政策工具的改变而改变,在具体的政策工具组合方面具有较为普遍的适用性。

The “Two-Pillar” Framework,Policy Coordination and Macroeconomic Stability

The report of the 19th National Congress of the Communist Party of China (CPC) calls for improving the regulatory framework underpinned by both monetary policy and macro-prudential policy (hereinafter referred to as the “two-pillar” policy framework, ensuring that no systemic risks occur, and maintaining the overall stability of the economy and financial system. In theory, the traditional monetary policy framework is apt for total volume control. Although it plays a fundamental role in maintaining economic and financial stability, the policy framework anchored by CPI cannot effectively prevent financial imbalances and systemic risks in specific areas. At the same time, macro-prudential policies can make targeted adjustments based on the monetary policy, and can thus better achieve the objectives of financial stability and the prevention of systemic risks.Although the research on macro-prudential policies is abundant and has been enriched constantly, there are still some controversies on whether the inclusion of macro-prudential policies is conducive to resisting economic and financial shocks and the role of counter-cyclical adjustment tools in macro-prudential policies, which call for further research. In particular, there are few studies on how to form a reasonable and effective coordination between monetary policy and macro-prudential policy under the “two-pillar” framework. In light of the practical situation of China's economy, this paper tries to construct a DSGE model with four departments based on the Tayler & Zilberman (2016) model. This paper complements and extends the existing literature in the following three basic aspects. First, this paper introduces collateral constraint and several key financial variables, such as the probability of default, non-performing loan ratio and the probability of collateral recovery to the traditional DSGE framework, and identifies the specific impacts of different financial shocks and the endogenous transmission mechanism between finance and entity economy. Second, the paper introduces the central bank and describes a policy portfolio that includes both monetary policy rules and macro-prudential policy rules, and provides basic modeling design for the analysis of the “two-pillar” regulatory system. Third, based on the improved model framework, this paper examines a number of alternative pegging variables for the macro-prudential policy, and comprehensively analyzes whether and how the macroprudential policy can help to achieve the goal of financial stability and economic stability when facing different economic or financial shocks.The purpose of this study is to investigate the effect of the coordination of monetary policy and macro-prudential policy on economic and financial stability, especially in the face of economic and financial shocks. Bringing the “two-pillar” policy framework and the financial department into a DSGE model, this study reached three basic conclusions. First, the coordination of monetary policy and macro-prudential policy exerts a better effect on stabilizing the economic and financial system than pure monetary policy tools. Second, the “two-pillar” policy framework is especially effective in stabilizing the economic and financial system when facing with financial shocks. This result implies that macro-prudential policy plays a complementary role to monetary policy by stabilizing financial system, whereas monetary policy focuses on stabilizing the entity economic system (output and inflation). Third, the “two-pillar” policy framework helps improve the stability of the economic and financial system regardless of whether the monetary policy tool is price-based or quantitative. As a result, the effectiveness of the “two-pillar” policy framework does not vary with different monetary policies, which provide an evidence that the “two-pillar” policy framework has general applicability.