The quake of the financial crisis has restored macroprudential policy as an apparent policy paradigm to minimize financial risk; however to a great extent, its impact depends on different externalities including country governance. Therefore, this paper aims to explore the joint impact of macroprudential policies (MPPs) and quality of country governance (CG) on financial risk (FR) for a panel of 124 countries covering the period 2000–2017. To attain this objective, we use directed acyclic graph to decide our model, construct indices for FR and governance by principal component analysis, investigate the impact of CG and MPPs at different quantiles of FR and explore their nonlinear relationship by panel threshold model. Besides, we also apply two-stage least squares (2SLS) and system GMM to address the endogeneity of the estimation. Our results show that both CG and MPPs are effective to minimize financial exposures and their effectiveness increases with higher FR, though after certain level, governance moderates the effect of MPPs on FR. Overall, we find MPPs are more effective in emerging economies and in normal time, whereas during crisis they are found less effective. Our findings are robust to alternative measures of risk and control variables and different econometric tests, which could be useful for policy makers to formulate MPPs, minimize financial risk and to maintain financial stability.

金融危机已经恢复了宏观审慎政策，这是一种将金融风险降至最低的明显政策范式。但是，其影响在很大程度上取决于包括国家治理在内的各种外部性。因此，本文旨在探讨涵盖2000-2017年期间的124个国家/地区小组的宏观审慎政策（MPP）和国家治理质量（CG）对金融风险（FR）的共同影响。为了达到这个目的，我们使用有向无环图来确定我们的模型，通过主成分分析来构造FR和治理的指标，研究CG和MPP在不同分位数下的影响，并通过面板阈值模型探索它们的非线性关系。此外，我们还应用了两阶段最小二乘（2SLS）和系统GMM来解决估计的内生性。我们的结果表明，CG和MPP都可以有效地减少财务风险，并且随着FR的增加，它们的有效性也会提高，尽管在一定水平后，治理会减轻MPP对FR的影响。总体而言，我们发现MPP在新兴经济体和正常时期更为有效，而在危机期间却没有那么有效。我们的发现对于风险和控制变量的替代度量以及不同的计量经济学测试是可靠的，这对于政策制定者制定MPP，最大程度地降低财务风险和维持财务稳定性很有用。而在危机期间，它们的效果较差。我们的发现对于风险和控制变量的替代度量以及不同的计量经济学测试是可靠的，这对于政策制定者制定MPP，最大程度地降低财务风险和维持财务稳定性很有用。而在危机期间，它们的效果较差。我们的发现对于风险和控制变量的替代度量以及不同的计量经济学测试是可靠的，这对于政策制定者制定MPP，最大程度地降低财务风险和维持财务稳定性很有用。