央行数字货币与货币政策效应——基于开放经济体的DSGE模型  

Central Bank Digital Currency and Monetary Policy Effect——DSGE Model Based on Open Economy

作　　者：花秋玲[1] 史永东[2] 邹新琦 邱泽鹏 Hua Qiuling;Shi Yongdong;Zou Xinqi;Qiu Zepeng(School of Economics,Jilin University;School of Financial Technology,Dongbei University of Finance and Economics)

机构地区：[1]吉林大学经济学院 [2]东北财经大学金融科技学院

出　　处：《国际金融研究》2023年第7期37-49,共13页Studies of International Finance

基　　金：国家自然科学基金青年项目“基于分位数回归的期权定价问题”(11901233);吉林省科学技术厅项目“粗糙路径驱动的随机微方程在金融中的应用”(20200201262JC)资助。

摘　　要：基于金融加速器机制,本文构建了一个小型开放经济体的DSGE模型,尝试分析当发行比例逐渐增大时,数字人民币对货币政策效应的动态影响。实证结果表明:第一,数字人民币在短期内可以放大产出、消费以及通货膨胀对技术、利率和汇率冲击的反应,长期影响较小。第二,数字人民币发行比例的增加提升了央行的宏观调控力度和监管效率。在技术冲击下,短期内可以降低央行对商业银行的存款准备金需求,商业银行存款准备金成本下降,经营绩效提升,企业投融资环境得到改善,投资和企业净值增加。第三,数字人民币可以加强货币政策工具之间的联动机制。随着数字人民币发行比例的增加,在法定存款准备金率冲击下,短期内汇率和常备借贷便利反应幅度加大;在汇率冲击下,贷款利率和法定存款准备金率波动显著,短期联动效应较强。从长期来看,数字人民币的引入较为中性。本文的研究内容不仅证实了我国在数字人民币渐进式推进过程中采用“试点城市”模式的科学性,还为在开放经济体下深入研究数字人民币的推广应用提供了政策建议。Digital currency is a key field in the new round of international competition in the digital economy.It is of great significance to grasp the developmental opportunities presented by central bank's digital currency to enhance the international discourse power and international competitive advantage.This study aims to analyze the dynamic impact of e-CNY on various macroeconomic sectors and assess its influence on monetary policy effects within the framework of an open economy.This paper constructs a DSGE model of small open economy and introduces a deposit reserve penalty function and financial accelerator mechanism within the model.It examines the dynamic impact of technology,deposit reserve ratio and exchange rate on various sectors of macroeconomy following the expansion of e-CNY issuance ratio.Additionally,it analyzes the influence of e-CNY on the linkage mechanism of monetary policy instruments.The findings are as follows.Firsty,in the short term,e-CNY can amplify the response of output,consumption and inflation to technology,interest rate and exchange rate shocks.However,the long-term impact is relatively small.Secondly,the increase in the proportion of e-CNY issuance has enhanced the central bank's macro-control efforts and regulatory efficiency.Under the impact of technology,the central bank's demand for commercial banks'deposit reserves is reduced in the short term,leading to a decrease in the cost of commercial banks'deposit reserves.This,in turn,improves business performance,optimizes the investment and financing environment,and increases investment and corporate net worth.Thirdly,e-CNY can strengthen the linkage mechanism between monetary policy instruments.With the increase of the proportion of e-CNY issuance,the exchange rate and standing lending facility fluctuate significantly in the short term under the impact of the statutory deposit reserve ratio.This enhances the linkage effect of various monetary policy tools.Additionally,under the impact of exchange rate,loan interest rate and legal deposit r

关 键 词：数字人民币 货币政策 金融加速器 DSGE模型 

分 类 号：F822[经济管理—财政学]