新常态下中国货币政策的宏观经济效应研究--基于不同中介目标的实证检验  

Macroeconomic Effects of China's Monetary Policy under the New Normal--Empirical Test Based on Different Intermediary Objectives

作　　者：吴昊[1] 姜思同 WU Hao;JIANG Sitong(Northeast Asian Studies Center,Jilin University,Changchun,Jilin 130012,China)

机构地区：[1]吉林大学东北亚研究院,吉林长春130012

出　　处：《财经理论与实践》2021年第6期27-36,共10页The Theory and Practice of Finance and Economics

基　　金：教育部人文社会科学重点研究基地“十三五”重大项目(16JJD790013)。

摘　　要：以中国2003-2020年的季度宏观经济数据为样本,通过构建时变系数向量自回归模型分析银行间同业拆借利率、M2、信贷规模、社会融资规模四项货币政策中介目标对实际产出、通货膨胀、房地产市场以及股票市场的动态影响效应。结果表明:同业拆借利率对产出的影响呈增强趋势,M2、信贷以及社会融资规模等数量型货币政策对产出的影响效应更显著;信贷与社会融资规模对通货膨胀的影响效应较显著;同业拆借利率对房地产市场的短期影响效应较大;M2、信贷与社会融资规模对房地产与股票市场的长期影响效应较大。This paper selects China's macroeconomic data from the first quarter of 2002 to the fourth quarter of 2020 as the research sample.By constructing a time-varying coefficient vector autoregressive model with stochastic volatility,this paper systematically analyzes the dynamic effects of four representative intermediary objectives of monetary policy,namely interbank offered rate,M2,credit scale and social financing scale,on real output,inflation,real estate market and stock market.The results show that:First,in terms of the effects of monetary policy on output effect,since the new normal interbank lending rates of actual output effect showed a trend of increase,but relatively M2,credit and social financing scale quantitative intermediary goal is still a bigger impact on output effect,in which social financing scale on the real economy the boost from the most significant,Moreover,the impact of monetary policy on output in the recession period is greater than that in the stable period and the expansion period.Second,in terms of the effect of monetary policy on inflation,credit scale and social financing scale have a stronger effect on inflation,which are ideal policy tools for central banks to control the inflation gap at the present stage.Third,in terms of the impact of monetary policy on asset prices,since 2012,the interbank offered rate has been more effective in regulating real estate prices,and its short-term impact on real estate prices is relatively large.It is sensitive and suitable as a short-term regulation tool for the real estate market.However,M2,credit scale and social financing scale have a large long-term effect on the real estate market and the stock market,and have the characteristics of robustness,so they are suitable for long-term regulation tools of the real estate market and the stock market.

关 键 词：货币政策 经济增长 通货膨胀 房地产价格 股票价格 动态计量模型 

分 类 号：F822.0[经济管理—财政学]