货币政策：熨平还是加剧了我国的经济和股市波动？
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| Title | Does Monetary Policy Moderate or Exacerbate the Economic Fluctuations and Stock Market Volatility in China?
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| 作者 | 涂巍 刘洪愧 周国富 邹恒甫 |
| Author | Tu Wei , Liu Hongkui, Zhou Guofu and Zou Hengfu |
| 作者单位 | 中央财经大学；华盛顿大学圣路易斯奥林商学院 |
| Organization | CEMA, Central University of Finance and Economics；Olin Business School, Washington University in St.Louis |
| 作者Email | mtuwei@126.com；lhyhnly@126.com；zhou@wustl.eduHzoucema@gmail.com |
| 中文关键词 | 货币信用周期 经济周期 股票回报 贝叶斯方法 |
| Key Words | Credit cycle; Business Cycle; Stock Return; Bayesian Method |
| 内容提要 | 结合我国独特的货币政策实践，本文构建了一个包括中央银行、商业银行与实体经济部门的SVAR模型，系统地分析了我国货币信用周期与经济周期之间的联系。区别于已有研究，我们首次在同一模型中区分了“法定存款准备金率”和“公开市场业务”两种货币政策工具，并运用贝叶斯估计推断方法识别了这两类“货币政策冲击”。结果表明，“法定存款准备金率”通过改变商业银行对总储备的需求，进而控制银行信贷，最终影响产出和总体价格水平；而 “公开市场业务”仅是对商业银行流动性水平的微调。进一步分析显示：“货币政策冲击”不是我国经济波动的驱动因素；货币政策主要表现为央行对宏观经济变化的内生响应，较好的实现了稳定宏观经济运行的政策目标。此外，我们发现“货币政策冲击”不能显著影响股指回报，说明目前股票市场对我国货币政策的反应有限。 |
| Abstract | Based on a SVAR model, which integrates monetary policy behavior with the banking system, demand for money aggregate, and the real economy, the paper reexamines the relationship between the credit cycle and the business cycle in China. Different from the existing research, we distinguish between the ‘required reserve rate’ and the ‘open market operation’, and identify the impacts of the two policy instruments simultaneously. The empirical results show that the PBC’s responsibility for controlling inflation and stabilizing the aggregate demand is mainly represented by the adjustment of the required reserve rate, and the ‘open market operation’ accounts for the monetary authority’s concern on the liquidity management of commercial banks. Furthermore, we find that monetary policy shock is not the main driving force for the business cycles in China, whereas a large fraction of the variation in monetary policy is attributable to the systematic reactions of policy authority to the state of the economy. We also find that the interdependence between China’s monetary policy and stock market is fairly limited at present. |
| 文章编号 | WP858 |
| 登载时间 | 2015-04-03 |
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