Research On The Effectiveness Of China’s Macro-prudential Policies

There is a policy gap between the traditional monetary policy framework and micro-prudential supervision to prevent systemic financial risks.In the post-crisis era,events such as financial product innovation,virtual economy’s capital accumulation and capital platform collapsed frequently occur,and systemic risk has become the most concerned issue for regulators and financial institutions at present,countries explored and established the macro-prudential policy framework to maintain financial stability.In November 2017,the financial stability and development committee of the state council was formally established with the purpose of strengthening the macro-prudential management of the central bank,and the improvement of the macro-prudential policy framework needs to refer to the policy’effect evaluation.At present,China’s practical exploration of macro-prudential policies is faster than theoretical research,and the effect of policy implementation remains to be tested.Based on the implementation of macro-prudential tools at the city level,taking the credit growth rate and the housing price rise rate as the early-warning indicators of financial stability,this paper studied the macro-prudential tools’ effects by taking the commonly used reserve ratio and the loan value ratio ceiling as macro-prudential tools variables using the quarterly data of 37 cities in the fourth quarter of 2005 to 2017 in the fourth quarter.The results show that:(1)When the explanatory variable is the credit growth rate,macro-prudential tools variable coefficients show the desired effect,and the credit growth rate variable is pro-cyclical;(2)when the rising rate of housing price is used as an early-warning indicator of financial stability,the macro-prudential tools has a good performance in the real estate sector to control housing price.This paper then explores whether there is an asymmetric effect of macro-prudential tools on economic and financial cycles.The results show that:(1)The HP filtering method is used to isolate fluctuations,and by this the paper set economic cycle indicators,interacting with the macro-prudential tools,the paper find that the effects of macro-prudential tools do not have a stable asymmetry in the economic cycle;(2)The credit/GDP gap is processed by HP filtering to obtain financial cycle variables.The estimation results show that the effect of macro-prudential tools is basically asymmetric in the financial cycle,and the results show that the effect of macro-prudential tools is superior to that in the financial boom period.Based on the empirical results,this paper holds that the implementation authorities of macro-prudential tools need to establish a reliable macro-prudential policy effect evaluation mechanism,and studies deeper on the mechanism of the tools’ effect、the time delay of its effect and the differences of the results due to different targets.To adopt appropriate instruments and their intensity at the stage of economic and financial development at all levels;Monetary policy has a certain effect of financial stability and should actively explore the coordination and cooperation between monetary policy and macro-prudential policy.