资产价格波动背景下货币政策的优化研究

发布时间：2018-06-22 13:49

本文选题：货币政策 + 资产价格　；参考：《山东大学》2017年硕士论文

【摘要】：在全球经济一体化的背景下,随着资本市场的迅速发展和金融创新的不断深化,资产价格波动呈现出剧烈化的趋势,资产价格、货币政策与实体经济之间的关系日益密切。尤其是2008年美国次贷危机引发的全球性金融危机后,资产价格破灭所带来的严重后果使得人们再次将目光聚集在了资产价格波动背景下货币政策应该如何更好的发挥作用来降低实体经济所遭受的创伤。本文在以上背景下,按照如下思路展开了研究:资产价格波动是通过什么机制作用于实体经济与金融稳定的?是否会对货币政策目标造成影响?货币政策面对资产价格波动怎么样更好的发挥作用?是否应对资产价格波动作出反应?本文通过理论与实证相结合的方法对上述问题进行研究。通过构建资产价格(包括股票价格、房地产价格)、产出缺口、通货膨胀率、短期利率等经济变量在内的宏观经济分析框架,对Talor规则进行了拓展,即将资产价格因素作为内生性目标变量纳入了货币政策反应函数,得出以下结论:我国货币政策对房地产价格和股票价格波动的反应是不同的。对于股票市场,中央银行仅仅是有所关注但并未对其价格波动作出反应,而对于房地产市场,中央银行并不仅局限于关注房地产价格,而是会采取相关政策对其进行主动干预。另外,本文还通过建立Logistic模型并用一系列解释变量的观测值分析货币政策操作规则,即影响货币政策操作发生概率的因素及程度,我们得出了经济增长率、固定资产投资增长率对货币政策操作具有很大影响而通货膨胀率、汇率、股票价格的影响并不显著。通过理论分析与实证研究,本文提出如下政策建议:第一,应对资产价格波动不断修正货币政策框架,加强对资产价格波动的关注,在最优货币政策框架下,对央行实施货币政策的成本与收益进行综合分析,同时作出积极灵活的政策反应;第二,构建广义动态价格指数作为其货币政策执行的参考指标,以便更好地把握价格水平走势;第三,持续推进利率市场化改革,健全和完善以价格型为主的货币政策;第四,货币政策与金融监管应该积极配合协调,共同应对资产价格波动;第五,资产市场存在严重的信息不对称使货币政策将面临巨大的不确定性和风险,中央银行应加强对市场信息的研究判断。
[Abstract]:Under the background of global economic integration, with the rapid development of capital market and the deepening of financial innovation, the fluctuation of asset price is becoming more and more intense, and the relationship between asset price, monetary policy and real economy is becoming more and more close. Especially after the global financial crisis triggered by the subprime mortgage crisis in the United States in 2008, The serious consequences of asset price collapse make people focus on how monetary policy should play a better role in the background of asset price fluctuations in order to reduce the trauma suffered by the real economy. Under the above background, this paper carries on the research according to the following thought: through what mechanism does the asset price fluctuation affect the real economy and the financial stability? Will it have an impact on monetary policy objectives? How does monetary policy work better in the face of asset price volatility? Should we respond to fluctuations in asset prices? In this paper, the theoretical and empirical methods are used to study the above problems. The Talor rule is extended by constructing a macroeconomic analysis framework of asset prices (including stock prices, real estate prices), output gaps, inflation rates, short-term interest rates and other economic variables. The asset price factor is included in the monetary policy response function as an endogenous target variable, and the following conclusions are drawn: the response of monetary policy to the fluctuation of real estate price and stock price is different. For the stock market, the central bank only pays attention to it but does not react to its price fluctuation. For the real estate market, the central bank not only focuses on the real estate price, but also takes relevant policies to intervene in it. In addition, through the establishment of Logistic model and the observation of a series of explanatory variables to analyze the operational rules of monetary policy, that is, the factors and extent of influencing the probability of monetary policy operation, we obtain the economic growth rate. The growth rate of fixed assets investment has great influence on the operation of monetary policy, but the effect of inflation rate, exchange rate and stock price is not significant. Through theoretical analysis and empirical research, this paper puts forward the following policy recommendations: first, we should constantly revise the monetary policy framework for asset price volatility, strengthen the attention to asset price volatility, and under the optimal monetary policy framework, The cost and benefit of the central bank's monetary policy are comprehensively analyzed, and the policy response is active and flexible. Secondly, the generalized dynamic price index is constructed as the reference index for the implementation of monetary policy. In order to better grasp the trend of the price level; third, to continuously promote the reform of marketization of interest rates, and to improve and improve the price-oriented monetary policy; fourth, the monetary policy and financial supervision should be actively coordinated and coordinated. Fifth, the serious information asymmetry in the asset market will make the monetary policy face huge uncertainty and risk, so the central bank should strengthen the research and judgment of the market information.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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