理解我国名义利率传导机制有效性的时变特征——基于DSGE模型的理论分析与TVP-VAR模型的实证检验

发布时间：2018-05-07 16:45

本文选题：名义利率 + 资产价格　；参考：《南方经济》2017年07期

【摘要】：文章采用DSGE模型与TVP-VAR模型对"利率调整→股价修复→经济复苏"这一政策传导路径的有效性进行理论模拟与计量检验,结果发现:理论上,名义利率调整可以有效平抑资产价格波动进而带动投资增加,从而稳定实体经济增长,但在实际传导过程中,各变量对利率变动和股价变动的反应却较为缓慢。此外,名义利率调整对股票价格的短期效应较为显著,而股价对实体经济的影响却是一个缓慢过程,两者对比鲜明,这从根本上揭示了虚拟经济变化较快而实体经济复苏缓慢的内生机理。因此,我国政府和中央银行应理性看待现阶段的实体经济下行风险,这并不意味着货币政策对股票市场和经济行为的良性指引作用已经失效,而是由于实体经济对政策调整的反应通常具有一定的时滞。
[Abstract]:This paper uses DSGE model and TVP-VAR model to carry out theoretical simulation and econometric test on the effectiveness of the policy conduction path of "interest rate adjustment, stock price repair and economic recovery". The results show that: theoretically, The adjustment of nominal interest rate can effectively restrain the fluctuation of asset price and promote the increase of investment, thus stabilizing the real economic growth. However, in the actual transmission process, the response of various variables to the change of interest rate and stock price is relatively slow. In addition, the short-term effect of the nominal interest rate adjustment on the stock price is more significant, while the impact of the stock price on the real economy is a slow process. This fundamentally reveals the endogenous mechanism of the rapid changes in the virtual economy and the slow recovery of the real economy. Therefore, the Chinese government and the central bank should take a rational view of the downside risks of the real economy at this stage, which does not mean that the benign guiding role of monetary policy on the stock market and economic behavior has failed. But because the real economy's response to policy adjustment usually has some time lag.
【作者单位】：吉林大学数量经济研究中心;吉林大学商学院;
【分类号】：F224.0;F822.0

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