大宗商品不确定性冲击与货币政策选择:基于美元本位DSGE模型的分析  

Commodity Price Uncertainty Shocks and Open Monetary Policy:An Analysis Basing on Dollar Standard DSGE Model

作　　者：石峰 宋晓玲 荀雨菲 Shi Feng;Song Xiaoling;Xun Yufei

机构地区：[1]北京语言大学商学院

出　　处：《世界经济研究》2022年第8期43-55,M0003,共14页World Economy Studies

基　　金：国家社会科学基金项目“数字赋能下金融普惠性的比较测评与增强机理多维度研究”(项目编号:21BJL087);北京语言大学院级项目(中央高校基本科研业务费专项资金)(项目编号:20YJ050012)的资助。

摘　　要：随着对外依存度的不断上升,大宗商品价格的剧烈变化已是导致中国经济波动的重要因素,分析其传导机制和对货币政策的影响,成为政府部门需关注的重要问题。鉴于此,文章开展以下研究:(1)使用随机波动模型估计了大宗商品价格的水平冲击和不确定性冲击,结果表明大宗商品价格存在显著的不确定性(随机波动)特征;(2)构建包含美元本位和大宗商品不确定性冲击的开放经济模型,分析了央行的最优货币政策选择。研究发现,与不存在美元本位相比,央行应执行更为宽松的货币政策,进一步提高家庭的预防性储蓄和就业动机,增加总需求并稳定价格。而且,社会福利与人民币国际化程度正相关。因此,推出更多以人民币计价和结算为主要特征的大宗商品期货,能够有效降低大宗商品价格不确定性冲击对中国经济的溢出效应,改进社会福利。With the increasing foreign dependence of commodities,investigating the transmission mechanisms of their price changes has become an important issue to be addressed.Thus,we conducts the following studies:first,basing on a stochastic volatility model,we empirically estimate the level and uncertainty shocks to commodity prices,and find that commodity prices are characterized by significant uncertainty(stochastic volatility);second,we construct an open economy model featuring the dollar standard and commodity price uncertainty shocks,and analyze the optimal monetary policy choices of the central bank.In contrast to traditional open economy without dollar standard,the central bank should implement a more expansionary monetary policy to increase households’precautionary savings and employment incentives,so as to increase aggregate demand and stabilize prices compared to the absence of a dollar standard.When the monetory policy rules are fixed,the loss of social welfare is negatively correlated with the internationalization of the RMB.Therefore,the introduction of more commodity futures with RMB denomination and settlement can reduce the spillover effects of commodity price uncertainty shocks on our economy and improve social welfare.

关 键 词：美元本位 大宗商品价格波动 不确定性冲击 预防性储蓄 最优货币政策规则 

分 类 号：F724[经济管理—产业经济] F822.0