Abstract：The outbreak of the global financial crisis in 2008 has drawn extensive attention to studies on macro-prudential policies across the world. China has implemented macro-prudential policies for a long time. It first adopted macro-prudential tools such as the loan-to-value ratio and the deposit-loan ratio policy in 1993. In recent years, the Chinese government has paid much more attention to macro-prudential management, proposed a dual-pillar control system of “macro management + monetary policy”, and established a separate macro-prudential administration department. However, whether China’s current dual-pillar system of “macro-prudential management and monetary policy” can effectively achieve stability in its pricing, finance and economy still remains to be tested.At present, most literature focuses on the effectiveness of macro-prudential management policies and their coordination effects with monetary policy. However, the existing researches stay at the level of the theoretical layer, lacking further support from empirical evidences and neglecting the discussion of the impact of the “macroprudential policy” regulation range on economic and financial stability. Based on this, this article hopes to study the collocation effect between macro-prudential policy and monetary policy and the adjustment range of macro-prudential management tin both theoretical and empirical perspectives. In terms of theoretical analysis, we introduced macro-prudential policies and monetary policies on the basis of the traditional New Keynesian model and constructed a five-sector DSGE model to study the effectiveness of macro-prudential policies, the coordination relationship between macro-prudential and monetary policies, and the influence of adjustment of macro-prudential on both economic and financial stability. In terms of empirical research, with the help of generalized moment model, we conducted empirical analysis based on China’s 2000-2019 quarterly data to verify the correctness of the conclusions inferred by the DSGE model.We have realized the verification of macro-prudential policy and monetary policy from micro to macro, from theory to empirical research. Compared with existing researches, we have mainly made marginal contributions in the following aspects: First, we provide a theoretical framework for studying the two-pillar system of “macroprudential policy and monetary policy” where we separate macro-prudential management from monetary policy. The two policies have different objectives in better explaining China’s actual operating situations. The second is to give empirical evidences for understanding monetary policy, macro-prudential policies and volatility and analyze the possible impact of changes in macro-prudential policies on volatility and stability. These findings are helpful in understanding China’s economy and government policies.The research results in this paper show that: Firstly, the separate implementation of macro-prudential policies is not conducive to financial and economic stability but will aggravate economic fluctuations. Secondly, the combination of macro-prudential policies and monetary policies can resolve specific external shocks, reduce economic and financial fluctuations to a certain extent, regulate the economy and achieve multiple stability goals. Also, macroprudential policies will have a more obvious impact on financial stability. Thirdly, the impact of macro-prudential policies on economic and financial fluctuations has an obvious U-shaped relationship. That is, macro-prudential policies will be a double-edged sword. When government regulation exceeds the optimal level, it will intensify economic fluctuations and lead to financial instability or even financial risks. Therefore, when implementing macro-prudential policies, the government can consider the following improvements: First of all, it is necessary to identify the types of the economic external shocks, and rationally match macro-prudential policies, monetary policies and fiscal policies to achieve “counter-cyclical” control. Secondly, the government must continue to advance the reform of the financial system, actively and flexibly adjust macro-prudential management strategies, stimulate the positive vitality of macro-prudential policies to reduce economic volatility and ensure financial stability. Apart from that, the government should be aware of the differences of micro subjects to avoid one-size-fits-all regulations.
王维安, 陈梦涛. 宏观审慎政策、货币政策与经济波动[J]. 浙江大学学报(人文社会科学版), 2021, 51(2): 62-82.
Wang Weian, Chen Mengtao. Macroprudential Policy, Monetary Policy and Economic Fluctuation: Based on the DSGE Model. JOURNAL OF ZHEJIANG UNIVERSITY, 2021, 51(2): 62-82.
Woodford M.， “Inflation targeting and financial stability，” https：//www.nber.org/papers/w17967， 2020-07-17.2 马勇、陈雨露： 《宏观审慎政策的协调与搭配：基于中国的模拟分析》，《金融研究》2013年第8期，第57-69页。3 Curdia V. & Woodford M.， “Credit frictions and optimal monetary policy，” https：//www.nber.org/papers/w21820， 2020-07-17.4 Svensson L. E. O.， “Comment on Michael Woodford， inflation targeting and financial stability，” Sveriges Risk Bank Economic Review， Vol. 1 （2012）， pp. 33-39.5 王爱俭、王璟怡： 《宏观审慎政策效应及其与货币政策关系研究》，《经济研究》2014年第4期，第17-31页。6 方意： 《宏观审慎政策有效性研究》，《世界经济》2016年第8期，第25-49页。7 Unsal D. F.，“Capital flows and financial stability： monetary policy and macroprudential responses，” International Journal of Central Banking， Vol. 9， No. 1 （2013）， pp. 233-285.8 Beatriz D.B. & María M.， “Financial frictions and stabilization policies，” Economic Modelling， Vol. 88， No. 7 （2020）， pp. 166-188.9 Tavman Y.， “A comparative analysis of macroprudential policies，” Oxford Economic Papers， Vol. 67， No. 2 （2015）， pp. 334-355.10 Rubio M. & Carrasco-Gallego J. A.， “Macroprudential and monetary policy： implications for financial stability and welfare，” Journal of Banking and Finance， Vol. 49 （2014）， pp. 326-336.11 李天宇、冯叶、张屹山： 《宏观审慎政策的信号识别、规则确立与传导路径分析》，《经济评论》2017年第5期，第123-138页。12 程方楠、孟卫东： 《宏观审慎政策与货币政策的协调搭配——基于贝叶斯估计的DSGE模型》，《中国管理科学》2017年第1期，第11-20页。13 Fernández-Villaverde J.， “Measuring the effects of fiscal policy in a model with frictions，” 2010-04-26， http：//economics.sas.upenn.edu/jesusfv/.pdf， 2020-07-17.14 Freixas X. & Rochet J. C.， Microeconomics of Banking （Second Edition）， Boston： The MIT Press， 2015.15 Quint D. & Rabanal P.， “Monetary and macroprudential policy in an estimated DSGE model of the Euro area，” International Journal of Central Banking， Vol. 10， No. 2 （2013）， pp. 169-236.16 Iacoviello M. & Neri S.， “Housing market spillovers： evidence from an estimated DSGE model，” American Economic Journal： Macroeconomics， Vol. 2， No. 2 （2010）， pp. 125-164.17 庄子罐、崔小勇、赵晓军： 《不确定性、宏观经济波动与中国货币政策规则选择——基于贝叶斯DSGE模型的数量分析》，《管理世界》2016年第11期，第20-31页。18 庄子罐、崔小勇、龚六堂等： 《预期与经济波动——预期冲击是驱动中国经济波动的主要力量吗？》，《经济研究》2012年第6期，第46-59页。19 陈昆亭、龚六堂： 《粘滞价格模型以及对中国经济的数值模拟——对基本RBC模型的改进》，《数量经济技术经济研究》2006年第8期，第106-117页。20 Bernanke B. S.， Gertler M. & Gilchrist S.， “Chapter 21 the financial accelerator in a quantitative business cycle framework，” Handbook of Macroeconomics， Vol. 1 （1999）， pp. 1341-1393.21 Fernández-Villaverde J.， “Fiscal policy in a model with financial frictions，” America Economic Review， Vol. 100， No. 2 （2010）， pp. 35-40.22 Badarau C. & Popescu A.， “Monetary policy and credit cycles： a DSGE analysis，” Economic Modelling， Vol. 42 （2014）， pp. 301-312.23 马勇、王芳： 《金融开放、经济波动与金融波动》，《世界经济》2018年第2期，第20-44页。24 Hansen B. E.， “Threshold effects in non-dynamic panels： estimation， testing， and inference，” Journal of Econometrics， Vol. 93， No. 2 （1999）， pp. 345-368.
2021, Vol. 51 
