我国资产价格波动与货币政策关系研究

随着金融自由化的逐步推进,资本市场存量日益增大.这既体现了金融深化程度的提高,又意味着货币供应与国民经济主要指标之间稳定性的弱化.资产价格对货币政策的制订和执行会产生深刻的影响.其中股价、房价等资产价格在货币政策传导机制中扮演的角色越来越重要.本文从实证角度出发,通过构建VAR模型检验我国资产价格对货币政策的反应以及资产价格对货币政策目标的影响,发现资产价格、货币政策及货币政策目标间存在长期协整关系,资产价格对产出有正向冲击作用,股市显著影响通货膨胀,但房地产市场对通货膨胀推动作用不明显,资产价格受货币政策的冲击影响显著,其中股市对货币政策冲击的反应明显大于房地产市场.     

基于金融状况指数的货币政策目标研究

以价格稳定为首要目标的货币政策框架难以应对资产价格剧烈波动为特征的金融不稳定。金融状况指数(FCI)在纳入资产价格的同时,为我国未来通货膨胀的变化提供了动态信息。因而FCI可以作为央行同时关注价格稳定和金融稳定的重要参考指标,从而有利于提高我国货币政策执行的准确性。     

金融形势指数与货币政策——基于中国数据的实证研究

本文采用VAR模型计算出反映月度中国货币及金融市场形势变化的金融形势指数FCI(financial condition index),该指数对通货膨胀有较好的预测能力,包含未来通货膨胀的信息。将FCI纳入麦克勒姆规则对中国货币政策进行检验,结果表明中央银行货币政策总体上遵循该规则,其主要调控目标是实际经济增长和通货膨胀,对资本市场价格变化反应不显著。整体看,中央银行货币政策对经济运行的调节力度不足,这在一定程度上助长了一定时期内我国经济过热和资产价格不稳定。     

金融脱媒对我国货币政策传导的影响

本文通过对我国金融脱媒现象的基本判断,基于传统货币政策传导机制理论,针对我国金融脱媒对货币政策不同传导渠道效果的影响进行研究,发现金融脱媒使银行信贷渠道的传导效果明显减弱,对利率传导渠道、资产价格渠道及资产负债表渠道则具有促进作用。总体看,金融脱媒削弱了我国传统货币政策传导到实体经济的效果。     

货币政策、金融周期及其宏观经济效应

本文综合金融市场的多维信息,利用主成分分析法合成我国的金融周期指数。在此基础上,构建TVP SV VAR模型研究2003—2017年间我国货币政策、金融周期及宏观经济变量间的时变互动关系。研究发现：（1）我国货币政策、金融周期和宏观经济变量之间存在显著的时变互动关系。（2）金融传导渠道可能扭曲货币政策效力,通过金融传导渠道,货币政策不仅会抑制经济增长,还可能加剧通货膨胀。（3）金融周期对货币政策产出效应的影响滞后于对价格效应的影响。短期来看,货币政策产出效应的时变特征与金融传导渠道无太大关联,但随时间推移,金融繁荣对产出的负面影响可能最终使货币政策产出效应发生反转。货币当局应警惕金融繁荣对货币政策效力的扭曲,审慎操作,且不宜承担过多刺激产出的任务。     

金融稳定目标下中国货币政策规则研究

未考虑金融稳定目标的货币政策规则会忽视物价稳定下金融过度繁荣累积的潜在风险.文章在通货膨胀和产出两个目标变量的基础上,将金融稳定以指数的形式加入货币政策目标中,对包含金融稳定目标的泰勒规则所具有的特性进行了研究.研究发现:(1)金融稳定和产出在货币政策中可以平稳地传导,通货膨胀在货币政策中的传导不平稳.(2)央行在高通胀时会增加对金融稳定目标的关注,高通胀时产出缺口的扩大对利率的影响比低通胀时要大,利率需对通货紧缩做出更大的反应.(3)如果参照未包含金融稳定目标的货币政策规则进行宏观调控,则调控力度会被低估.(4)我国在货币政策调控中显著关注了金融稳定目标,逐渐趋于按照含有金融稳定目标的泰勒规则进行操作,因此将金融稳定目标加入货币政策规则中的研究内容和结论是有效的.     

通货膨胀持久性研究综述

通货膨胀持久性是通货膨胀的动态特征之一,与货币政策实施效果密切相关。为了扩展和完善我国传统通货膨胀理论,本文对通货膨胀持久性的相关研究进行系统的归纳和综述,在分析通胀持久性来源的基础上,重点介绍估计持久性水平的单变量方法和多变量方法,并分析经济结构、价格机制或货币政策变化对通胀持久性的影响。同时,文章通过货币政策传导机制描述了通胀持久性对货币政策的影响,指出制订货币政策时低估通胀持久性的危害。     

货币政策、资产价格与金融稳定性

传统的货币政策理论认为,中央银行制定货币政策时应严格以通货膨胀为目标,但金融危机的爆发,资本市场的膨胀、资产价格的波动,都不断地冲击货币政策的有效性,并在一定程度上影响金融体系的稳定性,由此引发学术界对货币政策中介目标的探讨。本文以具有变参数特征的动态金融景气指数(DFCI)为工具,考察了DFCI对CPI和金融稳定性的预测作用,在此基础上,扩展前瞻性中央银行利率反应函数,将包含资产价格信息的DFCI纳入反应函数,研究中央银行货币政策行为,并拓展直接以资产价格为操作目标的泰勒准则作比较。实证表明:在扩展形式的前瞻性利率反应函数中,DFCI变量统计显著,包含资产价格的DFCI要比不包含资产价格的DFCI显著,以资产价格作为货币政策目标的利率规则作用效应不完全显著。这说明,DFCI的建立具有合理性,资产价格波动显著地影响货币政策的有效性,严格的通货膨胀目标规则存在不足,中央银行的货币政策行为需要考虑资本市场的变化以及资产价格的波动,但直接将资产价格作为目标的货币政策具有不确定性。     

应对资产价格波动的最优货币规则研究——基于福利损失函数的实证分析

通过构建最优货币政策模型对中国货币政策进行的实证检验,发现中国的货币政策主要以盯住通货膨胀为主要目标,同时关注产出的变化,但对股票价格波动的变化并没有给予充分的关注。而通过中国预设货币政策操作框架下对股票价格波动不同反应状况的分析,发现货币政策对资产价格赋予较小权重时,中央银行的福利损失函数将会有所改善;如果继续加大对资产价格干预的权重,则会导致中央银行福利损失函数的迅速恶化。因此可以认为,中央银行还不适宜对资产价格进行过度的关注,只适合在关注通胀和产出的基础上,对资产价格给予适度的关注。     

我国金融稳定与价格稳定的非线性关联机制分析

金融稳定与价格稳定间存在一个常态化的适度负相关关系,即较低的通货膨胀水平有助于维持较好的金融稳定状况.我国金融稳定状况的改善能有效降低通货膨胀的水平值和波动率.我国金融稳定指数与价格指数存在显著的非线性关联,所产生影响的强度和波动的大小存在显著的不同,这说明我国在维持价格稳定时应该考虑金融稳定,在金融体制改革方面也应该加入通货膨胀的影响因素.     

金融状况指数FCI与货币政策反应函数经验研究

文章运用VAR模型经验估计了中国的金融状况指数FCI,结果表明FCI指数对通货膨胀率具有良好的预测力。在此基础上,将FCI指数作为目标和信息变量纳入泰勒规则,运用GMM方法估计了中国的货币政策反应函数,发现FCI指数与短期利率存在正相关关系,可以成为货币政策的短期指示器;但是利率调节对CPI通胀率、产出缺口和金融形势的松紧变化均反应不足。特别是利率对金融形势松紧变化的调节不足,刺激了金融不平衡和资产价格泡沫的相互推动和累积,是经济不平稳发展的重要政策诱因。     

Quantitative easing tilts the balance between monetary and macroprudential policy

Quantitative easing by central banks has stimulated risk-taking in financial markets and contributed to a liquidity-driven boom in asset prices. It puts the relation between monetary policy and financial stability into a new perspective. We show by a regression analysis for a panel of 11 advanced economies that an asset price bust has adverse effects on inflation. The effect of stock prices and corporate bond rates on inflation is significant, also if we control for developments in credit. This insight implies that in conducting and implementing quantitative easing, central banks should closely monitor and take into account asset bubbles.     

What determines China's inflation?

We examine determinants of inflation in China. Analyses of both year-on-year and month-on-month growth data confirm that excess liquidity, output gap, housing prices, and stock prices positively affect inflation. Impulse response analyses indicate that most effects occur during the initial five months and disappear after ten months. Effects of real interest rates and exchange rates on inflation are relatively weak. Our results suggest that the output gap is as important as excess liquidity in explaining the inflation trajectory. The central bank should closely monitor asset prices given their spillovers to inflation. Currently liquidity measures are still central for controlling inflation, but further liberalization of interest rates and exchange rates are crucial.     

货币政策工具对资产价格动态冲击的识别检验

文章以不同的货币政策手段在资产价格波动的不同阶段所表现出的作用效果为出发点,通过SVAR模型,识别出不同货币政策工具的单独动态冲击,并分别分析了膨胀阶段和低迷阶段的资产价格对货币政策冲击响应的程度,以解决针对不同阶段资产价格波动的货币政策调控手段和时机的选择问题。结果表明,货币政策对资产价格的作用具有有效性,在价格膨胀阶段可在一定时期内采取利率手段对资产价格波动进行微调,当出现价格泡沫时控制货币供应量会收到即时效果;而在资产价格低迷阶段,以利率调节资产价格具有明显和相对持久的作用。     

Empirical research on monetary policy,asset prices and inflation: an analysis based on provincial panel data in China

In this article, we investigate the dynamic correlations among monetary policy, asset prices and inflation and assess the regional effects of monetary policy in China for the period October 2007 to July 2013. We focus on the interdependencies among monetary policy and asset price fluctuations by using the Shanghai Interbank Offered Rate as the preferred variable for analysing monetary policy movement. In particular, we apply a vector autoregressive model in a panel setting, which allows researchers to examine variations over time or across individual regions. The empirical results presented herein indicate that monetary policy reacts actively to asset prices, although it is still shown to be ineffective. In addition, we find that asset prices display some regional differences in their response to an unexpected monetary policy shock.     

试析人民币对外升值与对内贬值并存

Since 2002, RMB has shown a phenomenon which is the co-existence of the external appreciation and the domestic inflation. This new monetary phenomenon has been strengthened in the context that US dollar depreciates internationally and that domestic economy is overwhelmed with excessive liquidities. The new monetary phenomenon is the reflection of the real economy that continuing trade surplus, triggered robustly by the export-driven economy, which brings a huge amount of foreign exchange reserve and accelerates sequentially the expansion of domestic money supply. Furthermore, a refrained appreciation of RMB tends to deteriorate the domestic inflation, which is not simply a traditional concept of CPI but a broad inflation parameter including a variety of asset prices. It is sure that the new phenomenon is becoming a new challenge to the macroeconomic equilibrium as well as the decision maker of monetary policy. __________ Translated from Jingji yanjiu 经济研究 (Economic Research Journal), 2007, (9): 32–48     

金融冲击与房地产市场波动*——一个宏观分析框架及中国的经验证据

本文从总量宏观分析的视角,提出了金融变量与房地产市场的“总体冲击—传导机制”假说,据此用中国的数据构建金融状况指数（包含房价的FCI1和不包含房价的FCI2）,再对金融状况指数（FCI1和FCI2）与房地产指数做实证分析。研究发现,在资产价格中房价比股价更能反映一国的金融状况;在引入金融状况指数的金融变量中,利率与房价的相关性最强;房价和利率对总产出的影响周期更长。国房景气指数、房地产投资指数和房价指数对FCI冲击的响应显著,并存在不同的表现。由于房价对居民财富、金融状况和宏观经济的影响显著,货币政策理应干预房价,必须精准把握干预的时机和干预的力度以及注重多种货币政策工具的有效搭配使用。     

我国资产价格暴涨的政治经济学分析

近年来,我国以房地产和股票为代表的资产价格急剧上涨,结构因素、总量因素和重新定价因素等相继成为解释的原因。笔者以全球流动性过剩的国际传导为视角,对我国资产价格暴涨进行了政治经济学分析,认为资金太多才是本轮资产价格暴涨的主要原因。因此,当务之急是在公开、公平和公正原则下,对资产价格进行正常蒸发,同时谨防短期国际资本以概念炒作的方式对我国进行远程非接触式攻击。     

Time–frequency relationship between US output with commodity and asset prices

Commodity and asset prices have a well-documented effect on economic growth as manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth is ambiguous, most of the previous researches highlight a positive correlation in the short run. The aim of this article is to disentangle the short- and long-run co-movements between US historical business cycles and commodity and asset prices over the period 1859–2013. For this purpose, we use a time–frequency approach and we test the historical influence of oil, gold, housing and stock prices over the output growth. In contrast to other studies, we control for the effect of other prices and monetary conditions, using the wavelet partial coherency. In line with the previous works, we discover that co-movements between economic growth and commodity and assets prices manifest especially in the short run. We also find that stock returns and housing prices have a more powerful effect on the US economic growth rate than the oil and gold prices. The long-run co-movements are documented especially around the World War II. Finally, when controlling for the influence of the interest rate, inflation and other commodity and asset prices, co-movements become weaker in the short run. In general, the oil and housing prices lead the GDP growth, the US output leads the gold prices, while there is no clear causality direction between business cycle and stock prices.