开放经济动态随机一般均衡模型下最优货币政策和货币状况指数研究——基于1992—2022年中国数据的理论和实证分析  

The Research on Optimal Monetary Policy and Monetary Conditions Index under Open Economy Dynamic Stochastic General Equilibrium Model:Theoretical and Empirical Analysis Based on 1992-2022's Chinese Data

作　　者：陆前进[1] 武磊 LU Qian-jin;WU Lei

机构地区：[1]复旦大学经济学院、复旦大学货币金融研究中心 [2]复旦大学经济学院

出　　处：《中央财经大学学报》2024年第5期35-52,共18页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金项目“人民币国际化与货币政策的跨国溢出效应研究”(项目编号:23BJY122)。

摘　　要：本文构建开放经济下的新凯恩斯动态随机一般均衡模型,模拟显示在外部冲击下,利率、汇率和最终目标高度相关。以理论模型为基础对最优货币政策进行探究,发现其政策权重受消费者、生产者和中央银行的行为等模型参数的影响。进一步构建货币状况指数(MCI),其权重不仅取决于商品市场、货币市场和利率平价参数等的变化,还依赖于最优货币政策参数的变化。根据1992—2022年数据进行实证研究发现,最优货币政策参数为1.1823,意味着我国央行的货币政策是逆周期操作的,且赋予经济增长以更大的权重;估计出MCI的权重为0.7867,意味着实际利率上升1%相当于实际汇率下降0.79%,实际利率变动的影响弱于实际汇率。最后本文研究表明货币状况指数可以作为宏观经济目标变动的先行指标。This paper constructs a New Keynesian Dynamic Stochastic General Equilibrium model in an open economy and simulation results show that interest rates and exchange rates are highly related to ultimate goals under external shocks.Based on the model,we further study optimal monetary policy and find its weight is influenced by model parameters about consumer,producer,and central bank's behavior.Monetary Conditions Index(MCI)is also constructed based on the model.The weight of MCI depends not only on changes of parameters about commodity market,monetary market,and interest rate parity,but also on changes of optimal monetary policy parameters.According to empirical results using China's data from 1992 to 2022,the optimal monetary policy parameter is 1.1823,which means central bank's monetary policy is counter-cyclical and more weight is put on economic growth;furthermore,our estimation shows that the weight of MCI is 0.7867,which implies 1%increase in real interest rates is equivalent to 0.79%decrease in real exchange rates,indicating that the impact of changes in real interest rates is weaker than that of real exchange rates.Finally,our empirical research suggests that MCI can serve as an important leading indicator of macroeconomic goals.

关 键 词：新凯恩斯DSGE模型 最优货币政策 货币状况指数 

分 类 号：F820.3[经济管理—财政学] F822.2