宏观审慎政策与下行风险：资本监管的体制依赖效应
Macroprudential Policy and Downside Risk: Regime-Dependent Effects of Capital Regulation
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中文总结 AI 辅助
本研究通过TBVAR模型分析匈牙利资本监管的体制依赖效应，发现压力时期释放资本可提振GDP增长，正常时期积累资本成本可忽略，为资本缓冲逆周期操作提供实证支持。
中文摘要 AI 辅助
本文采用阈值贝叶斯向量自回归模型（TBVAR）估算匈牙利资本监管的体制依赖宏观经济效应，以基于因子的系统性压力指数（FISS）作为阈值变量，该模型识别出符合偶尔紧约束文献的正常与压力两种体制。TBVAR为数据受限经济体提供了在险增长（Growth-at-Risk）之外的实用多元替代方案。广义脉冲响应显示出显著不对称性：压力时期释放监管资本会使GDP增长在峰值提升，效应持续约20个月；而正常体制下积累资本的成本在经济意义上可忽略不计。这些结果对不同的乔利斯基排序、样本期及信贷变量定义均具稳健性，为资本缓冲的逆周期操作提供了直接实证支持。
英文摘要
This paper employs a Threshold Bayesian Vector Autoregression (TBVAR) to estimate the regime-dependent macroeconomic effects of capital regulation in Hungary. Using the Factor-based Index of Systemic Stress (FISS) as the threshold variable, the model identifies normal and stress regimes consistent with the occasionally binding constraints literature. The TBVAR offers a practical multivariate alternative to Growth-at-Risk for data-constrained economies. Generalised impulse responses reveal a pronounced asymmetry: releasing regulatory capital during stress raises GDP growth at the peak, with effects persisting for roughly twenty months, while the cost of accumulating capital in the normal regime is economically negligible. These findings are robust to alternative Cholesky orderings, sample periods, and credit variable definitions, providing direct empirical support for the countercyclical operation of the capital buffer.
