CAJ | 학술논문

从宏观审慎监测的视角出发，本文采用主成分分析法拟合了宏观金融稳定指数，并使用STR模型对样本期间内货币政策对金融稳定影响机制的迁移性进行了检验。研究发现，在样本期间内货币政策对金融稳定的影响机制发生了结构性迁移，结构迁移时段恰好为美国次贷危机爆发期间；货币政策与金融稳定指数间具有显著的正相关关系，但在国际金融危机前后呈现出明显的非对称特性；相比于国际金融危机之前，宏观金融稳定指数在危机过后对货币政策的反应更为敏感。
종굉관심신감측적시각출발，본문채용주성분분석법의합료굉관금융은정지수，병사용STR모형대양본기간내화폐정책대금융은정영향궤제적천이성진행료검험。연구발현，재양본기간내화폐정책대금융은정적영향궤제발생료결구성천이，결구천이시단흡호위미국차대위궤폭발기간；화폐정책여금융은정지수간구유현저적정상관관계，단재국제금융위궤전후정현출명현적비대칭특성；상비우국제금융위궤지전，굉관금융은정지수재위궤과후대화폐정책적반응경위민감。
The research fits a macro-financial-stability index using PCA method from the angle of macro -prudential regulation and then makes a migration test of influence mechanism of monetary policy on financial stability by STR mod -el.We come to several conclusions through the study：the influence mechanism of monetary policy on financial stability has structurally changed within the period of subprime crisis; there is a prominent positive correlation relationship be-tween monetary policy and macro -financial-stability index, but it appears obviously unsymmetrical before and after fi-nancial crisis;after financial crisis , the reaction of financial stability index to monetary policy is more sensitive .