大国货币政策溢出效应与资产泡沫调控有效性研究  

Research on the Monetary Policy Spillover Effect and Asset Bubble Control Effectiveness of Big Country

作　　者：张炜[1] 王东一 Zhang Wei;Wang Dongyi

机构地区：[1]天津商业大学经济学院 [2]南开大学经济学院

出　　处：《世界经济研究》2022年第1期90-103,118,M0004,共16页World Economy Studies

基　　金：天津市哲学社会科学重点规划项目“货币政策传导机制有效性与调控方式转型”的资助(项目编号:TJLJ20-003)。

摘　　要：大国量化宽松货币政策造成国际流动性泛滥,大规模跨境资本流入中国催生资产泡沫。文章在梳理大国货币政策对中国金融市场溢出渠道的基础上,从理论层面建立跨国金融机构资金流动模型,分析不同渠道下的溢出效应,并通过反事实协方差矩阵估算溢出方式与程度。同时,进一步引入含有金融市场扭曲度的央行福利效用损失函数,分析在经济下行且资产价格受到非基本面驱动因素影响时货币政策的有效性问题,发现受市场预期与收益成本不确定性的影响,"逆风策略"往往表现出无效性,仅通过货币政策无法有效控制资产泡沫,需要宏观审慎监管政策来维持金融系统稳定。The quantitative easing monetary policy of major countries has caused the flood of international liquidity,and the large-scale cross-border capital inflow into China has spawned asset bubbles.On the basis of sorting out the spillover channels of the monetary policies of major countries on China′s financial market,this paper establishes a capital flow model of transnational financial institutions from the theoretical level,analyzes the spillover effects under different channels,and estimates the spillover mode and degree through the counterfactual covariance matrix.At the same time,the central bank′s welfare utility loss function with financial market distortion is further introduced to analyze the effectiveness of monetary policy when the economy is down and asset prices are affected by non fundamental drivers.We find that"headwind strategy"often shows ineffectiveness due to the uncertainty of market expectation and income cost.It is only through monetary policy that asset bubbles can not be effectively regulated,but macro prudential supervision is needed to achieve financial stability.

关 键 词：“逆风策略” 货币政策 溢出效应 资产泡沫调控 宏观审慎监管 

分 类 号：F821.0[经济管理—财政学] F832.5