跨境资本流动、金融波动与货币政策选择
发布时间：2018-08-04 19:43
【摘要】：随着中国资本项目开放步伐加快,有关国际资本流动与金融系统间的风险行为反馈,以及货币政策是否应当对金融波动做出反应等议题已成为学术界研究的热点。本文通过构建跨境资本流动与金融摩擦的DSGE模型,模拟分析本币汇率预期变动与国内金融系统风险行为的反馈机理,并据此检验金融稳定目标下不同货币政策规则的有效性。结果表明,本币升值预期将导致金融系统的风险选择趋于激进,同时伴随着实体经济借贷利差扩大,资产价格上涨,金融系统杠杆率增高等现象。利差平滑、杠杆调节在一定条件下可作为货币政策关注的对象,而资产价格稳定不应纳入货币政策调控范畴。
[Abstract]:With the rapid opening of capital account in China, the issues of risk behavior feedback between international capital flow and financial system and whether monetary policy should respond to financial volatility have become a hot topic in academic circles. By constructing the DSGE model of cross-border capital flow and financial friction, this paper simulates and analyzes the feedback mechanism between the expected change of local currency exchange rate and the risk behavior of domestic financial system, and tests the effectiveness of different monetary policy rules under the goal of financial stability. The results show that the expectation of local currency appreciation will lead to a radical choice of risk in the financial system, accompanied by the widening of real economy lending spreads, the rise in asset prices and the increase in the leverage ratio of the financial system. Interest margin smoothing, leverage adjustment can be regarded as the object of monetary policy under certain conditions, but asset price stability should not be included in the scope of monetary policy regulation.
【作者单位】： 武汉大学经济与管理学院;
【基金】：教育部重大攻关项目“经济发展新常态下我国货币政策体系建设研究”(项目编号:15JZD013) 国家自然科学基金国际合作研究项目“法、金融与经济增长之再考察——中国的变革挑战与英国等国的经验”(项目编号:71661137003)资助
【分类号】：F822.0;F832
[Abstract]:With the rapid opening of capital account in China, the issues of risk behavior feedback between international capital flow and financial system and whether monetary policy should respond to financial volatility have become a hot topic in academic circles. By constructing the DSGE model of cross-border capital flow and financial friction, this paper simulates and analyzes the feedback mechanism between the expected change of local currency exchange rate and the risk behavior of domestic financial system, and tests the effectiveness of different monetary policy rules under the goal of financial stability. The results show that the expectation of local currency appreciation will lead to a radical choice of risk in the financial system, accompanied by the widening of real economy lending spreads, the rise in asset prices and the increase in the leverage ratio of the financial system. Interest margin smoothing, leverage adjustment can be regarded as the object of monetary policy under certain conditions, but asset price stability should not be included in the scope of monetary policy regulation.
【作者单位】： 武汉大学经济与管理学院;
【基金】：教育部重大攻关项目“经济发展新常态下我国货币政策体系建设研究”(项目编号:15JZD013) 国家自然科学基金国际合作研究项目“法、金融与经济增长之再考察——中国的变革挑战与英国等国的经验”(项目编号:71661137003)资助
【分类号】：F822.0;F832
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