金融风险传递与宏观审慎监管

Abstract:After the outbreak of the global financial crisis in 2008，having recognized that the important reason for the financial crisis lay on the fact that we failed to take effective measures from the macroeconomic and counter-cyclical perspective and ignored the cross-market spread of financial risks，which led a volatility to the financial markets and physical economy，the macro-prudential supervision received a high degree of attention. Since monetary policy and macro-prudential supervision are not completely independent from each other，policymakers need to master the transfer mechanism of financial risk under macro-prudential supervision and monetary policy，so as to carry out institutional arrangements effectively. Based on the characteristics of China’s financial market，this paper sets up reasonable assumptions，estimates the calibration parameters according to the existing literature and the actual data，constructs the model including the households，the enterprises，the banks and the generalized government，analyzes and compares the operating mechanism of financial risk transfer under different monetary policy and macro-prudential supervision. The results show that there is a clear macroeconomic effect on macro-prudential supervision. The counter-cyclical monetary policy is highly compatible with the macro-prudential supervision of the reverse cycle. There are different interaction effects between different monetary policy and macro-prudential supervision.

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