股价波动对货币政策中介指标有效性的影响研究

发布时间：2018-05-04 17:11

本文选题：货币政策中介指标 + IS-Phillips模型　；参考：《东华大学》2017年硕士论文

【摘要】：货币政策中介指标的有效性体现在其对货币政策最终目标的调控上。股票价格对中介指标有效性的影响主要由于股价对货币政策最终目标——产出和通胀产生影响,进而导致货币政策的实施不达预期效果。本文在理论分析的基础上,量化货币政策反应机制,从而明确股价因素对中介指标有效性的影响程度。本文首先理论阐述不同货币政策中介指标的理论基础包括其传导机制以及与股票价格的相关关系。其次分析股价如何影响中介指标的有效性,包括对实际产出以及通货膨胀的影响,分析财富效应、通货膨胀效应、托宾Q理论和流动性效应,即探讨股票市场传导路径。同时,对我国股票市场的发展规模、股价与经济发展目标关联性以及中介指标与经济发展目标关联性进行现状分析。实证分析中首先通过相关性和回归分析明确股价因素对货币政策最终目标存在影响但并不完全显著。其次,构建一个封闭经济体下的IS-Phillips模型,通过总需求方程、通胀方程、资产价格方程、央行损失函数,求解包含股价因素和不包含股价因素的最优货币供应量反应函数以及最优利率反应函数,并把泰勒规则、货币政策如何反应股价因素的间接和直接融于一体。运用两阶段最小二乘法进行联立方程的估计,推导货币政策最优反应函数,通过参数设定和结果的模拟,发现股价对中介指标有效性的影响与央行的目标函数设定相关:(1)当央行严格盯住通货膨胀目标时,股价因素会使得实际产出更贴合预期值,从而提升中介指标有效性;(2)当央行的货币政策目标兼顾通货膨胀和产出缺口稳定时,股价因素会导致通货膨胀的更不可控,因而降低中介指标的有效性。再者,比较利率和货币供应量,货币供应量对通胀的控制程度优于利率,而利率对产出缺口的控制更优,考虑我国目前货币政策采取双重目标制,利率的有效性高于货币供应量,采取利率中介指标央行的损失函数更小,并且表明我国目前的货币政策不应对股票价格做出反应。最后,基于上述结论,对我国货币政策中介指标选择、货币政策应对股票市场波动以及股市发展提出政策建议。
[Abstract]:The effectiveness of monetary policy intermediary index is reflected in its regulation and control of monetary policy ultimate goal. The effect of stock price on the effectiveness of intermediary index is mainly due to the influence of stock price on the final target of monetary policy-output and inflation, which leads to the implementation of monetary policy not reaching the expected effect. On the basis of theoretical analysis, this paper quantifies the monetary policy response mechanism to clarify the influence of stock price factors on the effectiveness of intermediary indicators. In this paper, the theoretical basis of different monetary policy intermediation indicators including the transmission mechanism and the correlation with stock price is discussed theoretically. Secondly, it analyzes how the stock price affects the effectiveness of intermediary indicators, including the effect on actual output and inflation, the wealth effect, inflation effect, Tobin Q theory and liquidity effect, that is, to explore the transmission path of stock market. At the same time, the paper analyzes the development scale of stock market, the relationship between stock price and economic development target, and the relationship between intermediary index and economic development target. In the empirical analysis, firstly, through correlation and regression analysis, it is clear that stock price factors have an impact on monetary policy's ultimate goal, but it is not completely significant. Secondly, the IS-Phillips model of a closed economy is constructed, which is based on the aggregate demand equation, inflation equation, asset price equation and central bank loss function. The optimal money supply response function and the optimal interest rate response function including and without stock price factors are solved, and the Taylor rule, how monetary policy reflects the indirect and direct share price factors is integrated. The two-stage least square method is used to estimate the simultaneous equation, and the optimal response function of monetary policy is derived. It is found that the effect of stock price on the effectiveness of intermediary indicators is related to the objective function of the central bank. (1) when the central bank is strictly pegged to the inflation target, the stock price factor will make the actual output more in line with the expected value. When the monetary policy objective of the central bank considers inflation and output gap to be stable, the stock price factor will lead to the uncontrollable inflation, thus reducing the effectiveness of the intermediate index. Moreover, compared with the interest rate and the money supply, the money supply controls the inflation better than the interest rate, and the interest rate has better control on the output gap. The effectiveness of interest rate is higher than that of money supply, and the loss function of the central bank using interest rate intermediary index is even smaller, which indicates that China's current monetary policy should not react to the stock price. Finally, based on the above conclusions, the paper puts forward some policy suggestions on the choice of intermediate index of monetary policy in China, which should include the fluctuation of stock market and the development of stock market.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832.51

【参考文献】