跨周期调节视域下货币政策对市场信心的影响研究——基于TVP-VAR模型的动态分析  

Research on the Impact of Monetary Policy on the Market Confidence under the Perspective of Cross Cycle Regulation:Dynamic Analysis Based on TVP-VAR Model

作　　者：宋杨 李濮辰 SONG Yang;LI Pu-chen

机构地区：[1]淮北师范大学经济与管理学院

出　　处：《科学决策》2024年第6期128-143,共16页Scientific Decision Making

基　　金：安徽省哲学社会科学规划项目(项目编号:AHSKQ2020D73)。

摘　　要：搞好跨周期政策设计,提高逆周期调节能力,需要做好“稳预期”工作,本文对代表预期核心指标的信心展开研究。首先通过动态因子模型构建了包含各类经济主体心理预期指标的信心周期综合指数,接着在新凯恩斯模型的框架下理论分析信心在宏观经济运行以及货币政策传导中的重要作用。实证部分结合信心周期综合指数,运用TVP-VAR模型考察了信心对宏观经济运行影响效应的时变特征以及不同货币政策调控对信心的时变影响。研究结论和启示如下:(1)信心与经济周期之间具有正向相互驱动效应,央行在政策框架的设计上需要考虑信心体系的稳定;(2)通货膨胀会对信心带来负向冲击,从而使得价格周期与信心周期背离,信心不是驱动价格周期波动的格兰杰原因;(3)在货币政策调控方面,宽松的数量型调控政策提振信心的效果更直接,价格型政策调控在“稳预期”工作上还亟待提高。Improving cross-cycle policy design and counter-cyclical adjustment capacity requires"stabilizing expectations"The paper studies on the confidence that represents the expected core indicators.First of all,the confidence cycle composite index containing various economic subjects is constructed through the dynamic factor model,and then the important role of confidence in macroeconomic operation and monetary policy transmission is analyzed theoretically under the framework of the new Keynesian model.In the empirical part,we use TVP-VAR model to investigate the time-varying characteristics of the influence of confidence on macroeconomic operation and the time-varying influence of different monetary policy controls on confidence.Following the conclusion of the study and implications:First,there is the positive mutual driving effect between confidence and economic cycle,and The Central Bank needs to consider the stability of the confidence system in the design of policy framework.Second,inflation would have a negative impact on confidence,which makes the price cycle deviates from the confidence cycle.But confidence is not the Granger cause for driving the price cycle fluctuation.Third,in the terms of monetary policy,quantity-oriented regulation of loose policy boosts confidence more directly,price-oriented regulation stll needs to be improved in"stable expectation".

关 键 词：跨周期调节 信心 稳预期 货币政策 TVP-VAR模型 

分 类 号：F832.0[经济管理—金融学]