The Research Of Bank Heterogeneity,Systemic Risk And Macroeconomic Operation Based On The "Two-Pillar" Regulation

Stable finance can also provide financial support for the real economy and promote a sustainable and inclusive economic recovery;while a stable economic environment can alleviate financial vulnerabilities and promote healthy financial development.The realization of financial stability and economic stability requires the coordination and matching of monetary policy and macro prudential policy.The differences of different types of financial intermediaries in risk preference,behavior mode and monetary policy transmission determine that the "double pillar" regulation policy should also be targeted.Against the backdrop of the economic downturn brought by COVID-19,in order to strengthen the policy effectiveness of counter cyclical adjustment,take account of financial stability and economic recovery,policy departments actively explore different monetary policy and macro Prudential policy for different banks,but theoretical circles lack strong theoretical support.In order to deeply explore the differential impact of bank heterogeneity on systemic risk and macro-economy,grasp the trade-off between monetary policy and macro Prudential policy in maintaining financial stability and economic recovery,so as to design the best "double pillar" policy coordination and matching combination for different types of banks,from the perspective of bank heterogeneity,this paper brings financial intermediation,systemic risk and macro-economy into a unified analysis framework,and establishes a DSGE model including supervision,leverage and ownership heterogeneous banks.It not only enriches the research on the macroeconomic effects of heterogeneous financial intermediation in theory,but also is of great significance to improve the policy effectiveness of "two pillars" and enhance the resilience of economic recovery in reality.The content of this paper includes: Firstly,we define the division standard and connotation of bank heterogeneity,and describe the characteristics of different types of banks from the dimensions of asset liability characteristics,risk characteristics and monetary policy transmission characteristics.Then we select appropriate methods to quantitatively calculate China's systemic financial risk,and judge the evolution trend of systemic financial risk from the perspective of time and space.Combined with GDP growth rate,GDP fluctuation and three major demand growth rates,this paper analyzes the characteristics of China's macroeconomic operation from 2011 to 2020.Secondly,based on the relevant theories of financial intermediation and the reality of the development of China's banking industry,we bring bank heterogeneity,systemic risk and macroeconomic operation into a unified analysis framework.The DSGE model is constructed including household department,production department,heterogeneous bank department,capital goods manufacturer and central banking to systematically analyze the impact and mechanism of monetary policy impact,macro-prudential policy impact and bank behavior impact on various financial and economic variables in the scenario of heterogeneous banks.Thirdly,through theoretical analysis,research hypotheses are proposed and an econometric model is constructed to empirically test the impact of monetary policy and macro-prudential policy on systemic risk and macroeconomic operation.The cross term of bank heterogeneity,monetary policy and macro prudential policy is introduced into the model to investigate the impact of bank heterogeneity on systemic risk and macroeconomic operation.From the perspectives of bank profitability,asset price,leverage ratio and risk-taking level,this paper further explores the channels of bank heterogeneity affecting systemic risk and macro-economy.Fourthly,in order to analyze the dynamic impact of counter cyclical macro prudential policy on economy and finance,the "counter cyclical adjustment factor" is applied in the capital accumulation equation to construct the welfare loss function and welfare return function.Based on different types of shocks,the best coordination and combination of monetary policy and macro prudential policy are designed for different banks.The main conclusions of this paper are as follows: Firstly,it is found that state-owned banks,low-leverage banks,and traditional banks have lower asset-liability ratios and lower risk-taking levels.Slow economic growth and the widening gap between fiscal revenue and expenditure put pressure on the banking system,which are the main reasons for inducing systemic risks in the banking system.Secondly,the impulse response results show that under the impact of interest rate shocks,capital adequacy ratio shocks and banks' own behavior,it's different in the influence and mechanism of various banks on macroeconomic output and systemic financial risk.There is an obvious trade-off between monetary policy and macro-prudential policy between stimulating economic growth and maintaining financial stability.Thirdly,the leverage channel is the main channels of monetary policy affect bank systematic risk,risk bearing channel is macro-prudential regulation policies affect bank systemic risk main channel,Credit channel is the main channel that monetary policy affects economic output,and leverage channel is the main channel that macro-prudential policy affects economic output.However,there are obvious differences in the effect of various types of banks on the systemic risk of banks and the macro economy through their channels.With financial stability and economic stability as the goal,it is necessary to implement differentiated monetary policies and macro-prudential policies for different banks.Fourthly,it is believed that the fully coordinated model and the partially coordinated model are better than the uncoordinated model,and monetary policy and macro-prudential policy should take each other's policies into consideration when making their own decisions.Under different shocks,different "dual-pillar" combinations should be adopted for different banks.The innovations of this paper are as follows: Firstly,Introducing heterogeneous banking sectors into the framework of current macroeconomic models,from the perspectives of ownership,leverage ratio,and supervision intensity,we deeply explores the possible effects of different banks on systemic financial risks and macroeconomic variables in the face of monetary policy shocks,macroprudential shocks,and self-behavior shocks.The paper breaks the assumption of bank homogeneity and make the research closer to the reality of my country's banking industry.Secondly,Systemic risk is defined as the possibility that leveraged banks with minimum risk-taking will fall into trouble.By introducing Va R constraint in the banking sector and using the critical value of marginal bank default probability as the proxy variable of systemic risk,the DSGE model brings financial intermediation,systemic risk and macro-economy into a unified analysis framework.Thirdly,the DSGE theoretical model combined with statistics and econometrics is used to comprehensively judge the simulation results from multiple perspectives.The research methods are more scientific and the conclusions are more reliable.The fourth,based on the welfare loss function represented by the fluctuation of output and inflation,this paper constructs a welfare return function including systemic risk,and calculates the social welfare benefits generated by implementing different levels of "double pillar" regulation for different types of banks under different coordination modes and different shocks.