欧洲央行：疫情期间的欧元区金融一体化

欧洲央行：疫情期间的欧元区金融一体化(2020.11.26) .zhubiaoti {font-family: 黑体;font-size:18pt;line-height:23pt; text-align:center;FONT-weight:800;color:black} .fubiaoti {font-family: 黑体;font-size:14pt;line-height:20pt; text-align:center;FONT-weight:700;color:black} .zhongwen{font-size:12pt;line-height:180%} .yingwen{font-size:13pt;line-height:150%} .tiyao{font-family: 楷体_GB2312;font-size:14pt;line-height:150%} 　　提要：新冠疫情的爆发令欧元区金融市场陷入分裂状态。在欧盟机构和欧元区各国迅速推出应对政策后，到9月中旬，欧元区金融一体化程度已基本恢复至新冠危机爆发前的水平。然而，这种改善态势依然脆弱，而且有赖于财政、货币和审慎政策继续提供空前力度的支持。 　　（外脑精华·北京）本文讨论新冠危机期间欧元区金融分裂状况，以及欧元区为应对其影响而制定的政策。我们通过关注一系列高频指标的动态来监测金融一体化发展态势。这些指标的动态与现行经济和政治事件发展态势，以及欧洲国家和欧盟的货币、财政和金融稳定政策方面的主要政策反应息息相关。在经过了最初阶段的严重分裂后，欧元区金融一体化程度在9月中旬已基本恢复至新冠危机爆发前的水平，但并非所有指标都已回升。不过，这种回升态势依然脆弱，而且有赖于财政、货币和审慎政策提供的空前力度的支持。 　　疫情造成空前冲击 　　新冠疫情造成了空前规模的冲击，并且导致经济急剧下滑。新冠疫情自今年1月开始在包括欧洲多数地区的全球各地蔓延。1月30日，世界卫生组织宣布新冠疫情为国际关注的突发公共卫生事件，并于3月11日将新冠疫情的影响范围上调至为大流行级别。随着需要采取封锁等全面遏制措施来抗疫已势在必行，欧元区经济活动开始以空前规模和速度陷入衰退。 　　新冠疫情是一起常见卫生紧急事件，但对欧元区各经济体的影响截然不同。新冠疫情对供应和需求均造成了冲击。供应受限于企业关停和工人居家隔离。零售活动全面停摆，而且供应链中断，随后是对半成品和产成品的需求锐减。虽然造成所有国家造成这些冲击的原因相同，但各国宏观经济状况和金融环境的不同，以及公共卫生措施的严格程度和国内财政措施（例如延迟交税、提供贷款担保、暂停收缴社会费、提供出口担保、提供流动性援助和推行短时工作计划）对经济的支持力度的不同，使得各国经济遭受的影响截然不同。 　　新冠危机给实体经济和金融市场带来巨大压力，欧元区金融市场在最初出现严重分裂。在欧洲于今年1月24日首次发布关于出现新冠确诊病例的消息后的短短几天之内，欧洲金融系统压力综合指标开始飙升至接近2008年全球金融危机和2011～2012年欧元区主权债务危机期间的水平。在欧洲首次披露发现新冠确诊病例后的几周内，基于价格的欧洲金融一体化综合指标跌至与欧元启动后几个月时的水平。这一指标在今年2～4月期间的降幅堪比2008年全球金融危机和欧元区主权债务危机爆发时的降幅，而且今年3月份期间的降幅创下欧元启动以来该指标的历史第四大环比降幅。欧元区各国金融分裂状况堪忧。系统性压力与欧元区金融市场分裂（这是以往危机的特征）之间的正相关性再度显现。不过，新冠危机期间的一个显著特征是由于迅速做出了政策反应以及过去10年实施的金融支持和改革所创造的韧性使得欧洲金融一体化水平迅速回升。 　　新冠危机的迅速蔓延引发了对不同细分市场的金融分化情况进行高频监测的需求。自欧元发行以来，欧洲央行一直在监控欧元区金融一体化状况，因为分裂的金融市场阻碍了其货币政策在各成员国之间的统一顺畅传导。为在新冠危机期间更密切监测欧元区金融一体化状况，根据欧洲央行关于欧元区金融一体化和结构的报告及其统计附件中所列的一系列指标，我们开发了一套高频指标工具包。这些高频金融一体化指标是监测金融碎片化的有用工具，也可用于显示应对经济衰退的政策措施的成效。 　　欧洲的应对显现成效 　　欧元区各国和欧盟机构对危机做出的政策反应都具有决定性。这促使欧元区金融分裂程度在2020年9月中旬迅速收窄至新冠危机爆发的水平。欧洲央行迅速采取的货币政策和监管措施为缓和反通胀冲击、抵消金融分裂对其货币政策有效性的负面影响提供了第一道防护屏障。这些应对措施以通过《资产购买计划》和新推出的《紧急抗疫购债计划》扩大资产购买规模、推出条件十分优惠的银行贷款计划（有针对性的长期再融资业务）、推行监督措施和实施协调的流动性供应计划形式推出。欧元区各国的财政政策制定者也立即做出反应，即便是财力有限的国家，但各国财政计划的规模各不相同。 　　此外，欧元区各国已经认识到了共同应对危机的重要性，在危机期间欧洲的政策制定者们已制定了一系列泛欧洲支持措施，例如推出《紧急情况下降低失业风险救助计划》、由欧洲投资银行负责的一项贷款担保计划，以及由欧洲稳定机制提供一项新的信贷额度来构成三个安全保障体系，并且创立欧盟复苏基金和强化了2021～2027年度财政预算框架。这些政策以及过去10年进行的机构改革推动的金融一体化韧性的提升已经使得欧元区金融市场在新冠疫情之初严重分裂的状况基本得以救助。截至今年9月中旬，欧元区金融一体化程度已基本回升至新冠危机爆发前的水平。不过，这种明显回升态势依然脆弱，严重依赖政策的持续支持。 　　新冠危机的四个阶段 　　总体而言，基于价格的欧元区金融一体化综合指标及其子指标的走势表明新冠危机分为四个阶段。第一阶段从2020年1月30日至3月25日，是新冠危机爆发和欧洲央行推出《紧急抗疫购债计划》的阶段。3月26日至5月7日是第二阶段，在此期间欧洲经济损失持续增长，而且泛欧洲财政对策开始出现不确定性。第三阶段从5月8日至7月21日，这期间欧元区各国逐步放宽封锁，而且关于制定欧洲共同财政应对措施和创建欧洲复苏基金的谈判取得进展。第四个阶段从7月22日至9月15日，这是在前几个阶段欧洲做出的货币和财政政策反应促使欧元区金融一体化程度回升的一个阶段。因篇幅原因，我们在本文中并未探讨国际环境以及全球其他央行的政策决定对稳定市场发挥的作用。 　　在此需要谨慎支出本文所进行的分析存在几个局限。首先，由于需要高频数据，本文仅是关注了基于价格的金融一体化措施。这些指标衡量的是不同国家和行业间资产价格的差异，而不是基于不同资产类别的跨境持有量的基于数量的衡量指标，通常观察频率较低。其次，我们的许多指标未能考量企业或国家风险等基本面因素。 　　同样，尤其是在处于危机情况下，金融市场走势可能受控于前瞻性预期，并对显示基本面变化的信息做出明显的过度反应：本文也没有考虑市场总体风险态度发生的这种变化。第三，因果关系或反事实分析超出了本文分析的范畴。因而，本文仅提供了新冠危机期间发生的事件的部分视角，要对欧元区金融系统金融一体化状况和结构发展做出更全面评估将需要进行进一步的分析。虽然存在这些局限性，本文对高频指标的分析为这一时期欧元区金融一体化的发展提供了有益的见解。 　　英文原文： European financial integration during the COVID-19 crisis 　　This article provides an overview of financial fragmentation during the coronavirus (COVID-19) crisis and the policies enacted to counter its effects. It does so through the lens of a set of high-frequency indicators for monitoring developments in financial integration. The readings from these indicators are then linked to unfolding economic and political events and to the main policy responses in monetary, fiscal and financial stability policy at the national and European levels. After initial sharp fragmentation, euro area financial integration broadly recovered to pre-crisis levels by mid-September, but not for all indicators. However, this recovery is still fragile and relies on an unprecedented amount of fiscal, monetary and prudential policy support. 　　The coronavirus (COVID-19) has created an unprecedented type of shock and has caused a sharp economic downturn. In January 2020 the coronavirus started to spread around the globe, including large parts of Europe. On 30 January the World Health Organisation declared COVID-19 to be a public health emergency of international concern and on 11 March upgraded the threat to pandemic status. As it became clear that extensive containment measures would be required to control the spread of the virus, including lockdowns, economic activity in the euro area began a downturn unprecedented in scale and speed. 　　The coronavirus is a common health emergency, but it has had differing effects across euro area economies. The pandemic caused shocks to both supply and demand. Supply was constrained by business closures and workers staying at home. The halting of retail activities and disruptions in supply chains were then accompanied by a plunge in the demand for intermediate and final goods.[1] While the cause of these shocks has been common to all countries, the size of the economic fallout has differed markedly across countries owing to differences in, among other things, initial macroeconomic and financial conditions, the stringency of public health measures and the strength of domestic fiscal measures to support the economy, for example tax deferrals, loan guarantees, social security payments suspension, export guarantees, liquidity assistance and short-term work schemes. 　　The coronavirus crisis put the real economy and financial markets under extraordinary stress, leading to an initial sharp fragmentation of euro area financial markets. Within days of the first reported case of coronavirus in Europe on 24 January 2020[2], the composite indicator of systemic stress (CISS) started surging towards levels close to those last seen during the global financial crisis (GFC) of 2008 and the euro area sovereign debt crisis (SDC) of 2011-12. Within weeks of the first reported cases, the price-based composite indicator of financial integration[3] fell towards levels similar to those observed in the months following the introduction of the euro. The drop between February and April 2020 was comparable to the declines it experienced at the start of the GFC of 2008 and the SDC, and the drop in March 2020 was the fourth-largest month-on-month drop in the level of this indicator since the launch of the euro. There were concerns about fragmentation among euro area countries.[4] A positive correlation between systemic stress and fragmentation in euro area financial markets – a characteristic of previous crises – reappeared. However, one remarkable feature of the COVID-19 crisis, documented in Section 2, has been the fast rebound of financial integration thanks to rapid policy responses and the resilience created by the financial backstops and reforms implemented in the last ten years. 　　The rapid unfolding of the COVID-19 crisis triggered the need for high-frequency monitoring of financial fragmentation developments across different market segments. The ECB has monitored the state of financial integration in the euro area since the launch of the euro[5] because fragmented financial markets impede the smooth and uniform transmission of its monetary policy across member countries. In order to monitor euro area financial integration at a higher frequency during the COVID-19 crisis, a toolkit of high-frequency indicators was developed based on the set of indicators presented in an ECB report on financial integration and structure in the euro area and its statistical annex. These high-frequency financial integration indicators are a useful tool for monitoring financial fragmentation and can also be used to illustrate the effects of policy actions in response to the economic downturn. 　　Euro area policy responses to the crisis were decisive at both the national and supranational levels. This contributed to a rapid reversal of financial fragmentation towards pre-crisis levels by mid-September 2020. The ECB’s prompt monetary policy and supervisory actions provided a first line of defence to soften the disinflationary shock and counteract the adverse effects of financial fragmentation on the effectiveness of its monetary policy. These responses have taken the form of additional asset purchases through the asset purchase programme (APP) and the new pandemic emergency purchase programme (PEPP), bank lending programmes at highly favourable conditions (targeted longer-term refinancing operations), supervisory measures and coordinated liquidity provision programmes. National fiscal policymakers also reacted immediately throughout the euro area, even in fiscally constrained countries, although the size of fiscal packages varied across countries. In addition, recognising the importance of a centralised crisis response, over the course of the crisis European policymakers have established a variety of pan-European support measures, such as the three safety nets – the temporary SURE scheme (Support to mitigate Unemployment Risks in an Emergency), a loan guarantee scheme by the European Investment Bank (EIB), a new credit line from the European Stability Mechanism (ESM) –, the Next Generation EU fund and the reinforcement of the 2021-2027 Multiannual Financial Framework (MFF). These policies, together with the higher degree of resilience in financial integration achieved through the institutional reforms of the last ten years, have helped to reverse much of the initial sharp fragmentation of financial markets. Financial integration has broadly returned to its pre-crisis levels as of mid-September. This apparent return to the situation before the COVID-19 outbreak, however, is fragile and relies heavily on continued policy support. 　　The price-based composite indicator of financial integration and its subcomponents suggest that the coronavirus crisis has, broadly speaking, unfolded in four phases. Phase 1, from 30 January to 25 March 2020, spanned the outbreak of the crisis and the announcement of the PEPP. Phase 2, from 26 March to 7 May, saw increasing economic damage and initial uncertainty regarding a pan-European fiscal response. Phase 3, from 8 May to 21 July, spanned the gradual relaxation of lockdowns and the progress made towards a common European fiscal response and the Next Generation EU decision. Phase 4, from 22 July to 15 September (the cut-off point for this analysis), was a period primarily of maintaining the re-integration achieved through the European monetary and fiscal policy responses during the previous phases. Section 3 concludes the article and provides a cautious outlook. For reasons of space, the international environment and the normalisation of market volatility following policy decisions by other central banks are not discussed here. 　　It is prudent to mention that the analyses carried out in this article have several limitations. First, owing to the need for high-frequency data, this article is solely focused on price-based measures of financial integration. These capture discrepancies in asset prices across countries and sectors, as opposed to quantity-based measures, which are based on cross-border holdings of different asset classes and usually have a lower frequency of observation. Second, many of our indicators do not control for fundamentals, including firm or country risks. Similarly, particularly in crisis situations, financial markets might act upon forward-looking expectations and significantly overreact to news signalling changes in fundamentals: such changes in general risk attitudes in markets are also not accounted for in this article. Third, the analysis of causal relationships, or counterfactuals, is beyond the scope of this article. Thus, the article offers only a partial perspective of the events which have unfolded during the coronavirus crisis; a more complete assessment of the state of financial integration and structural developments in the euro area financial system would require additional analysis. Despite these limitations, the analysis of the high-frequency indicators in this article provides useful insights into the development of euro area financial integration during this period. 来源：欧洲央行，作者：Stefano Borgioli，Carl-Wolfram Horn，Urszula Kochanska，Philippe Molitor，Francesco Paolo Mongelli \t