Research On The Coordination Of Monetary Policy And Macro-prudential Policy

After the subprime mortgage crisis in 2008,China introduced macro-prudential supervision of the financial system.The "double pillar" regulation system of monetary policy and macro-prudential policy has taken initiall shape.Since the "double pillar" framework is still in the preliminary exploration stage,how to coordinate the monetary policy and the macro-prudential policy to achieve financial stability,price stability and economic growth has become a research-oriented issue.The experience of subprime mortgage crisis shows that credit expansion and real estate price fluctuation are the core factors explaining the financial crisis.Therefore,this paper uses real estate price fluctuation and housing credit fluctuation as the main observation variables of financial stability target,and takes the real estate market regulation as an example to study the coordination of monetary policy and macro-prudential policies.Past researches have suggested that the "double pillar" regulation is conducive to achieving the dual goals of price stability and financial stability.But in general,the study of the coordination of monetary policy and macro-prudential policy is still in its infancy.It is rare to put monetary policy and macro-prudential policy under a unified analytical framework with micro-foundational research.In addition,past researches have incorporated macro-prudential policies into the DSGE framework primarily through the introduction of "dynamic loan value ratios".This paper introduces another important tool of macro-prudential policy,the debt-to-income ratio,into the DSGE framework to make it more in line with China's reality.China's monetary policy and macro-prudential policy "double pillar" regulation framework is still in the preliminary exploration stage.From the characteristics of the relationship between monetary policy regulation and macro-prudential policy regulation and real estate price fluctuations,monetary policy regulation and macro-prudential policy regulation have a significant correlation with real estate prices.However,the volatility component of monetary policy generally has a significant correlation with the volatility component of real estate prices after 6-12 months,while the volatility component of macro-prudential policy has a significant correlation with the volatility component of real estate price about 2 months later.This paper builds a DSGE model that includes four sectors:household,business,monetary authority,and macro-prudential authority.The periodic analysis results of the model show that the model established in this paper is in line with the relevant characteristics of the actual economy.The simulation results show that,compared with a single monetary policy,the coordination of macro-prudential policy and monetary policy can greatly improve social welfare,but in the face of real estate preference shocks and real estate supply shocks,it will reduce the degree of stable output.In terms of specific coordination methods,the combination of macro-prudential policy and traditional Taylor's monetary policy can achieve the goals of inflation stability,output stability and financial stability better than the combination of macro-prudential policy and monetary policy focusing on housing prices,and the welfare loss is also lower.In the absence of macro-prudential policy,monetary policy focusing on housing prices can also reduce welfare losses compared with the traditional Taylor rule,but in the face of housing preference shocks,the degree of achieving inflation stability,output stability and financial stability goals is lower than the traditional Taylor rule.