中国货币政策与资产价格关系研究

发布时间：2018-04-05 01:32

本文选题：货币政策　切入点：资产价格　出处：《华中科技大学》2012年博士论文

【摘要】：2008年美国次贷危机及国际金融危机爆发以来,货币政策与资产价格的关系问题成为学术研究和政策实践中的热点问题。我国仍处于转型过程中,采用的是多目标、多工具的货币政策框架,经济特征与西方发达国家有较大差异。因此,我国货币政策与资产价格关系的研究必须考虑到现实情况的差异。从当前国外理论研究和政策实践来看,非干预论获得了更多的支持。从我国央行部分官员的观点来看,我国央行似乎也倾向于非干预论观点。本文在对货币政策和资产价格关系进行理论探讨的基础上,主要采用基于ADL模型和基于频段回归模型的计量分析方法研究我国货币政策与资产价格间的关系。研究结论如下： (1)我国股票价格和房地产价格变化对消费的财富效应不显著；房地产价格变化通过金融加速数效应影响房地产投资的效应显著。 (2)实体经济与股票价格变化间有微弱的相互作用；房地产价格与实体经济关系较为密切,二者间存在较明显的双向因果关系。 (3)股票价格变化在短期对CPI有一定影响,但长期绝对影响很小；房地产价格长期受到CPI变化的影响,通胀条件下的保值增值需求是主要影响渠道。 (4)不同货币政策变量对不同价格的作用方式不同。货币量冲击作用于股票价格的速度最快,作用于通胀率其次,作用于房地产价格最慢；信贷冲击作用于股票价格的速度也最快,作用于房地产价格其次,作用于通胀率最慢；利率冲击作用于三种价格的速度不易区分。信贷额变化和基准利率变化不仅通过货币量变化发生作用,更通过政策预期渠道作用于资产价格和CPI,影响方式更加直接。 (5)微观方面,价格上涨-投资增加-价格进一步上涨的正反馈机制与资产泡沫的形成关系密切,宏观方面,由于CPI和资产价格吸收政策冲击的速度不同,宏观刺激政策,尤其是货币政策可能导致资产价格泡沫的形成。 (6)从实证结果看,我国央行对资产价格波动,尤其是长期趋势性波动进行了干预。由于利率政策对实体经济存在较大影响,对资产价格影响仅短期存在,因此,利率政策并非应对资产价格变化的有效工具。基于上述研究结论,本文提出若干建议：(1)宏观审慎政策和资产负债表工具可以在实现金融稳定目标方面发挥更多作用；(2)货币量指标可以作为不同价格在不同频段的指示器,保持货币量稳定增长有助于稳定整体价格水平；(3)加速金融市场改革是解决我国资产价格波动问题的重要方面；(4)理顺货币政策调控体系,明确“一行三会”职能并形成有效责任监督是解决资产价格波动问题的长久之计。
[Abstract]:Since the outbreak of the subprime mortgage crisis and the international financial crisis in 2008, the relationship between monetary policy and asset prices has become a hot issue in academic research and policy practice.China is still in the process of transition, adopting a multi-objective and multi-instrument monetary policy framework, and its economic characteristics are quite different from those of western developed countries.Therefore, the study of the relationship between monetary policy and asset prices in China must take into account the differences in the actual situation.From the current foreign theoretical research and policy practice, the non-intervention theory has gained more support.From the point of view of some central bank officials, the central bank also seems to prefer non-interventionist views.Based on the theoretical discussion of the relationship between monetary policy and asset price, this paper mainly adopts the econometric analysis method based on ADL model and frequency band regression model to study the relationship between monetary policy and asset price in China.The conclusions of the study are as follows:1) the wealth effect of stock price and real estate price change on consumption is not significant, and the real estate price change has significant effect on real estate investment through financial accelerating number effect.(2) there is a weak interaction between the real economy and the stock price, while the real estate price has a close relationship with the real economy, and there is a obvious two-way causal relationship between the real economy and the real estate price.The change of stock price has a certain influence on CPI in the short term, but the absolute influence is very small in the long run; the real estate price is affected by the change of CPI for a long time, and the demand for value preservation and increment under the condition of inflation is the main influence channel.4) different monetary policy variables play different roles on different prices.Currency shock acts on the speed of stock price, second on inflation rate and the slowest on real estate price, credit shock on stock price is also the fastest, acting on real estate price is second, acting on inflation rate is the slowest.The speed at which interest rate shocks act on the three prices is difficult to distinguish.The change of credit amount and benchmark interest rate not only affect the amount of money, but also influence the asset price and CPI through the policy expectation channel, and the influence way is more direct.(5) at the micro level, the positive feedback mechanism of price rise, investment increase and further price rise is closely related to the formation of asset bubbles. On the macro side, because CPI and asset prices absorb the impact of policies at different rates, macro stimulus policies,In particular, monetary policy may lead to the formation of asset price bubbles.From the empirical results, China's central bank intervened in asset price volatility, especially long-term trend volatility.Interest rate policy is not an effective tool to deal with the change of asset price because interest rate policy has great influence on real economy and only short-term influence on asset price.Based on the above conclusions, this paper puts forward several suggestions: 1) Macroprudential policies and balance sheet instruments can play a more important role in achieving financial stability objectives. (2) money volume indicators can be used as indicators of different prices at different frequencies.Maintaining a stable increase in the amount of money will help to stabilize the overall price level.) accelerating the reform of the financial market is an important aspect of solving the problem of asset price fluctuations in China. 4) rationalizing the monetary policy control system.Clarifying the function of "one line and three meetings" and forming effective responsibility supervision are the long-term solutions to asset price volatility.
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F822.0;F832.51;F293.3;F224

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