双金融加速器与中国货币政策
阅读全文
下载全文 |
| Title | Double Financial Accelerators and Chinese Monetary Policy
|
| 作者 | 赵扶扬 王忏 龚六堂 |
| Author | Zhao Fuyang, Wang Chan and Gong Liutang |
| 作者单位 | 北京大学光华管理学院；中央财经大学金融学院 |
| Organization | Guanghua School of Management, Peking University；School of Finance, Central University of Finance and Economics |
| 作者Email | zhaofuyang@pku.edu.cn；wangchanist@126.com；ltgong@gsm.pku.edu.cn |
| 中文关键词 | 银行 房地产 双金融加速器 货币政策 |
| Key Words | Financial Intermediary; Land; Double Financial Accelerators; Monetary Policy |
| 内容提要 | 本文通过对2009-2016年的数据整理发现，中国房地产市场的繁荣和金融市场的繁荣具有极强的相关性和协同性。根据这一事实，我们构建了一个包含金融中介和房地产市场的DSGE模型，并同时引入了Gertler & Karadi（2011）和Kiyotaki & Moore（1997）中的金融摩擦，形成了银行杠杆放大机制和企业抵押融资放大机制的交互作用，从而解释了中国2009-2016年间银行信贷快速增长的同时房地产市场也保持了高度繁荣这一现象。模型的贝叶斯估计结果显示，货币政策冲击中的从量信贷政策冲击与房屋需求冲击存在着显著的正相关关系，是驱动经济波动的最重要的因素。最后，本文对比了信贷政策和利率政策这两种货币政策，发现基于数量型工具的从量信贷政策是中国当前最有效的货币政策。 |
| Abstract | Based on the Chinese data between 2009-2016, we find strong positive co-movements between land/real estate market and financial market. We build a DSGE model with financial intermediary and land/real estate market. We also introduce the financial frictions in Gertler & Karadi (2011) and Kiyotaki & Moore (1997). The two types of financial frictions constitute double financial accelerators. We assume there exists correlations between housing demand shock and monetary policy shock, which weakens the importance of the former and increases the importance of the later. We estimate the model using the Bayesian method, find the positive correlation between the housing demand shock and monetary policy shock, and identify the credit policy shock to be the main driving force of the economic fluctuations. Lastly, we compare the two monetary policies, and find that the credit policy instead of the interest rate policy, is the main Chinese monetary policy. |
| 文章编号 | WP1415 |
| 登载时间 | 2019-09-05 |
|