股价波动、货币政策规则与宏观经济波动--基于多部门NK-DSGE模型的研究  

Stock Price Volatility,Monetary Policy and Macroeconomic Fluctuations:Based on NK-DSGE Model

作　　者：高小红[1] 苏玮[1] 

机构地区：[1]武汉大学经济与管理学院,430072

出　　处：《经济评论》2017年第2期76-85,99,共11页Economic Review

摘　　要：股价波动会对实体经济产生重要影响。本文在多部门新凯恩斯动态随机一般均衡模型的分析框架下,采用贝叶斯估计对包含股价缺口的无约束模型和不包含股价缺口的受约束模型进行比较研究,发现无约束模型显著占优于受约束模型,说明我国中央银行在制定货币政策时有必要考虑股票价格波动因素。对无约束模型进行脉冲-响应分析,结果表明股价冲击对经济的影响比货币政策冲击对经济的影响更大。从政策分析的角度,中央银行考虑股价波动的货币政策可以有效降低冲击造成经济偏离均衡增长路径的幅度。Stock price volatility has an important effect on real economy.This paper compares the restrained model with stock price gap and the unrestrained model without stock price gap, by introducing them into NK- DSGE models. Result of Bayesian model comparison shows that the unrestrained model is significantly better than restrained one, which means the monetary policy made by central bank should respond to stock price volatility. We find that the stock price shock has bigger effect than monetary policy shock on economy by using impulse response analysis. So, from the angle of policy analysis, the fluctuation range of economic varibles is effectively reduced under monetary policy with stock price.

关 键 词：股价波动 股价冲击 货币政策 新凯恩斯动态随机一般均衡模型 

分 类 号：F832.51[经济管理—金融学] F822.0F124.8