中国宏观审慎政策有效性研究
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| Title | How Effective are Macroprudential Policies in China?
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| 作者 | 王斌 孙涛 |
| Author | Wang Bin and Sun Tao |
| 作者单位 | 中国人民银行营业管理部;国际货币基金组织亚太部 |
| Organization | Beijing Office of the People’s Bank of China；Asia and Pacific Department at the International Monetary Fund |
| 作者Email | wangbin@bj.pbc.gov.cn；tsun@imf.org |
| 中文关键词 | 系统性风险 宏观审慎政策 有效性 |
| Key Words | Systemic risk; Macroprudential policies; Effectiveness. |
| 内容提要 | 本文研究中国宏观审慎政策有效性。中国面临顺周期维度和跨部门维度系统性风险。前者表现为信贷激增和资产价格上升，后者体现为银行部门与非正规融资及地方政府融资平台之间日益增加的关联性。基于中国171家银行的面板数据，本文使用面板固定效应回归模型（Panel fixed-effects models）研究发现，在目前经济金融环境下，“差别存款准备金的动态调整机制”等部分宏观审慎工具可在一定程度上降低系统性风险。短期内，可针对不同地区和不同银行实施差异的宏观审慎政策来提高政策有效性。长期看，除加强宏观审慎政策与其他政策的协调外，需进一步推进金融改革和结构性改革来提高宏观审慎政策的有效性。本文的主要贡献包括：系统介绍了目前关于宏观审慎政策的最新国际研究进展；在考虑中国经济、金融和改革转型等诸多特性情况下，分析中国的系统性风险；使用单个银行的数据而非银行业汇总数据研究中国宏观审慎政策的有效性，以及判断当前政策的有效性、局限性及其改进空间。 |
| Abstract | This paper investigates macroprudential policies and their role in containing systemic risk in China. It shows that China faces systemic risk in both the time (procyclicality) and cross-sectional (contagion) dimensions. The former is reflected as credit and asset price risks, while the latter is reflected as the links between the banking sector and informal financing and local government financing platforms. Empirical analysis based on 171 banks shows that some macroprudential policy tools (e.g., the reserve requirement ratio and house-related policies) are useful, but they cannot guarantee protection against systemic risk in the current economic and financial environment. Nevertheless, better-targeted macroprudential policies have greater potential to contain systemic risk pertaining to the different sizes of the banks and their location in regions with different levels of economic development. Complementing macroprudential policies with further reforms, including further commercialization of large banks, would help improve the effectiveness of those policies in containing systemic risk in China. |
| 文章编号 | WP533 |
| 登载时间 | 2013-09-13 |
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