中国资产价格的宏观经济效应及货币政策调控有效性研究

发布时间：2018-05-07 03:21

本文选题：资产价格 + 宏观经济　；参考：《暨南大学》2013年硕士论文

【摘要】：20世纪70年代以来，尽管通胀率不高，但金融危机频发。每次危机后，各国货币当局会采取宽松货币政策刺激经济复苏，但本次次贷危机后宽松货币政策效果不好，有学者对西方现行货币政策框架提出质疑。资产价格波动是否应纳入货币政策制定因素，成为关注焦点。为研究中国货币当局制定货币政策时是否要考虑资产价格波动，本文首先考察中国资产价格波动的宏观经济效应。因为制定货币政策时考虑资产价格的前提，是资产价格波动会显著影响宏观经济稳定增长。本文主要创新在于考察资产价格的宏观经济效应时，考虑了中国资产市场变革的背景。本文以2004年12月为分界点对比研究，考察资产市场经历变革后资产价格对宏观经济的影响是否更显著。实证结果显示，随着中国资产市场化程度提高，资产价格对宏观经济的影响越发显著。因此，当资产价格剧烈波动时，中国货币当局需调控资产价格波动，但采用何种工具调控仍有待研究。部分学者提出货币政策工具调控资产价格有效。为此，本文构建SVAR模型分析货币政策对资产价格的影响。实证结果显示，货币政策调控股价、房价有效，且货币政策在股价膨胀时期调控力度更大。但由于货币政策对宏观经济影响广泛深远，，中国货币当局制定货币政策时应权衡成本收益。
[Abstract]:Since the 1970 s, despite low inflation, financial crises have occurred frequently. After each crisis, monetary authorities around the world adopt loose monetary policies to stimulate economic recovery, but the effect of easing monetary policy after the subprime mortgage crisis has not been good, and some scholars have questioned the current monetary policy framework in the West. Whether asset price volatility should be incorporated into monetary policy-making factors has become the focus of attention. In order to study whether the Chinese monetary authorities should consider the fluctuation of asset price when making monetary policy, this paper first examines the macroeconomic effect of asset price fluctuation in China. The premise of considering asset prices in monetary policy is that asset price fluctuations significantly affect macroeconomic stability. The main innovation of this paper is to examine the macroeconomic effect of asset price and consider the background of Chinese asset market reform. Based on a comparative study of December 2004, this paper investigates whether asset prices have a more significant impact on the macro economy after asset market changes. The empirical results show that the impact of asset prices on macro-economy becomes more and more significant with the increase of asset marketization in China. Therefore, when asset prices fluctuate violently, China's monetary authorities need to regulate asset price volatility, but what instruments to adopt is still to be studied. Some scholars suggest that monetary policy instruments are effective in regulating asset prices. Therefore, this paper constructs SVAR model to analyze the impact of monetary policy on asset prices. The empirical results show that monetary policy is effective in controlling stock price and house price, and monetary policy is more powerful in the period of stock price expansion. But as monetary policy has far-reaching macroeconomic implications, China's monetary authorities should weigh cost gains when making monetary policy.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F822.0

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