中国宏观审慎政策工具的有效性和靶向性研究
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摘要
本文在政策工具有效性的基础上提出靶向性的概念,并对两者的相互影响机制进行系统梳理。然后,本文利用定性向量自回归模型和历史方差分解研究2005—2017年我国贷款价值比、法定准备金率政策对贷款增速、房地产价格增速等金融稳定目标的有效性和靶向性。研究结果表明:(1)贷款价值比政策以房价为靶向目标,以贷款为非靶向目标;法定准备金率政策同时以贷款和房价为靶向目标。(2)贷款价值比政策对靶向目标的有效性较强,对非靶向目标的有效性较弱;法定准备金率政策对两个靶向目标的有效性均较强。(3)动态来看,2008年金融危机前后,宏观审慎政策与金融稳定目标的相互作用机制发生结构性变化。危机爆发后,政策工具对监管目标的有效性和靶向性显著提高,两个宏观审慎政策对房地产的调控由逆周期转为顺周期。
This paper proposes the definitions of effectiveness and targeting of macroprudential policies based on the theoretical analysis of the interactive relationship between policy tools and policy targets. Then we apply the Qual VAR model to investigate the effectiveness and targeting of two widely used policy tools,Loan-to-Value( LTV) and statutory deposit reserve ratio( RR),in ensuring financial stability in China between 2005 and2017. Here the financial stability is measured by the credit growth rate and the real estate price. Empirical results show that:( 1) LTV targets the real estate price instead of the credit growth while RR targets both credit growth and real estate price.( 2) Results of impulse response and variance decomposition indicate that LTV has greater impact on its target than credit growth while RR has significant impacts on both the credit growth and the real estate price.( 3) From a dynamic perspective,the interactive relationship between policy tools and policy targets underwent structural changes when the Global Financial Crisis occurred in 2008. After the crisis,the effectiveness and targeting of macroprudential policies become more significant than before. The impacts of macroprudential policies on the real estate price turn to be procyclical from being countercyclical.
This paper proposes the definitions of effectiveness and targeting of macroprudential policies based on the theoretical analysis of the interactive relationship between policy tools and policy targets. Then we apply the Qual VAR model to investigate the effectiveness and targeting of two widely used policy tools,Loan-to-Value( LTV) and statutory deposit reserve ratio( RR),in ensuring financial stability in China between 2005 and2017. Here the financial stability is measured by the credit growth rate and the real estate price. Empirical results show that:( 1) LTV targets the real estate price instead of the credit growth while RR targets both credit growth and real estate price.( 2) Results of impulse response and variance decomposition indicate that LTV has greater impact on its target than credit growth while RR has significant impacts on both the credit growth and the real estate price.( 3) From a dynamic perspective,the interactive relationship between policy tools and policy targets underwent structural changes when the Global Financial Crisis occurred in 2008. After the crisis,the effectiveness and targeting of macroprudential policies become more significant than before. The impacts of macroprudential policies on the real estate price turn to be procyclical from being countercyclical.
引文
1.蔡正喆:《关于中国房价调控政策的有效性分析---基于“国八条”房产新政的经验证据》,《武汉理工大学学报(社会科学版)》2016年第3期。
2.陈斌开、徐帆、谭力:《人口结构转变与中国住房需求:1999-2025---基于人口普查数据的微观实证研究》,《金融研究》2012年第1期。
3.邓创、徐曼、汪洋:《货币政策房价调控效应的非对称性与区域差异分析》,《统计与决策》2016年第17期。
4.方意:《宏观审慎政策有效性研究》,《世界经济》2016a年第8期。
5.方意:《系统性风险的传染渠道与度量研究:兼论宏观审慎政策实施》,《管理世界》2016b年第8期。
6.方意、方明:《中国货币市场基准利率的确立及其动态关系研究》,《金融研究》2012年第7期。
7.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。
8.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。
9.赵胜民、方意、王道平:《金融信贷是否中国房地产、股票价格泡沫和波动的原因---基于有向无环图的分析》,《金融研究》2011年第12期。
10.周彬、杜两省:《“土地财政”与房地产价格上涨:理论分析和实证研究》,《财贸经济》2010年第8期。
11.Angelini,P.,Neri,S.,&Panetta,F.,The Interaction between Capital Requirements and Monetary Policy.Journal of Money,Credit and Banking,Vol.46,No.6,2014,pp.1073-1112.
12.Angeloni,I.,&Faia,E.,Capital Regulation and Monetary Policy with Fragile Banks.Journal of Monetary Economics,Vol.60,No.3,2013,pp.311-324.
13.Borio,C.,Implementing the Macroprudential Approach to Financial Regulation and Supervision.Financial Stability Review,Vol.13,No.13,2009,pp.31-41.
14.Dueker,M.,Dynamic Forecasts of Qualitative Variables:A Qual VAR Model of U.S.Recessions.Journal of Business&Economic Statistics,Vol.23,No.1,2005,pp.96-104.
15.FSB,IMF,BIS,Macroprudential Policy Tools and Frameworks.Progress Report to G20,2011.
16.Galati,G.,&Moessner,R.,Macroprudential Policy-A Literature Review.Journal of Economic Surveys,Vol.27,No.5,2013,pp.846-878.
17.Lee,M.,Asuncion,R.C.,&Kim,J.,Effectiveness of Macroprudential Policies in Developing Asia:An Empirical Analysis.Emerging Markets Finance and Trade,Vol.52,No.4,2015,pp.923-937.
18.Lim,C.,Columba,F.,Costa,A.,Kongsamut,P.,Otani,A.,&Saiyid,M.,et al.,Macroprudential Policy:What Instruments and How to Use Them?Lessons from Country Experiences.IMF Working Paper,No.11/238,2011.
19.Rubio,M.,&Carrasco-Gallego,J.A.,Macroprudential and Monetary Policy Rules:A Welfare Analysis.The Manchester School,Vol.83,No.2,2015,pp.127-152.
20.Suh,H.,Evaluating Macroprudential Policy with Financial Friction DSGE Model.Jordan River Conference at Indiana University,April 29,2011.
21.Tillmann,P.,Estimating the Effects of Macroprudential Policy Shocks:A Qual VAR Approach.Economics Letters,Vol.135,2015,pp.1-4.
(1)靶向性源于医学概念,是指朝着一定目标前进的性质,用来描述目标对工具的影响。宏观审慎政策监管目标对政策工具的影响具有类似性质。因此,我们称宏观审慎政策监管目标影响政策工具的机制为“靶向性”。
(1)有关贷款首付比的政策实施参考以下网络链接:(1)http://www.askci.com/chanye/2015/03/31/141240qjo.shtml;(2)http://finance.ce.cn/sub/ztzl/201504/03/t20150403_5020696.shtml;(3)http://www.厦门二手房.com/shf20150608/vip_doc/1203200.html;(4)http://www.caijing.com.cn/2010-09-29/110533327.html;(5)http://hz.leju.com/zhuanti/2016lszc/。
(2)银行体系产生的系统性风险主要源于外生冲击被银行的过度关联性所放大(方意,2016b)。
2.陈斌开、徐帆、谭力:《人口结构转变与中国住房需求:1999-2025---基于人口普查数据的微观实证研究》,《金融研究》2012年第1期。
3.邓创、徐曼、汪洋:《货币政策房价调控效应的非对称性与区域差异分析》,《统计与决策》2016年第17期。
4.方意:《宏观审慎政策有效性研究》,《世界经济》2016a年第8期。
5.方意:《系统性风险的传染渠道与度量研究:兼论宏观审慎政策实施》,《管理世界》2016b年第8期。
6.方意、方明:《中国货币市场基准利率的确立及其动态关系研究》,《金融研究》2012年第7期。
7.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。
8.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。
9.赵胜民、方意、王道平:《金融信贷是否中国房地产、股票价格泡沫和波动的原因---基于有向无环图的分析》,《金融研究》2011年第12期。
10.周彬、杜两省:《“土地财政”与房地产价格上涨:理论分析和实证研究》,《财贸经济》2010年第8期。
11.Angelini,P.,Neri,S.,&Panetta,F.,The Interaction between Capital Requirements and Monetary Policy.Journal of Money,Credit and Banking,Vol.46,No.6,2014,pp.1073-1112.
12.Angeloni,I.,&Faia,E.,Capital Regulation and Monetary Policy with Fragile Banks.Journal of Monetary Economics,Vol.60,No.3,2013,pp.311-324.
13.Borio,C.,Implementing the Macroprudential Approach to Financial Regulation and Supervision.Financial Stability Review,Vol.13,No.13,2009,pp.31-41.
14.Dueker,M.,Dynamic Forecasts of Qualitative Variables:A Qual VAR Model of U.S.Recessions.Journal of Business&Economic Statistics,Vol.23,No.1,2005,pp.96-104.
15.FSB,IMF,BIS,Macroprudential Policy Tools and Frameworks.Progress Report to G20,2011.
16.Galati,G.,&Moessner,R.,Macroprudential Policy-A Literature Review.Journal of Economic Surveys,Vol.27,No.5,2013,pp.846-878.
17.Lee,M.,Asuncion,R.C.,&Kim,J.,Effectiveness of Macroprudential Policies in Developing Asia:An Empirical Analysis.Emerging Markets Finance and Trade,Vol.52,No.4,2015,pp.923-937.
18.Lim,C.,Columba,F.,Costa,A.,Kongsamut,P.,Otani,A.,&Saiyid,M.,et al.,Macroprudential Policy:What Instruments and How to Use Them?Lessons from Country Experiences.IMF Working Paper,No.11/238,2011.
19.Rubio,M.,&Carrasco-Gallego,J.A.,Macroprudential and Monetary Policy Rules:A Welfare Analysis.The Manchester School,Vol.83,No.2,2015,pp.127-152.
20.Suh,H.,Evaluating Macroprudential Policy with Financial Friction DSGE Model.Jordan River Conference at Indiana University,April 29,2011.
21.Tillmann,P.,Estimating the Effects of Macroprudential Policy Shocks:A Qual VAR Approach.Economics Letters,Vol.135,2015,pp.1-4.
(1)靶向性源于医学概念,是指朝着一定目标前进的性质,用来描述目标对工具的影响。宏观审慎政策监管目标对政策工具的影响具有类似性质。因此,我们称宏观审慎政策监管目标影响政策工具的机制为“靶向性”。
(1)有关贷款首付比的政策实施参考以下网络链接:(1)http://www.askci.com/chanye/2015/03/31/141240qjo.shtml;(2)http://finance.ce.cn/sub/ztzl/201504/03/t20150403_5020696.shtml;(3)http://www.厦门二手房.com/shf20150608/vip_doc/1203200.html;(4)http://www.caijing.com.cn/2010-09-29/110533327.html;(5)http://hz.leju.com/zhuanti/2016lszc/。
(2)银行体系产生的系统性风险主要源于外生冲击被银行的过度关联性所放大(方意,2016b)。