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货币政策转型期我国宏观审慎政策有效性研究——基于扩展的BGG-DSGE模型
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TitleThe Effectiveness of China’s Macro-prudential Policy during Transition Period of Monetary Policy from Quantitative to Pric  
作者李天宇 张屹山 冯叶 孟宪春  
AuthorLi Tianyu,Zhang Yishan,Feng Ye and Meng Xianchun  
作者单位吉林大学;中国人民银行 
OrganizationJilin University; The People's Bank Of China 
作者Email174727122@qq.com;yishan@jlu.edu.cn; fengye131@yeah.com;1015324924@qq.com 
中文关键词宏观审慎政策 流动性管理 量价转换 
Key WordsMacro Prudential Policy; Liquidity Management; Price-volume Conversion 
内容提要宏观审慎评价体系是“货币政策+宏观审慎政策”双支柱的金融调控政策框架的重要组成部分,对其有效性进行理论研究具有重要意义。考虑到货币政策环境与宏观审慎政策有效性的密切关系,本文结合了我国货币政策“量价转换”的特殊背景,构建了能够体现中国特征的扩展型BGG-DSGE模型,夯实了转换期的货币政策传导路径,并以此为基础对宏观审慎评价体系有效性进行研究,得到如下结论:第一,“量价转换”时期的货币政策操作是以流动性管理工具为核心的,流动性管理具有“价”和“量”双重属性。第二,中央银行精细化的流动性管理是至关重要的,因为实体经济内生获取流动性会加剧经济收缩,使金融部门紧缩与经济周期下行形成共振,加剧经济波动幅度。第三,在流动性管理的货币政策操作逻辑下,以动态存款准备金率为核心的宏观审慎评估体系是有效的,但随着货币政策“价”属性的增强,其作用效果逐渐减弱。第四,盯住“贷款价值比”和“资本充足率”的MPA管理体系都具有金融稳定作用,区别在于“贷款价值比”变量的逆向反馈机制还能激励企业实现“降杠杆”。 
AbstractThe Macro Prudential Assessment is an important part of the financial control policy framework, which has two pillars of "monetary policy & macro prudential policy", and it is of great significance to carry out theoretical research on its effectiveness. Taking into account the close relationship between the monetary policy environment and the effectiveness of the macro prudential policy, this paper constructs an extended version of BGG-DSGE model to capture the Chinese characteristics in the context of monetary policy transformation. We study the effectiveness of the Macro Prudential Assessment on the basis of clarifying the transmission path of monetary policy during its transition period. We have the following conclusions: First the operative objective of Monetary Policy during this period is liquidity management, which has both features of "price" and "quantitative". Second, it is crucial for the central bank to finely manage liquidity, because the liquidity produced endogenously by real economy will exacerbate economic contraction, forming the resonance between financial sector tightening and economic cycle declining, thus exacerbating economic fluctuations. Thirdly, under the liquidity management of monetary policy, the Macro Prudential Assessment with the dynamic deposit reserve ratio is effective, but as its price feature emerging, its effectiveness gradually weakens. Fourthly, MPA management systems, whether pegged to the "Loan-to-Value ratio" or "capital requirement ratio",can both stabilize financial system, the only difference is that the reverse feedback mechanism of the LTV variable can also encourage enterprises to deleverage. 
文章编号WP1417 
登载时间2019-09-05 
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