| The subprime crisis in 2008 has seriously impacted the financial structure of the United States,and rapidly swept the world,hitting major economies.The most serious financial crisis since the Great Depression in 1929 has had a profound impact on the global economy and finance,and also posed new challenges to the macro-policy framework and financial supervision.Academics and practitioners have carried out extensive and in-depth research and reflection on this.To sum up,on the one hand,financial supervision is inadequate.In the two decades before the crisis,the Federal Reserve’s monetary policy took inflation as the target,and the nominal interest rate was low,forming a “big easing” situation of sustained macroeconomic growth and stable inflation,which made people think that maintaining price stability can take into account financial stability.On the other hand,systemic financial risks are more complex.Financial activities and economic activities are widely and closely linked,financial product innovation is changing with each passing day,debt leverage and shadow banking problems are increasingly prominent,and liquidity risk is seriously underestimated.The scale and impact of financial markets,financial assets and financial transactions have expanded rapidly,and the task of financial risk prevention and control has far exceeded the capabilities of the traditional financial regulatory framework.The regulatory authorities of all countries are generally aware that the central bank’s long-term dependence on monetary policy has gradually weakened the financial stability goal,which is one of the important reasons for the poor response to the crisis.Financial stability is not the sum of the stability of a single institution,but the accumulation and spread of risks across markets,industries and institutions has become an important feature of systemic financial risks.Therefore,it is urgent to promote the reform of financial regulation and macro-policy framework.At the same time,it is particularly necessary to improve the weight of financial stability in the macro-policy objectives and introduce a more prudent and systematic policy framework.The core of macro-prudential policy,as a counter-cyclical regulation policy,is to take measures from a systematic and counter-cyclical perspective to reduce the positive feedback of the financial system and maintain financial stability.After the crisis,countries have generally established their own macro-prudential policy framework,and distinguish it from micro-prudential supervision and monetary policy.In comparison,micro-prudential regulation mainly focuses on the robustness of individual financial institutions,aiming at protecting consumer interests,while monetary policy often implements counter-cyclical regulation through interest rate or asset channels,so as to promote economic growth and stabilize prices.After the financial crisis,the global financial regulatory rules have changed dramatically,and the macro-prudential policy has become increasingly mature.In terms of regulatory philosophy,Basel III filled the loophole of the old agreement that only focused on micro-prudential supervision,and put forward the idea of strengthening systemic financial risk supervision,which was positively responded by major global economies.In terms of policy practice,international financial organizations have made a lot of useful exploration and formed a policy system covering policy objectives,risk identification and assessment,tools and disposal.China’s macro-prudential policy construction has always been in the forefront,and has done a lot of work in resolving major financial risks,regulating shadow banking business,implementing de-leveraging to prevent excessive debt,etc.,reflecting the idea of macro-prudential management.The real estate credit regulation and window guidance before the crisis has essentially possessed the function of macro-prudential policy.In 2009,the People’s Bank of China strengthened its macro-prudential management,introduced the dynamic adjustment mechanism of differential reserves in 2011 and upgraded it to the macro-prudential evaluation system of financial institutions in 2016.The report of the 19 th National Congress of the Communist Party of China(CPC)proposed “improving the dual-pillar regulatory framework of monetary policy and macro-prudential policy”.China’s macro-prudential policy has entered a stage of rapid development.It has successively implemented the management of real estate credit concentration,implemented evaluation and additional supervision on systemically important financial institutions,and issued the Guidelines for Macro-prudential Policy.The macro-prudential policy has played an equally important role in China as the monetary policy.Since the macro-prudential policy framework is introduced,the regulatory authorities have set the policy objectives,tools and transmission mechanisms according to the macro-policy standards that are as important as monetary policy and fiscal policy.In recent years,with the increasing variety of macro-prudential policy tools,more and more institutions and industries have been included in the macro-prudential policy framework.Although according to the Tinbergen’s Rule,increasing policy objectives requires increasing the corresponding number of policy tools,after the increase of policy tools,how to effectively implement macro-prudential policies has become a prominent issue.Based on this,the research ideas of this paper originate from the following series of questions: how to reflect the effectiveness of macro-prudential policy,and what is the main transmission mechanism? How can macro-prudential policies be coordinated with monetary policies to reduce policy conflicts and overlaps? How can the capital and credit instruments of macro-prudential policy achieve the best policy effect,and what variables should be anchored in the design of policy instruments? What are the differences among different macro-prudential policy tools? How to select policy tools when facing different types and degrees of risk shocks?According to the above research ideas,this paper systematically studies the effectiveness of macro-prudential policy,transmission mechanism,adaptability of policy tools and coordination with monetary policy by combining empirical analysis and dynamic stochastic general equilibrium model,and determines the optimal macro-prudential policy tools according to the optimization of social welfare.The main work of this paper is embodied in the following seven aspects: firstly,it systematically combs the research literature related to macro-prudence from four aspects: systemic financial risk and financial stability,monetary policy and financial stability,macro-prudential policy and financial stability,and macro-prudential policy and monetary policy coordination;secondly,it combs the theoretical basis related to the macro-prudential policy,which provides a solid theoretical basis for the later research.These theoretical bases include the establishment of the theoretical basis of the necessity and adaptability of the macro-prudential policy;thirdly,it introduces the practice status of macro-prudential policy in the world,focusing on the analysis and comparison of the development status and characteristics of macro-prudential policy in the United Kingdom,the United States and Singapore;fourth,the SVAR model is used to test the effectiveness of China’s macro-prudential policy and analyze the characteristics and adaptability of policy tools;fifthly,the DSGE model is used to study the effectiveness of capital adequacy macro-prudential policies under different risk shocks,and the optimal welfare analysis method of the DSGE model is used to determine the optimal scheme for the coordination of macro-prudential policies and monetary policies;sixth,the DSGE model is used to comprehensively analyze the effectiveness and transmission mechanism of two types of macro-prudential policy tools from the perspective of credit and capital adequacy,compare the differences among policy tools,determine the optimal anchor variables of policy tools under the constraints of welfare losses and variable fluctuations,and analyze the optimal policy tools under different risk shocks;seventh,based on the above analysis and research,the research conclusions of this paper are obtained and the corresponding policy implications are put forward.The full text draws the following five conclusions:Firstly,macro-prudential policies can effectively maintain financial stability.From the results of the empirical test,the comprehensive,capital,credit and liquidity macro-prudential policy tools can better restrain credit expansion and house price rise,and the overall policy effect shows a “negative effect”.From the analysis results of the theoretical model,the effect of macro-prudential policy in reducing economic and financial fluctuations and maintaining financial stability is more intuitive and effective,and has more comparative advantages compared with the single use of monetary policy tools.The introduction of macro-prudential policy on the basis of monetary policy will help to cushion the economic fluctuations caused by external shocks,especially in reducing bank leverage and maintaining the stability of asset prices.Secondly,different macro-prudential policy tools have different governance effects.The empirical test shows that credit macro-prudential policy instruments are sensitive and will cause rapid response to financial stability variables in the short term;The macro-prudential policy can better control the quantitative financial stability variables,and the regulatory effect on the credit growth is relatively obvious,while the policy effect on the price-based financial stability variables is not prominent enough,and the degree of inhibiting the rise of house prices is small.In terms of theoretical model analysis,under different degrees of risk shocks,the policy combination to deal with risks should be correspondingly strengthened with the increasing degree of shocks,especially in the case of high degree of risk shocks,the combination of macro-prudential policies and monetary policies containing financial stability factors should be used to deal with them.Thirdly,credit scale is an important anchor variable of macro-prudential policy.The theoretical analysis results indicate that both the LTV and the CCy B should contain credit factors,and the credit scale should be taken as the anchor variable of the policy tool design,while whether the housing price should be taken as the anchor variable of the policy tool should depend on the specific situation.As for the LTV tool,under the impact of real estate demand,real estate investment efficiency,monetary policy and real estate tax,the LTV tool only needs to respond to the scale of credit,while keeping neutral to the house price can effectively cushion the external impact and achieve the policy optimization.For the counter-cyclical capital adequacy tool,the credit scale should be kept neutral under the impact of housing demand.In addition,the credit scale and house price should be actively responded to at the same time,especially when dealing with policy shocks,the credit should be subject to stronger policy response.Fourth,the transmission mechanism of macro-prudential policy and monetary policy has both similarities and differences.From the perspective of the overall effect of macro-prudential policy,macro-prudential policy can better make up for the deficiencies of monetary policy in maintaining financial stability.Among them,there are similarities with the transmission mechanism of monetary policy.The main transmission carriers of macro-prudential policy are bank leverage ratio,capital adequacy and asset price,indicating that macro-prudential policy mainly plays its role through financial channels.On the other hand,the macro-prudential policy focuses on the prevention of systemic financial risks,and its target is often targeted at a certain field or industry,with the uniqueness of a specific industry in the policy transmission.The loan-to-value ratio can effectively maintain the financial stability of the real estate industry,and reduce the financial accelerator of the real estate industry by restricting the credit of the real estate industry counter-cyclically,thus regulating the real estate supply and the leverage of the residents’ debt.The counter-cyclical capital adequacy ratio has the counter-cyclical regulation effect on the systemic financial risk of the banking industry,and is sensitive to the asset price.By setting the capital adequacy requirements of the banking industry,the counter-cyclical regulation of the business expansion ability.Fifth,there are “conflicts” or “overlaps” in macro-prudential policies.From the comparison of the two objectives of social welfare improvement and financial stability,the welfare loss of the extended Taylor rule with financial factors is the smallest,while the combination of the extended Taylor rule and macro-prudential policy can help reduce economic and financial fluctuations,but the welfare loss is larger than that of the extended Taylor rule,which means that the coordination of the two policies is not a simple superposition of policies,and the policy combination that overemphasizes financial stability may cause social welfare loss.In addition,the effect of policy implementation is also related to the type of tools,policy combination and economic environment.In the face of policy shocks,the "conflict" phenomenon of macro-prudential policies is prominent,which means that the use conditions and economic environment should be fully considered in the process of policy implementation,further highlighting the importance and necessity of strengthening policy coordination. |
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