理解我国名义利率传导机制有效性的时变特征——基于DSGE模型的理论分析与TVP-VAR模型的实证检验

文章采用DSGE模型与TVP-VAR模型对"利率调整→股价修复→经济复苏"这一政策传导路径的有效性进行理论模拟与计量检验,结果发现：理论上,名义利率调整可以有效平抑资产价格波动进而带动投资增加,从而稳定实体经济增长,但在实际传导过程中,各变量对利率变动和股价变动的反应却较为缓慢。此外,名义利率调整对股票价格的短期效应较为显著,而股价对实体经济的影响却是一个缓慢过程,两者对比鲜明,这从根本上揭示了虚拟经济变化较快而实体经济复苏缓慢的内生机理。因此,我国政府和中央银行应理性看待现阶段的实体经济下行风险,这并不意味着货币政策对股票市场和经济行为的良性指引作用已经失效,而是由于实体经济对政策调整的反应通常具有一定的时滞。

Understanding the Time-varying Characteristics of the Effectiveness of the Nominal Interest Rate Transmission Mechanism:Based on the DSGE Model's Theory Analysis and TVP-VAR Model's Empirical Test

This paper uses the DSGE model and the TVP-VAR model to do theoretical simulation and measurement test for the effectiveness of transmission path:interest rate adjustment → asset prices restoration → entity economy recovery. The results showed that:in theory, the nominal interest rate adjustment can effectively stabilize the assets price fluctuation and increase investment, thereby stabilizing the real economic growth. However, in the actual conduction process, the variables are relatively slow in response to changes of interest rates and stock price. In addition, the short-term effect of nominal interest rate adjustment to stock price is significant, but the impact of the stock price on the real economy is a slow process, both in a striking contrast, which fundamentally reveals the inherent mechanism of the fast changes of the virtual economy and the slow recovery of the real economy. Therefore, our government and central bank should be rational view at the present stage of the real economy downside risks. This does not mean that the benign guide effect of monetary policy on the stock market and economic behavior has failed, but due to the real economy's response to policy changes usually has a certain delay.