Signal identification, rule establishment and transmission path analysis of macroprudential policy

Signal identification, rule establishment and transmission path analysis of macroprudential policy


Author:LI Tianyu, FENG Ye, ZHANG, Yishan, Journal: Date:

The outbreak of the 2008 financial crisis proved that the safety and soundness of a single institution cannot guarantee the overall stability of the financial system, so the global regulatory framework with macro-prudentialism as the core has attracted much attention after the crisis. Based on the financial accelerator DSGE model, this paper builds a macroprudential policy framework from the perspectives of macroprudential monetary policy and macroprudential supervision, constructs an evaluation system with the welfare loss function as the core, identifies policy signal sources and then establishes policy rules, and finally discusses the transmission path, policy spillover and combination of the two types of policies through the simulated impulse response function, and obtains the following conclusions: First, The sources of financial stability factors of macroprudential monetary policy and macroprudential supervision are capital asset prices and credit increments, respectively. Second, it can be seen from the transmission path that macroprudential monetary policy has a wide range of impact and obvious spillover effects, but because it pays too much attention to financial stability objectives, it will affect the realization of traditional monetary policy objectives. Third, macro-prudential supervision takes financial stability as the only goal, and the policy transmission path is short and the spillover effect is small. Fourth, the establishment of a macro-prudential management framework with a zoning system is an effective way to solve the problems of policy spillover, target interference, and coordination and coordination.

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