2023-06-22-IMF-宏观审慎政策与银行系统性风险_通胀目标是否重要_（英）_46页_3mb

Summary of "Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?"

Core Content

This IMF Working Paper investigates the relationship between macroprudential policy and bank systemic risk, with a focus on whether an inflation targeting (IT) regime enhances or dilutes the effectiveness of macroprudential instruments in achieving financial stability. The study uses bank-level data from 45 countries, including both advanced economies (AEs) and emerging market economies (EMEs), across different monetary and exchange rate regimes.

Main Hypothesis

The paper hypothesizes that the effectiveness of macroprudential tools in reducing bank systemic risk depends on the presence of an IT regime. It suggests that IT may reinforce the role of macroprudential policy by providing a credible and transparent framework, reducing uncertainty about economic policy and price levels. This, in turn, could enhance the ability of macroprudential instruments to mitigate financial stability risks.

Key Findings

• Complementarities Between Monetary and Macroprudential Policies: The study finds that macroprudential policies, particularly when tightened, are more effective in reducing bank systemic risk under inflation targeting regimes.
• Effectiveness of Macroprudential Tools: Tightening of most macroprudential tools—such as debt-service-to-income (DSTI) limits, loan-to-value (LTV) limits, and capital requirements—leads to a reduction in bank systemic risk, especially in IT countries.
• SRISK as a Systemic Risk Measure: The paper uses the SRISK (Systemic Risk) measure, which reflects the expected capital shortage of a bank during a crisis, as a proxy for systemic risk. It is more forward-looking and provides better early warning signals compared to previous measures like MES.
• Role of IT in Policy Effectiveness: The IT regime is found to enhance the effectiveness of macroprudential instruments by reducing uncertainty and increasing policy credibility. This supports the view that IT strengthens the role of macroprudential policy in maintaining financial stability.
• Interaction Effects: The study shows that the interaction between monetary policy and macroprudential policy can significantly affect SRISK. For example, tighter macroprudential policy may be more effective in IT countries due to the alignment of policy objectives and the reduced volatility of inflation and output.
• Robustness and Extensions: The paper includes robustness checks and extended models that account for variations in country-specific and global variables over time. It also uses a non-linear dynamic panel model with System GMM to address potential endogeneity and unobserved heterogeneity issues.

Methodology and Data

• Data Source: The study relies on the IMF's iMaPP (Integrated Macroprudential Policy Database), which includes monthly dummy-type indices for macroprudential policy tools across 134 countries from 1990 to 2018.
• Policy Instruments Analyzed: The paper examines 15 macroprudential policy instruments and 7 subcategories, including:
  • Demand-based Measures: DSTI, LTV
  • Capital Requirements: Capital, CCyB, Conservation, LVR
  • Loan-Supply-Based Measures: LCG, LoanR, LLP, LTD, LFC
  • Liquidity Requirements and Other Supply-Based Measures: Liquidity, RR, LFX, Tax
• Empirical Model: A cross-country dynamic panel model is used to estimate the impact of macroprudential policy on systemic risk. The model is extended to a pseudo non-linear form to capture the specific impact of IT on macroprudential effectiveness.

Conclusion

The paper concludes that inflation targeting regimes can enhance the effectiveness of macroprudential policies in reducing bank systemic risk. This is due to the increased credibility and transparency of IT, which helps stabilize expectations and reduce uncertainty. The study supports the idea that IT and macroprudential policies can complement each other in promoting financial stability, especially when they are aligned in their objectives and mechanisms.

Key Information

• Sample Size: 45 countries (including AEs and EMEs) with various monetary regimes.
• Time Period: January 1990 to December 2018.
• Policy Tools: 15 instruments and 7 subcategories, including DSTI, LTV, capital requirements, CCyB, and loan-supply-based measures.
• Systemic Risk Measure: SRISK, defined as the expected capital shortage during a crisis, is used to assess the impact of macroprudential policies.
• Methodology: Dynamic panel regression with System GMM is used to estimate the model and account for endogeneity and unobserved heterogeneity.
• Key Variables:
  • MSRISK: Annual series of SRISK measures.
  • MEC: Global and country-level macroeconomic variables.
  • BSC: Bank-specific characteristics that may influence SRISK.
  • IT: Dummy variable indicating whether a country follows an IT regime.
  • MPI: Composite macroprudential index capturing the tightening or loosening of macroprudential policies.

References to Key Studies

• Meuleman and Vander Vennet (2020): Used SRISK as a measure of systemic risk.
• Choi and Cook (2018): Found complementarities between macroprudential and monetary policies in IT countries.
• Garcia Revelo and Levieuge (2022): Highlighted the potential for conflicts between macroprudential and monetary policies and the importance of policy coordination.
• Brownlees and Engle (2017): Developed the SRISK measure.
• Acharya et al. (2017): Contributed to the development of SRISK.

Policy Implications

• The results suggest that inflation targeting can serve as a framework that enhances the effectiveness of macroprudential instruments.
• Policymakers should consider the institutional setup and policy credibility when designing macroprudential tools.
• Coordination between monetary and macroprudential policies is essential to avoid conflicts and enhance financial stability outcomes.