兼顾金融稳定的最优货币政策规则及其在中国的检验  被引量:8

Optimal Monetary Policy Rule with the Target of Financial Stability and Its Test in China

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作  者:邓创[1] 徐曼[2] 许志伟[3] Chuang Deng;Man Xu;Zhiwei Xu(Center for Quantitative Economics,Jilin University;Business School,Jilin University;Antai College of Economics&Management,Shanghai Jiao Tong University)

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 [3]上海交通大学安泰经济与管理学院

出  处:《经济学报》2021年第3期34-66,共33页China Journal of Economics

基  金:国家自然科学基金面上项目“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”(批准号: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”(批准号:17JZD016);吉林省社科基金重点项目“吉林省维护金融稳定与推动经济高质量发展的平衡路径与对策研究”(批准号:2020A15);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”(批准号:2019FRLX12)的资助。

摘  要:本文运用带有时变参数的因子扩展向量自回归模型,以多维金融指标体系为基础构建中国动态金融形势指数,作为金融波动的衡量依据并将其纳入货币政策调控的目标体系,构建包含内生金融冲击的新凯恩斯模型解析货币政策对经济与金融波动的最优反应机理,并在此基础上进一步实证检验引入金融稳定目标的最优货币政策规则在不同阶段的适用性差异。研究结果表明:兼顾金融和经济双重稳定的最优货币政策规则能够有效降低传统货币政策对价格和产出波动作出逆风向反应时可能出现的偏误;与金融危机爆发之前相比,危机后中国货币政策对价格波动调控的有效性得到提升,对经济波动的反应依然稳定,对金融形势变化的反应则显著提高。这些研究为新时代进一步提高货币政策的科学性和有效性、实现宏观经济与金融体系的双重稳定提供了有益的理论依据和政策启示。Based on multidimensional financial index system, this paper employed factor augmented vector autoregressive models with time-varying parameters to calculate the dynamic financial conditions index in China, which is used to measure the fluctuation of financial conditions and included in the target system of monetary policy. On the basis of constructing the New Keynesian model with endogenous financial shock to analyze the optimal response mechanism of monetary policy to economic and financial fluctuations, we empirically tested the adaptability of the optimal monetary policy rules containing the target of financial stability in China. The results show that, the optimal monetary policy rules that take into account the dual stability of finance and economy can effectively reduce the bias that may occur when traditional monetary policy reacts to price and output fluctuations;compared to the period before the financial crisis, the effectiveness of China’s monetary policy in regulating price fluctuations has been enhanced, the response to economic fluctuations has remained stable, and the response to changes in the financial situation has increased significantly during the post-crisis era. These studies provide a useful empirical basis and policy implications for the further improvement of monetary policies’ scientificity and effectiveness and the realization of both macroeconomic and financial stability.

关 键 词:金融形势指数 货币政策规则 金融稳定 通货膨胀 TVP-FAVAR模型 

分 类 号:F822.0[经济管理—财政学] F832

 

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