识别货币政策操作的多重冲击及其经济效应  

The Identification&Economic Effects of Multiple Shocks of Monetary Policy in China

作　　者：林建浩[1] 陈良源 黄颖平 LIN Jianhao;CHEN Liangyuan;Huang Yingping(Lingnan College,Sun Yat-sen University;International School of Business&Finance,Sun Yat-sen University;People's Bank of China Guangdong Provincial Branch)

机构地区：[1]中山大学岭南学院,广东广州510275 [2]中山大学国际金融学院,广东珠海519082 [3]中国人民银行广东省分行,广东广州1510115

出　　处：《金融研究》2024年第5期20-38,共19页Journal of Financial Research

基　　金：国家社会科学基金重点项目(22AZD121);国家自然科学基金项目(72273156,72303258);中国博士后科学基金面上项目(2022M723679)的资助。

摘　　要：基于单一利率指标的冲击识别方法,无法刻画货币政策操作产生的多重冲击,不能解释“价格之谜”现象(利率上升时价格水平不降反升)。本文在不同期限同业拆借利率指标体系基础上,引入股票收益率反映市场预期,通过因子旋转和符号约束,识别货币政策操作产生的即时冲击、政策预期冲击与经济预期冲击。其中,即时冲击体现货币政策操作的即期影响,主要驱动隔夜利率变化,能够有效抑制通胀水平,不存在“价格之谜”现象;政策预期冲击体现市场主体对未来货币政策操作的预期,是3到6个月期限利率的主要驱动因素,紧缩的政策预期冲击会降低预期产出和实际产出,也不存在“价格之谜”现象;经济预期冲击体现市场主体对未来经济状况的预期,主要作用于9个月和1年期的利率,乐观的经济预期冲击带来产出预期和通胀预期的上升,进而提升实际产出和通胀水平,是“价格之谜”现象主要成因,证实了货币政策的信息效应,即货币政策操作隐含了央行自身信息优势,会影响公众的预期形成。简而言之,识别货币政策操作的多重冲击(特别是经济预期冲击)有助于解释“价格之谜”,是科学评估货币政策经济效应的重要基础。As one of the most important policies,the key for scientific evaluation of the effectiveness of monetary policy lies in identifying the shocks that monetary policies generate and how the macroeconomic and financial market react.However,when examining the regulatory effect of interest rates on inflation,empirical research has found a price puzzle,that is,contractionary monetary policy actually leads to inflation or price level increase.On the one hand,research is mainly based on a single interest rate indicator,ignoring the market expectation implied by changes in interest rates over different term structures.On the other hand,studying the economic impact of monetary policy can be disrupted by information effects.Therefore,identifying multiple shocks helps to provide a more comprehensive understanding of the impact of China's monetary policy.This paper designs an identification scheme for monetary policy shocks based on the market expectations and the information effects.First,monetary policy interventions not only adjust current short-term interest rates,but also change market expectations for future policy through longer term interest rates.Thus,we can use interest rate term structure to identify immediacy shocks and expectation shocks to monetary policy.Second,based on the information effect,stock returns are introduced as a constraint to identify policy expectation shocks that are negatively corelated with stock returns which reflect expectations about future monetary policy operations,and economic expectation shocks that are positively corelated with stock returns which reflect expectations about future economic conditions.Empirical research finds that multiple shocks of monetary policy have different effects on macroeconomic variables.The tightening immediacy shocks lead to a decrease in inflation levels,and there is no price puzzle anymore;The tightening policy shocks can lower market expectations for output,leading to a decrease in real output;Positive economic expectation shocks can lead to an increase in

关 键 词：货币政策 多重冲击 即时冲击 预期冲击 信息效应 

分 类 号：F822.0[经济管理—财政学]