股价范式转变、宏观经济动态与货币政策反应  

Regime-Switching Stock Price Process,Macroeconomic Dynamics and the Response of Monetary Policy

作　　者：马勇[1,2] 张书华 董怡辰 MA Yong;ZHANG Shuhua;DONG Yichen(School of Finance,Renmin University of China,Beijing,100872)

机构地区：[1]中国人民大学财政金融学院 [2]中国人民大学中国财政金融政策研究中心、国际货币研究所

出　　处：《金融评论》2020年第6期1-19,121,共20页Chinese Review of Financial Studies

基　　金：中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目成果(20XNA001)

摘　　要：本文通过构建包含范式转变的DSGE模型,对股价增速的结构性变化及其宏观经济效应进行了分析,并在此基础上讨论了货币政策是否应该对股价波动做出反应。研究结果表明,当政策当局发出一个关于股价调控的信号时,如果市场预期该信号可信,那么各主要的经济和金融变量都会在目标期内顺利达到均衡水平,反之,如果市场预期政策当局所发出的信号不可信,那么各主要经济和金融变量将长期偏离均衡水平。此外,本文还发现,在股价增速发生范式转变的过程中,货币政策对股价波动做出适度的反应能有效降低经济和金融波动,从而降低社会福利损失;但如果反应力度过大,则会破坏经济和金融稳定,同时导致社会福利损失大幅上升。In this paper,we analyze the structural change of stock price dynamics and its macroeconomic effects by building a regime-switching DSGE model and discuss whether monetary policy should respond to the change of stock price growth rate.The results show that when the policy authority releases a signal of stock price adjustment,main economic and financial variables will reach their equilibrium level over the target period if market participants expect the signal to be credible,and vice versa.In addition,we also find that during the regime-switching process of stock price growth,a proper response of monetary policy to the change of stock price growth would effectively reduce economic and financial fluctuations,resulting in a lower loss of social welfare.However,if monetary policy responds too much to the change of stock price growth,economic and financial stability will be undermined,leading to a much greater loss of social welfare.

关 键 词：范式转变 DSGE模型 结构性变化 货币政策 

分 类 号：E32[军事—军事理论] E44