资产价格调控的货币政策工具选择——基于MS-FAVAR模型  

On the Choice of Monetary Policy Tools for Regulating Asset Prices:Based on MS- FAVAR Model

作　　者：肖强[1] 

机构地区：[1]兰州商学院甘肃经济发展数量分析研究中心,兰州730020

出　　处：《中央财经大学学报》2014年第7期23-30,共8页Journal of Central University of Finance & Economics

基　　金：兰州商学院科研项目(LZ201306)

摘　　要：笔者构建了包含货币政策工具、资产价格和共同因子的马尔可夫体制转移的因子扩展的向量自回归(MS-FAVAR)模型。并运用广义脉冲响应函数研究了不同货币政策工具对资产价格冲击的非对称性动态特征。实证分析表明,货币政策工具对资本价格影响显著,需要将资本价格纳入到货币政策中。不同的货币政策工具对资本价格的影响不同,而且随着经济所处状态的不同也会存在显著差异,这为货币当局根据不同的经济环境选择恰当的货币政策工具调控资本价格提供了科学依据。This paper constructs MS - FAVAR model that contains of monetary policy tools, asset prices, and common factors. Through the generalized impulse response function, analyzing response of asset prices to monetary policy tools. Empirical analysis shows that the monetary policy tools have significant effects on asset price, need to include asset prices in monetary policy; influence of different monetary policy tools of asset price is different, and as the state of the economy in different significant differences exists. Providing a scientific basis for the monetary authorities to choose the appropriate monetary policy tools to regulate asset prices.

关 键 词：货币政策工具 房地产价格 股票价格 MS—FAVAR 

分 类 号：F831.0[经济管理—金融学]