货币政策、时变预期与融资成本  

Monetary Policy,Time-varying Expectation and Finance Cost

作　　者：张勇[1] 涂雪梅 周浩[3] 

机构地区：[1]华南师范大学经济管理学院 [2]中国移动通信集团终端有限公司广东分公司财务部 [3]中国人民银行合肥中心支行

出　　处：《统计研究》2015年第5期32-39,共8页Statistical Research

基　　金：教育部长江学者和创新团队发展计划资助项目“经济转型背景下稳定物价的货币政策”(IRT13020);国家自然科学基金项目“中国金融压力、宏观经济波动与最优货币政策规则研究”(71473090);中国博士后基金面上项目“货币政策冲击、银行信贷资金行业配置与宏观审慎管理”(2012M521615)的资助

摘　　要：本文在货币当局与市场主体存在信息不对称条件下,探讨了货币当局实施未预期的宽松性货币政策时,市场主体预期时变性在这一政策行动影响信贷市场融资成本过程中的机制。首先,采用外部融资溢价度量融资成本,提出在经济周期的不同阶段,未预期的宽松性货币政策通过作用于市场主体预期的时变性特征,进而影响外部融资溢价的非线性效应假说,然后,建立包含货币政策变量的马尔科夫区制转换信贷利差模型和市场主体预期形成模型进行检验。研究显示,未预期的宽松性货币政策会暴露出经济不良的私有信息,从而使市场主体对经济前景形成悲观的预期。而且,在经济衰退阶段,政策行动促使市场主体预期恶化的影响效应较小,会较大幅度地降低外部融资溢价;在经济扩张阶段,政策行动促使市场主体预期恶化的影响效应将会增大,进而较小幅度地降低外部融资溢价,这说明,市场主体预期形成方式的时变性,影响到未预期宽松性货币政策降低信贷市场融资成本的力度。Under the condition of asymmetric information between of central bank and market participant, the paper explores the role of time-varying expectation in the influence of unexpected easy policy on finance cost. First, using the borrower＇s external finance premium to depict finance cost in credit market, the nonlinear effect hypothesis is proposed that easy policy influences the external finance premium with the different stages of the economic cycle via time-varying effect of expectation formation. Second, the markov switching regime credit spread model including monetary policy variable and the expectation formation model is established. The result shows that, the easy policy exposes private information about bad economy so that the market participants formulate a gloomy economic outlook. And also, the effect of deterioration of market participant expectation is smaller, the reduction of external finance premium is greater in economic recession phase. Otherwise, the effect is greater, the reduction of external finance premium is smaller in economic expansion phase. This means that time-varying effect of expectation formation interferes with the mechanism of reduction of finance cost.

关 键 词：不对称信息 未预期宽松性货币政策 预期时变性 外部融资溢价 

分 类 号：C812[社会学—统计学]