货币政策与流动性监管的协调机制研究——基于流动性传导的视角

After the financial crisis, the situation for macro liquidity control and micro liquidity supervision are both changed. On the one hand, because shadow banking and other financial innovations have changed the traditional theory of monetary policy, the macro liquidity control is difficult to achieve the expected objective. On the other hand, in monetary conduction the distortion behavior of the financial institutions which are facing new regulatory requirements of liquidity still need to be researched. Therefore, it is necessary to build an analysis framework based on liquidity conduction, which is used to analyze the coordination mechanism between monetary policy and financial supervision with financial innovation. This project will introduce the shadow banking liquidity into the definition and measurement of macro and micro liquidity, analyze the fresh rule of the interrelationship between macro and micro liquidity in the background of financial innovation, and build a new liquidity conduction mechanism based on the expansion and extension of the traditional monetary policy transmission channels and mechanism. Based on this framework, the project will analyze the function mechanism of financial institutions and the distortion effect of financial supervision in liquidity conduction, through verifying the heterogeneous behavior between traditional banking and shadow banking using dynamic panel data model, the substitution effect of the shadow banking alternative to traditional banks, and the asymmetric performance of the traditional banks facing the double constrains of capital and liquidity in the loose and tight liquidity environment using LSTVAR model. According to the liquidity conduction mechanism and the distortion effect of financial supervision, positive and negative feedback effects of macro liquidity control and micro liquidity regulation will be summarized. Based on these analyses, the project will give the conclusion of the policy advice for counter-cyclical adjustment of micro liquidity supervision and the coordination between the micro liquidity supervision and monetary policy.

金融危机后，由于影子银行等金融创新的影响，基于传统货币政策理论的宏观流动性调控难以达到预期效果；同时，微观金融机构面临新的流动性监管要求，其在货币传导中的行为变化也有待检验。因此，有必要构建以流动性传导为基础的分析框架，讨论金融创新下货币政策与金融监管的协调。本项目构建了考虑影子银行的宏观流动性和微观流动性定义及度量体系，分析宏观流动性与微观流动性相互影响的规律，对货币政策传导理论进行拓展，形成流动性传导的新框架。在该框架的基础上，分析金融机构在流动性传导中的作用机理，运用动态面板数据模型验证商业银行和影子银行在流动性传导中的异质性和替代性作用、LSTVAR模型验证商业银行在流动性宽松和紧缺时的非对称表现，分析金融监管对流动性传导的扭曲影响。基于传导机制及金融监管的影响分析，总结宏观流动性调控和微观流动性管理的正负反馈效应，为微观流动性监管的调整及其与货币政策的协调提供理论依据和政策建议。

近年来，基于货币政策的宏观流动性调控与基于金融监管的微观流动性监管的协调问题成为学界和业界共同关注的焦点。本研究对度量金融市场流动性的GARCH模型进行了拓展，将其有限方差的假设拓展至无限方差，并构建了纳入影子银行体系后的新的流动性度量体系，通过计算单家银行倒闭可能引发的期望倒闭银行数，刻画微观流动性和宏观流动性的传导机制；通过分析银行间市场、证券市场以及房地产市场之间的流动性风险传播路径，构建了中观流动性和宏观流动性的传导机制；并借助复杂性理论，通过网络分析方法对全球风险网络进行拓扑结构特征分析和聚类研究，探讨流动性风险和全球风险之间的传导关系；并通过面板VAR模型验证影子银行体系对流动性传导机制的冲击效应。基于上述流动性传导的研究，本研究通过逐步回归和中介效应分析的方法，分析影响制定金融政策的风险治理能力的影响因素，并对货币政策和金融监管的协调开展了实证研究，采用面板门限回归模型验证了流动性约束对货币政策的银行风险承担渠道的门限效应，构建了一个四部门动态随机一般均衡模型，验证金融监管约束会放大货币政策对投资、产出等宏观经济变量的影响。并在此基础上，引入两阶段超效率SBM模型，分析比较不同经营模式对流动性监管与货币政策协调的影响，结论表明在创新的轻型化经营模式下，传统金融监管的约束力明显减弱，而宽松货币政策对该减弱效应存在进一步强化。.截至2017年底，本项目取得的成果包括待出版专著1部，发表和接收论文15篇，其中2篇SCI、1篇SCIE、1篇SSCI、1篇自然管理科学部认定核心期刊、4篇CSSCI，后续还有4-5篇论文在投稿中。参与课题研究的人员中，共有10人次获得各项奖励，其中包括中科院院长特别奖1项、中科院优秀博士学位论文奖1项、国家奖学金1项等。本项目研究人员亲身参与风险管理政策的制定，部分研究成果在银行监管和货币政策的政策制定中被充分考虑。