我国的资产价格调控与货币政策选择——基于有向无环图的分析  

Asset Price Regulation and Choice of Monetary Policy in China: An Analysis Based on Directed Acyclic Graph

作　　者：邓创[1,2] 徐曼[2] DENG Chuang;XU Man

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院

出　　处：《中央财经大学学报》2019年第12期41-49,共9页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(项目编号:71873056);教育部哲学社会科学研究重大课题攻关项目“资本市场的系统性风险测度与防范体系构建研究”(项目编号:17JZD016);中央高校青年学术领袖培育计划“宏观经济不确定性下中国的金融周期波动与系统性风险防范”(项目编号:2019FRLX12)

摘　　要：笔者采用基于有向无环图(DAG)的预测方差分解方法,在识别变量之间同期因果关系的基础上,系统探究了不同货币政策对股价、汇率和房价等资产价格的调控效果,并以此作为不同资产价格调控的货币政策选择依据。研究结果表明:股价、汇率和房价等资产价格波动均主要受到自身惯性的推动;货币政策对股票价格的调控效果十分有限,对汇率波动而言需要充分发挥不同货币政策的组合调控效果,而利率政策应是现阶段平抑房地产价格波动的主要货币政策;与货币供给和信贷相比,利率政策在资产价格调控方面具有独立性更强的优势。在积极推进货币政策调控框架由数量型为主向以价格型为主转变的同时,还应进一步疏通货币政策在资产价格调控中的传导渠道、针对不同资产价格的具体特点制定并采取结构性货币政策,并充分发挥不同货币政策的组合使用以及货币政策与宏观审慎政策的协调配合在平抑资产价格波动方面的积极作用。In this paper,We use the method of predictive variance decomposition based on DAG to indentify the causal relationship between variables in the same period,and systematically explore the regulatory effect of different monetary policies on asset prices such as stock price,exchange rate and house price,which is the basis for the choice of monetary policy for different asset prices.The results show that: asset price volatility such as stock prices, exchange rates and house prices are mainly driven by their own inertia;the effect of monetary policy on stock price is very limited, and the regulation of exchange rate requires the combination and coordination of different monetary policy, while interest rate should be the main monetary policy tool to control the fluctuation of real estate price;compared with other regulatory tools, interest rate has an independent advantage in asset price regulation.While actively promoting the transformation of the monetary policy regulatory framework from a quantitative-based one to a price-based one, we should further unblock the transmission channels of monetary policy in asset price regulation, adopt structural monetary policies according to the specific characteristics of asset prices, and give full play to the positive role of the combination of different monetary policy and the coordination of monetary policy and macroprudential policy in stabilizing asset price fluctuations.

关 键 词：资产价格 货币政策 预测方差分解 有向无环图 

分 类 号：F820[经济管理—财政学]