Abstract: With China's capital account liberalization as the background, this paper constructs a DSGE model with a financial non-linear amplification mechanism to quantitatively study the three types of capital control taxes based on macro-prudential supervision to reduce financial risks and increase social welfare under the impact of information shocks and global liquidity mechanism conversion shocks. Research shows that with the opening of the capital account, the optimal capital control tax has the best effect on eliminating pecuniary externalities and increasing social welfare, but from the perspective of the implementability of policy tools, the capital control tax based on the Taylor rule isthe more practical second-best choice.Althoughit is easier to implement the fixed-rate capital control taxes, high tax rates tend to have a negative effect on social welfare. This paper expands the understanding of financial stability caused by cross-border capital flows due to external shocks, and clarifies the impact of macro-prudential capital control tools on financial stability, providing a theoretical basis for China's capital account liberalization and macro-prudential supervision policy implementation.

Key words: Macroprudential Supervision, Pecuniary Externalities, Capital Flows

摘要： 本文以中国金融开放为背景,构建具有金融非线性放大机制的DSGE模型,定量研究在信息冲击和全球流动性机制转换冲击下,基于宏观审慎监管的三种资本管制税对于降低金融风险和增加社会福利的作用。研究表明,在金融开放下,最优宏观审慎资本管制税对于消除货币外部性和增加社会福利具有最优效果,但从政策工具的可实施性来看,基于泰勒规则的资本管制税是更为实用的次优选择,而固定税率的资本管制税虽然易于实施,但高税率会对社会福利产生负作用。本文拓展了在外部冲击下,跨境资本流动所致货币外部性对于金融稳定性的理解,厘清了宏观审慎资本管制工具对于金融稳定性的影响机制,为中国金融开放和宏观审慎监管政策制定和实施提供了理论依据。

关键词: 宏观审慎监管, 货币外部性, 跨境资本流动