【作者】 张翔；

【导师】 孙宁华；

【作者基本信息】 南京大学 ， 政治经济学， 2019， 硕士

【摘要】 2008年次贷危机后,我国针对金融体系引入了宏观审慎监管,不断推进货币政策和宏观审慎政策“双支柱”调控体系的建设。由于“双支柱”框架尚处于初步探索阶段,因此,货币政策与宏观审慎政策具体如何协调才能更好地实现金融稳定、物价稳定与经济增长目标就成为有研究意义的问题。由于房地产市场影响宏观经济的“金融加速机制”、房地产市场与地方政府财政密切相关、房地产在金融机构贷款体系中具有重要地位等原因,房地产市场成为我国货币政策与宏观审慎政策“双支柱”调控框架关注的焦点。因此本文用房地产价格波动和房地产信贷波动作为金融稳定目标的主要观察变量,以房地产市场调控为例来研究货币政策和宏观审慎政策的协调问题。过去的研究认为“双支柱”调控有利于实现物价稳定与金融稳定的双重目标。但总的来说,对货币政策与宏观审慎政策“双支柱”协调问题的研究仍在初步探索中。具备微观基础,并将两者置于统一的分析框架内的研究比较少见。此外,过去的研究将宏观审慎政策纳入DSGE框架主要是通过引入动态贷款价值比。本文将宏观审慎政策另一个重要工具——动态债务收入比引入DSGE框架,使之更符合中国的现实情况。我国货币政策和宏观审慎政策“双支柱”调控框架尚处于初步建设阶段。货币政策调控和宏观审慎政策调控与房地产价格的波动均有显著的相关关系。但货币政策变化的波动成分一般与6-12个月后的房地产价格的波动成分有显著的相关关系,而宏观审慎政策变化的波动成分与约2个月后的房地产价格的波动成分有显著的相关关系。本文构建了一个包括家庭、企业、货币当局和宏观审慎当局四部门的DSGE模型。模型的周期性分析结果表明本文设立的模型较为符合实际经济的有关特征。模型的模拟结果表明,与单一的货币政策相比,宏观审慎政策与货币政策协调虽然在面对房地产偏好冲击与房地产供给冲击时会降低产出稳定实现的程度,但能够较大幅度地提高社会福利。从具体的协调方式来看,宏观审慎政策与传统泰勒规则货币政策搭配,实现通胀稳定、产出稳定、金融稳定目标的程度优于宏观审慎政策与关注房价的货币政策搭配,福利损失也更低。在没有宏观审慎政策的情况下,关注房价的货币政策与传统泰勒规则相比也能够显著降低福利损失,但在面对住房偏好冲击时其实现通胀稳定、产出稳定、金融稳定目标的程度较低。更多还原

【Abstract】 After the subprime mortgage crisis in 2008,China introduced macro-prudential supervision of the financial system.The "double pillar" regulation system of monetary policy and macro-prudential policy has taken initiall shape.Since the "double pillar" framework is still in the preliminary exploration stage,how to coordinate the monetary policy and the macro-prudential policy to achieve financial stability,price stability and economic growth has become a research-oriented issue.The experience of subprime mortgage crisis shows that credit expansion and real estate price fluctuation are the core factors explaining the financial crisis.Therefore,this paper uses real estate price fluctuation and housing credit fluctuation as the main observation variables of financial stability target,and takes the real estate market regulation as an example to study the coordination of monetary policy and macro-prudential policies.Past researches have suggested that the "double pillar" regulation is conducive to achieving the dual goals of price stability and financial stability.But in general,the study of the coordination of monetary policy and macro-prudential policy is still in its infancy.It is rare to put monetary policy and macro-prudential policy under a unified analytical framework with micro-foundational research.In addition,past researches have incorporated macro-prudential policies into the DSGE framework primarily through the introduction of "dynamic loan value ratios".This paper introduces another important tool of macro-prudential policy,the debt-to-income ratio,into the DSGE framework to make it more in line with China’s reality.China’s monetary policy and macro-prudential policy "double pillar" regulation framework is still in the preliminary exploration stage.From the characteristics of the relationship between monetary policy regulation and macro-prudential policy regulation and real estate price fluctuations,monetary policy regulation and macro-prudential policy regulation have a significant correlation with real estate prices.However,the volatility component of monetary policy generally has a significant correlation with the volatility component of real estate prices after 6-12 months,while the volatility component of macro-prudential policy has a significant correlation with the volatility component of real estate price about 2 months later.This paper builds a DSGE model that includes four sectors:household,business,monetary authority,and macro-prudential authority.The periodic analysis results of the model show that the model established in this paper is in line with the relevant characteristics of the actual economy.The simulation results show that,compared with a single monetary policy,the coordination of macro-prudential policy and monetary policy can greatly improve social welfare,but in the face of real estate preference shocks and real estate supply shocks,it will reduce the degree of stable output.In terms of specific coordination methods,the combination of macro-prudential policy and traditional Taylor’s monetary policy can achieve the goals of inflation stability,output stability and financial stability better than the combination of macro-prudential policy and monetary policy focusing on housing prices,and the welfare loss is also lower.In the absence of macro-prudential policy,monetary policy focusing on housing prices can also reduce welfare losses compared with the traditional Taylor rule,but in the face of housing preference shocks,the degree of achieving inflation stability,output stability and financial stability goals is lower than the traditional Taylor rule.更多还原