金融体系风险对货币政策制定的影响研究——基于对产出跨期效应的分析  

An Analysis on the Impact of Financial Risks on Monetary Policy—— Based on the Analysis of the Intertemporal Effect of Output

作　　者：张莹[1] ZHANG Ying(School of Economics,Liaoning University,Shenyang Liaoning 110036,China)

机构地区：[1]辽宁大学经济学院

出　　处：《技术经济与管理研究》2020年第2期77-81,共5页Journal of Technical Economics & Management

摘　　要：2008年国际金融危机爆发后,金融风险的内生积聚成为货币理论和政策关注的焦点。文章对货币政策、金融风险和跨期产出之间的关联进行分析,并以2006年10月-2018年3月的中国数据为基础,构建SVAR模型对中国的现实进行实证检验,其中,采用时变的修正CRITIC赋权法合成时变权重金融压力指数来衡量中国的金融风险。研究表明,旨在稳定通货膨胀和短期产出的货币政策可能导致对日益严重的金融风险的长久忍耐,造成金融体系信息不对称程度的加深和不确定性的上升,从而为未来的产出稳定埋下祸根。也就是说,金融体系风险的内生积聚导致货币政策对产出稳定的效应不仅仅是当期的,还是跨期的。对此,文章提出基于短期目标的货币政策不足以维持长期产出稳定,货币当局需要考虑金融风险的内生积聚,将跨期产出稳定纳入货币政策框架。The global financial crisis of 2008 has made the endogenous accumulation of financial risks become a focal point of monetary theory and policy.In this paper,we investigate how monetary policy,financial risks and intertemporal outputs interlinked,and then construct the SVAR model with the data of China from October 2006 to March 2018 to provide empirical evidence.Among which based on the method of CRITIC,we build China‘s time-varying financial stress index to measure financial risks.The results show that monetary policy,aimed at stabilizing inflation and short-term output,may lead to long-term tolerance with increasingly serious financial risks,to result in a deepening of the financial system’s information asymmetry and an increase in uncertainty,thus made future output worsen.In other words,the endogenous accumulation of financial risks leads to the effect of monetary policy on output not only currently but also intertemporally.In this regard,the paper proposes that the monetary policy,based on short-term goals,is not enough to maintain long-term output stability.The monetary authorities need to consider the endogenous accumulation of financial risks and introduce the intertemporal output stability into the monetary policy framework.

关 键 词：货币政策 金融风险 跨期产出 金融压力指数 时变权重 

分 类 号：F832.0[经济管理—金融学]