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.pdfVIP

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。 关键词：资产价格；宏观经济；货币政策；SVAR I Abstract Since 1970s, financial crises have occurred frequently although the rate of inflation is not high. Every time the crisis occurred, most of the monetary authorities will take the easing monetary policy to stimulate economic recovery, however, the effect of easing monetary policy after the subprime crisis is not good. Some scholars start to doubt whether the western monetary policy framework works effectively. Whether incorporating asset prices fluctuations in monetary policy considerations, has recently been the focus of policy makers and scholars. In order to find out whether in China monetary authorities should incorporate asset price when making monetary policy, this paper researches into the macroeconomic effects of asset price firstly. That is because only when asset price fluctuations will influent the stable growth of macro economy significantly, should asset price be incorporated when making monetary p olicy. The major innovation of this paper is considering the background of significant change happened in asset market when studying the macroeconomic effect of asset price. In order to find out whether the impact of asset price on macro economy becomes mo r