宏观审慎政策工具的有效性——基于中国、中国香港和韩国数据的研究

摘要

随着对宏观审慎政策研究的深入,宏观审慎政策工具的有效性也得到越来越多的关注.大多数实证研究都表明宏观审慎工具能有效抑制信贷和资产价格的过快增长.本文使用中国、中国香港和韩国的数据用GMM方法估计动态面板数据模型,结果表明,紧缩性的宏观审慎政策工具对信贷增长和房地产价格上涨有抑制作用.本文也对宏观审慎政策工具分工具种类和作用方向进行了分析,结果表明对信贷增长作用最为显著的是存款准备金率工具及贷款价值比、债务收入比工具,扩张性的宏观审慎政策工具对信贷增长作用更显著;对房地产价格增长作用最为显著的是贷款价值比、债务收入比工具,紧缩性的宏观审慎政策工具对房地产价格增长作用更显著.%With macro-prudential policy studied more and more deeply,the effectiveness of marco-prudential policy instruments has attracted more and more attention.Most of the empirical literature indicates that macro-prudential instruments have been effective in curbing excessive credit and asset price growth.This paper builds an indicator to describe macro-prudential policy actions and builds dynamic panel data models based on the data of mainland China,Hong Kong SAR and South Korea.Result of the models proves that the tightening macro-prudential instruments have a restraining effect on credit growth and house price growth.This paper also analyzes the effectiveness of different types and different directions of macro-prudential policy instruments.The reserve requirement ratio,LTV and DTI are the most effective instruments on credit growth,and effect of tightening instruments is more significant on credit growth.The LTV and DTI are the most effective instruments on house price growth,and effect of expanding instruments is more significant on house price growth.