兼顾金融稳定的最优货币政策规则及其在中国的检验
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| Title | Optimal Monetary Policy Rule with the Target of Financial Stability and Its Test in China
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| 作者 | 邓创 徐曼 |
| Author | Deng Chuang and Xu Man |
| 作者单位 | 吉林大学商学院 |
| Organization | Center for Quantitative Economics of Jilin University, Business School of Jilin University |
| 作者Email | dengchuang@jlu.edu.cn；manxu15@mails.jlu.edu.cn |
| 中文关键词 | 金融形势指数 货币政策规则 金融稳定 通货膨胀 TVP-FAVAR模型 |
| Key Words | Financial Conditions Index; Monetary Policy Rule; Financial Stability; Inflation; TVP-FAVAR Model |
| 内容提要 | 本文运用带有时变参数的因子扩展向量自回归模型，基于多维金融指标体系构建了中国的动态金融形势指数，以此作为金融波动的衡量依据并纳入货币政策调控的目标体系，在分析货币政策对经济与金融波动反应机理的基础上，实证检验了包含金融稳定目标的最优货币政策规则在中国不同时期的适用性。研究结果表明：兼顾金融和经济双重稳定的最优货币政策规则能有效降低传统货币政策对价格和产出波动作出逆风向反应时可能出现的偏误；与金融危机爆发之前相比，危机后中国货币政策对价格和产出波动的关注程度稍有降低，但对金融波动的反应程度显著提高。这些研究为新时期进一步提高货币政策的科学性和有效性、实现宏观经济与金融的双重稳定提供了有益的经验依据和政策启示。 |
| Abstract | Based on multidimensional financial index system, this paper employed factor augmented vector autoregressive models with time-varying parameter to calculate the dynamic financial conditions index in China, which is used to measure the fluctuation of financial conditions and included in the target system of monetary policy. Combining with the reaction mechanism of monetary policy to economic and financial fluctuation, we empirically tested the adaptability of the optimal monetary policy rules containing the target of financial stability in China. The results show that, the optimal monetary policy rules containing the targets of both economic and financial stability can reduce the bias that occurs when traditional monetary policies respond to the price and output fluctuations; compared to the period before the financial crisis, China's monetary policy paid more attention to financial fluctuations and less attention to the price and output fluctuations during the post-crisis era. These studies provide a useful empirical basis and policy implications for the further improvement of monetary policies’ scientificity and effectiveness and the realization of both macroeconomic and financial stability. |
| 文章编号 | WP1311 |
| 登载时间 | 2018-12-04 |
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