摘要
2008年全球金融危机以后,许多国家构建了宏观审慎政策框架,逆周期性调节本国信贷市场与跨境资本流动。本文研究在美国货币政策影响下各国使用宏观审慎政策对跨境债券基金净资本流入的溢出效应。结果发现,当美国实施宽松货币政策时,各国收紧宏观审慎政策会导致跨境债券基金净资本流入增加,削弱宏观审慎政策的有效性。进一步研究表明,实施严格固定汇率制的国家会丧失货币政策独立性,收紧宏观审慎政策将带来显著的溢出效应;美国货币政策具有非对称性影响,宽松的美国货币政策相对紧缩的美国货币政策影响更为显著;该溢出效应在国别层面存在异质性,一国经济增速越低、政策利率水平越低、金融发展水平越低、汇率浮动弹性越低、政治越稳定,收紧宏观审慎政策对跨境债券基金净资本流入的影响越强。
After the financial crisis,many countries have established a macroprudential policy framework to regulate their domestic credit markets and cross-border capital flows in a counter-cyclical way.This paper uses monthly EPFR data to study the spillover effect of using macroprudential policies on net capital inflows of cross-border bond funds under the influence of US monetary policy.The results show that in face of the positive impact of US monetary policy,tightening macroprudential policies will lead to an increase in net capital inflows of cross-border bond funds and weaken the effectiveness of macroprudential policies.Further research shows that countries with strict fixed exchange rate system will lose their independence in monetary policy,while tightening macroprudential policies will bring about significant spillover effects.The impact of US monetary policy shocks is asymmetric,with looser US monetary policy having more significant impact than tighter US monetary policy.The spillover effect is heterogeneous at the country level.The spillover effect of macroprudential policy is more significant in countries with lower GDP growth,lower policy rate,lower level of financial development,more exchange rate controls and higher political stability.The financial system of emerging economies is relatively fragile.Policymakers should pay sufficient attention to the crossborder spillover effects of macroprudential policies,and coordinate the use of capital flow management tools,monetary policy and other policy tools when necessary.
作者
谭小芬
李兴申
Tan Xiaofen;Li Xingshen(School of Finance,Central University of Finance and Economics)
出处
《国际金融研究》
CSSCI
北大核心
2021年第8期3-12,共10页
Studies of International Finance
基金
国家自然科学基金应急管理项目“汇率市场变化、跨境资本流动与金融风险防范”(71850005)
国家自然科学基金青年项目“资本管制、宏观审慎监管与国际资本流动管理——基于双重金融市场不完备性视角”(71603304)
中央财经大学研究生科研创新基金项目(20192Y005)资助。
关键词
宏观审慎政策
跨境债券基金净资本流入
美国货币政策
溢出效应
Macroprudential Policies
Net Capital Inflows of Cross-Border Bond Funds
US Monetary Policy
Spillover Effect
