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金融危机下我国货币政策的资产价格传导机制研究 摘要 保持货币币值稳定，进而促使经济快速增长是我国货币政策的最终目标。从货币政策的传导机制来看，中央银行制定的货币政策是否能够有效实现其最终目标，取决于货币政策在资本市场的传导机制是否顺畅。我国资本市场经过多年快速发展，其价格传导机制的作用开始显现，特别是房地产价格和股票价格的波动会对投资、消费以及公众预期产生直接或间接的影响，进而对整个社会的产出和物价稳定产生作用。近年来，中央银行为实现宏观经济调控目标而多次实施货币政策，但是货币政策是否能够通过资产价格传导机制影响到实体经济，是决定货币政策有效性的一个重要因素。 本研究在借鉴国内外学者的相关研究成果基础上，把货币政策资产价格传导机制划分为两个环节：货币政策传导到资产价格；资产价格传导到实体经济，并从理论层面对其进行分析。接着结合金融危机背景，主要关注实体经济、货币政策以及最终目标三个层面的变量，细分房地产价格传导和股票价格传导两个机制，分别建立了误差修正(VEC)模型，对我国货币政策能否通过资产价格渠道传导产生政策有效性进行了检验。最后在此分析结果的基础上，对完善房地产市场和股票市场的传导机制提出了相应的政策建议。 本研究的创新之处有两个：第一个创新点是根据货币政策资产价格传导的分析框架，对向量误差修正模型施加系数约束以反映三个层面的关系。第二个创新之处是对房地产市场价格传导机制和股票价格传导机制分别建立模型，并对其结果进行了检验和对比。 关键词：货币政策，资产价格传导渠道，财富效应，投资效应 ABSTRACT With the development of asset market and deepening of financial innovation, asset prices have larger effects on monetary policy, and have gradually become potential transmission channels. However, asset price transmission channels are low efficient in China due to the immature capital market, low-level financial integration, incomplete social system, and specific civil wealth structure and consumption behavior. We divide the asset price transmission channel into two phases, namely from monetary policy to asset prices and from asset prices to real economy. We use VAR model and Impulse Response Function to measure the effect of monetary policy on asset prices and find that the transmission is high efficient, then we use Granger Causality Test and Co integration Test to measure the effect of asset price fluctuations on real economy and find that the transmission is low efficient, specifically wealth effect and Tobin effect are not significant at all, leading to the ineffectiveness of asset price transmission channels. Therefore, we should take proper measures such as enlarge market size, advance market structure, get through the channel between money market and capital market to establish the basic conditions for asset price transmission in order to improve the monetary policy effect. KEY WORDS： monetary po