货币政策、资产价格与金融稳定性

发布时间：2018-09-10 19:47

【摘要】：传统的货币政策理论认为,中央银行制定货币政策时应严格以通货膨胀为目标,但金融危机的爆发,资本市场的膨胀、资产价格的波动,都不断地冲击货币政策的有效性,并在一定程度上影响金融体系的稳定性,由此引发学术界对货币政策中介目标的探讨。本文以具有变参数特征的动态金融景气指数(DFCI)为工具,考察了DFCI对CPI和金融稳定性的预测作用,在此基础上,扩展前瞻性中央银行利率反应函数,将包含资产价格信息的DFCI纳入反应函数,研究中央银行货币政策行为,并拓展直接以资产价格为操作目标的泰勒准则作比较。实证表明:在扩展形式的前瞻性利率反应函数中,DFCI变量统计显著,包含资产价格的DFCI要比不包含资产价格的DFCI显著,以资产价格作为货币政策目标的利率规则作用效应不完全显著。这说明,DFCI的建立具有合理性,资产价格波动显著地影响货币政策的有效性,严格的通货膨胀目标规则存在不足,中央银行的货币政策行为需要考虑资本市场的变化以及资产价格的波动,但直接将资产价格作为目标的货币政策具有不确定性。
[Abstract]:The traditional monetary policy theory holds that the central bank should strictly take inflation as the target when making monetary policy, but the outbreak of the financial crisis, the expansion of the capital market and the fluctuation of the asset price all constantly impact the effectiveness of the monetary policy. To some extent, it affects the stability of financial system, which leads to the discussion of monetary policy intermediation target in academic circles. In this paper, the dynamic financial boom index (DFCI) with variable parameter characteristics is used as a tool to investigate the predictive effect of DFCI on CPI and financial stability. On this basis, the forward looking central bank interest rate response function is extended. The DFCI, which contains asset price information, is incorporated into the response function to study the monetary policy behavior of the central bank, and to extend the Taylor criterion, which directly aims at asset price, to compare it. The empirical results show that in the extended Forward-looking interest rate response function, DFCI with asset price is more significant than DFCI without asset price. The effect of interest rate rules on asset price as monetary policy objective is not completely significant. This shows that the establishment of DFCI is reasonable, the fluctuation of asset price has a significant impact on the effectiveness of monetary policy, and the strict inflation target rules are insufficient. The monetary policy behavior of the central bank needs to consider the change of capital market and the fluctuation of asset price, but the monetary policy which takes asset price as the target is uncertain.
【作者单位】：同济大学经济与金融系;
【分类号】：F224;F822.0

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