宏观审慎与货币政策双支柱框架研究——基于系统性风险视角

本轮国际金融危机之后,建立“宏观审慎政策专门盯住金融稳定目标,货币政策主要关注经济稳定目标”的双支柱成为国际社会的普遍共识。本文基于系统性风险视角,深入剖析系统性风险的累积和实现机制,从时间和空间两个维度梳理宏观审慎政策实现金融稳定的有效性,以及货币政策对系统性风险造成的潜在溢出性。目前从系统性风险的时间维度探讨双支柱政策的研究已较为丰富,可以总结为宏观审慎政策的“逆周期调节”机制和货币政策的“资本缺口”机制。从系统性风险的空间维度探讨双支柱政策的研究,也即对双支柱政策如何作用和改变金融机构内部关联网络的研究正成为研究热点。本文从政策工具和影响机制上对空间维度双支柱政策进行了系统梳理。基于以上分析,本文对双支柱政策的制定提出如下建议:时间维度宏观审慎政策要关注并消除货币政策对时间维度系统性风险的溢出性,同时要加强空间维度宏观审慎政策工具的创新力度。

Two-Pillar Framework of Macroprudential and Monetary Policy: A Perspective on Systemic Risk

One of the most essential lessons of the global financial crisis is that a single monetary policy cannot simultaneously maintain both economic and financial stability. To reduce systemic risks, China has proposed a “double-pillar” regulation framework underpinned by both monetary policy and macroprudential policy. This double-pillar framework implies the principle of separating policies from function, emphasizing that macroprudential policy exclusively anchors financial stability, whereas monetary policy targets inflation and resource utilization. Innovatively, this study provides a theoretical foundation for the double-pillar framework from the perspective of systemic risk. Unlike previous studies, our study focuses on risk itself rather than on economic welfare analysis, and pays equal attention to both the time and cross-sectional dimensions of the nexus of the double-pillar framework and systemic risk.
Above all, this study identifies the mechanism through which systemic risk accumulates and is realized in the two stages of the financial cycle. Specifically, systemic risk builds up during the upward stage of a financial cycle, when it is mainly characterized as a rise in the level of risk-taking in the financial sector under a positive shock. During a downward cycle, systemic risk is realized when negative shocks occur. It can be amplified by leverage mechanisms and interconnection networks within the financial sector, and it will eventually cause externalities to the rest of the economy. Furthermore, we identify two dimensions of systemic risk: the time dimension and the cross-sectional dimension. Based on these two dimensions, we then answer our two main research questions.
First, we determine the effectiveness of macroprudential policy. (i) Time-dimension macroprudential policy focuses on the time dimension of systemic risk; that is, the procyclicality between the financial sector and the real economy. Using countercyclical instruments such as loan-to-value and capital adequacy ratio can proactively reduce risk accumulation in the upward cycle and lower the probability that systemic risk will be realized. At the same time, establishing a reasonable countercyclical capital buffer or liquidity coverage requirement can enhance the ability of financial institutions to resist negative shocks during the downward cycle, reducing the negative externalities to the real economy when a crisis erupts. (ii) Cross-sectional dimension macroprudential policy focuses on thecross-sectionaldimension of systemic risk; that is, the risk amplification mechanism generated by the related network within the financial sector. Ex ante instruments such as “window guidance” or supervision of systematically important institutions can mitigate the degree of financial interconnection networks and potential risk contagion effects. Ex post tools such as liquidity injection are used to prevent institutions from selling illiquid assets that re-impacts the interconnection network and further amplify the overall losses.
Second, we study the spillover effect of monetary policy on systemic risk. (i) The spillover of monetary policy on the time dimension of systemic risk is centered on the “capital gap” mechanism. As a positive shock, loose monetary policy affects financial institutions' expansion behavior on their balance sheets, which leads to a positive feedback loop of positive capital gaps, and this exacerbates the accumulation of systemic risks in the upward financial cycle. In contrast, contractionary monetary policy as a negative shock may cause a negative feedback loop of negative capital gaps in a fire sale network, which accelerates the realization of systemic risks in the downward cycle. (ii) Previous studies have paid less attention to the effects of spillover from the cross-sectional dimension of monetary policy on systemic risk. Thus, we briefly outline two potential mechanisms that influence the interconnection network structure of interbank markets, namely the demand matching and risk preference mechanisms.
Overall, we find that previous studies of the dual-pillar policy widely examine the time dimension of systemic risk, but few consider the cross-sectional dimension. Hence, we propose the following two suggestions for the adoption and coordination of a “double-pillar” framework. (i) Time-dimension macroprudential policy should focus on and eliminate the spillover caused by monetary policy. (ii) Innovation in cross-sectional-dimension macroprudential instruments should be encouraged.