创新货币政策工具对资产价格的影响--来自MLF操作的经验证据  

The Impact of Innovative Monetary Policy Instruments on Asset Prices, Empirical Evidence from MLF Operations

作　　者：张克菲 任小勋 吴晗[3] 

机构地区：[1]复旦大学博士后流动站 [2]上海证券交易所博士后工作站,上海200120 [3]中国人民银行青岛市中心支行,山东青岛266071

出　　处：《证券市场导报》2018年第10期4-13,共10页Securities Market Herald

基　　金：中国博士后科学基金第63批面上资助项目“结构性货币政策工具、流动性与资产价格”(项目编号:2018M632152)

摘　　要：自2013年起,央行开始运用一系列创新货币政策工具调节流动性。本文以MLF为例,运用TVP-VAR模型考察了创新货币政策工具对股票和债券两类资产价格的影响。实证研究表明:(1)创新货币政策工具对股价的影响具有明显的时变性,但股票价格对创新货币政策工具冲击的响应逐渐趋弱;(2)MLF操作对中期债券收益率的冲击效应在当期影响程度最大;而MLF操作不但在当期会降低长期债券收益率,对滞后期的长期债券收益率也具有一定影响;期限利差对MLF操作冲击的响应在2016年上半年前后发生了较大变化,这或与2016年下半年开始央行"锁短放长"信号的增强有关;(3)创新货币工具对债券价格的影响要大于对股票价格的影响,债券价格对MLF操作的响应程度更大、响应时间更长。Since 2013, PBC has begun to use a series of innovative monetary policy instruments to regulate liquidity. Taking MLF as an example, this article establishes a TVP-VAR model to analyze the impact of innovative monetary policy instruments on the stock price and bond price. The empirical results show that：（1）the impact of innovative monetary policy instruments on stock price has obvious time-varying characteristic, but the response of stock price to the shock of innovative monetary policy instrument has gradually weakened. （2）the impact of MLF operations on the medium-term bonds yield has greater impact in the current period; MLF operations will not only reduce the long-term bond yield in the current period, but also have a certain impact on the long-term bond yield in the lag period; the response of term spread to MLF operations shocks underwent major changes around the first half of 2016, which may be related to the strengthening signal of PBC＇s ＂locking up short-term liquidity and releasing long-term liquidity＂ in the second half of 2016.（3）the impact of innovative currency instruments on bond price is greater than the impact on stock price. The response degree of bond price to MLF operations is greater, and the response time is longer.

关 键 词：创新货币政策工具 MLF 股票价格 债券价格 

分 类 号：F832.0[经济管理—金融学]