资产价格与我国最优货币政策

发布时间：2018-01-07 18:42

本文关键词：资产价格与我国最优货币政策　出处：《南开大学》2012年博士论文　论文类型：学位论文

【摘要】：随着资产市场的深化与发展，资产价格对宏观经济的影响日益深刻。这主要体现在两个方面：第一，资产价格改变了传统的货币政策传导机制和通货膨胀形成机制，，使得宏观经济在一般商品价格稳定和资产价格剧烈波动中运行。第二，资产价格泡沫的膨胀和破灭屡次导致金融危机甚至是经济危机。20世纪80年代至今，全球很多国家宏观经济运行的一个重要特征就是，一般商品和服务价格稳定，而资产价格，包括股票市场、房地产市场、债券市场和外汇市场等，均出现了比以往更大幅度和更为频繁的波动。在资产价格膨胀与崩溃的循环之后，往往接踵而来的是金融危机、通货膨胀和经济衰退。资产价格泡沫崩溃对金融稳定和产出稳定的冲击，向传统的货币政策操作提出了挑战。各国中央银行和理论界开始反思：只关注一般商品和服务价格而忽视资产价格波动的货币政策是否就是维护物价稳定和产出稳定的最优政策？美国房地产价格泡沫2007年的破灭对美国乃至全球金融体系和实体经济的巨大冲击，更是让研究者们达成一个共识：一般商品价格稳定并不足以实现金融稳定，也不足以实现产出稳定。那么，货币政策是否应该更多地考虑资产市场因素，对资产价格的大幅波动做出反应？对于我国，股票市场的暴涨和暴跌以及房地产价格的持续上涨引发了对资产价格泡沫风险的担忧，要求政策救市的呼声此起彼伏。因此，研究资产价格与我国的最优货币政策，对我国具有一定的理论意义和现实意义。货币政策是否需要对资产价格泡沫做出响应这一问题，不管是在理论界，还是在各国的央行货币政策操作层面，都存在着巨大的分歧和争议。分歧主要体现在三点：第一，资产价格波动对货币政策目标——产出稳定和通胀稳定是否存在着显著的影响？第二，中央银行是否能适时检测、识别到资产价格泡沫过程？第三，传统的货币政策工具对资产价格泡沫的干预是否有效？针对这些问题，本文采用规范分析与实证分析的研究方法，做了较为系统的研究。研究结果表明：第一，从股票市场或者房地产市场这些单一种类的资产价格的货币政策传导机制检验来看，货币政策对资产市场的传导较为畅通，而资产价格对消费和投资的传导不完全畅通。第二，以股票价格、房地产价格和实际有效汇率组成的资产价格指数与产出和通胀之间存在着显著的格兰杰因果关系，可以用于预测未来通胀和产出。而且，资产价格指数对货币供应量的冲击具有显著的响应，货币政策对资产价格的干预是有效的。第三，基于资产价格指数的经济模拟显示，纳入资产价格的最优货币政策反应函数的央行损失，显著低于不包含资产价格的最优货币政策反应函数。基于本文的研究结论，本文提出了相关的政策建议：编制资产价格指数，定期发布并予以解读，培养公众理性投资意识，抑制资产市场的过度投机；以资产价格膨胀代替资产价格泡沫作为衡量资产价格失衡的指标，订立资产价格波动幅度的绝对值基准，作为货币政策干预资产市场的标准；把资产价格指数纳入货币政策操作体系，适时和适度地控制资产价格的持续大幅上涨；加强对银行信贷监管，控制金融机构资产价格风险暴露，减少资产价格泡沫破灭对实体经济的冲击；通过差别利率、窗口指导等货币政策工具，调节流向资产市场的货币规模。
[Abstract]:With the deepening and development of asset markets, asset prices on the macroeconomic impact of increasingly profound. This is mainly embodied in two aspects: first, asset prices have changed the traditional monetary policy transmission mechanism and the formation mechanism of inflation, makes macroeconomic volatility in commodity prices and asset prices generally stable. In second, expansion and collapse often leads to financial crisis and economic crisis is the.20 century since 80s, asset price bubbles, an important feature of many countries in the world economy is generally stable prices of goods and services, and the price of assets, including the stock market, real estate market, bond market and foreign exchange market, there are more than in the past and more frequent fluctuations in asset prices. After the expansion cycle and collapse, often followed by the financial crisis, inflation and recession Back. The collapse of asset price bubbles on the financial stability and output stability of the impact, challenges to the traditional monetary policy. The central bank and the theoretical circles began to reflect: focus only on the general price of goods and services and ignore the asset price fluctuations and monetary policy is to maintain price stability and output stability of the optimal policy impact? The real estate price bubble burst in 2007 to the United States and the global financial system and the real economy, is to let the researchers have reached a consensus: price stability is not enough to achieve financial stability, will not be enough to achieve stable output. So, whether the monetary policy should consider more asset market factors, fluctuations of assets the price response? For our country, the rise and fall of the stock market and rising real estate prices led to asset price bubble The risk of bubble risk calls for the policy to rescue the market. Therefore, the study of asset price and China's optimal monetary policy has certain theoretical and practical significance for our country.
Whether the monetary policy needs to respond the problem of asset price bubbles, whether in theory or in the countries of the central bank's monetary policy operational level, there are great differences and disputes. The differences are mainly embodied in three points: first, the volatility of asset prices on monetary policy goals -- output stability and the existence of stable inflation a significant impact? Second, whether the central bank can timely detection, recognition to the process of asset price bubble? Third, intervention of traditional monetary policy tools to asset price bubbles is effective?
To solve these problems, this paper adopts the research methods of normative analysis and empirical analysis, have been studied. The results show that: first, from the test of monetary policy transmission mechanism of stock market or real estate market the single kind of asset prices, monetary policy on asset market conduction is more smooth, and asset prices on consumption and investment conduction is not completely smooth. In second, the stock price, real estate prices and the real effective exchange rate of the composition of asset price index and output and inflation are Grainger a significant causal relationship, which can be used to predict future inflation and output. Moreover, the impact of asset prices on money supply has a significant response. The intervention of monetary policy on asset prices is effective. Third, the asset price index of economic simulation based on the optimal monetary policy into asset prices The central bank loss of the policy response function is significantly lower than the optimal monetary policy response function that does not contain asset prices.
Based on the conclusions, this paper puts forward relevant policy suggestions: the preparation of asset price index released, and interpret them regularly, foster public awareness of rational investment, curb excessive speculation in asset markets; to asset price inflation instead of asset price bubbles as a measure of asset price imbalance index, the absolute value of a benchmark asset price fluctuation amplitude and as a monetary policy intervention in asset markets; the asset price index into the monetary policy operation system, timely and proper control of asset prices continued to rise sharply; to strengthen the supervision of bank credit, asset price risk exposure of financial institutions, reduce asset price bubble burst on the real economy impact; the interest rate difference, window guidance etc. the tools of monetary policy, monetary asset market regulation to scale.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F224

【参考文献】