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流动性约束与货币政策的资产价格效应
引用本文:王晓芳,毛彦军.流动性约束与货币政策的资产价格效应[J].当代经济科学,2012(2):48-55,126.
作者姓名:王晓芳  毛彦军
作者单位:西安交通大学经济与金融学院,陕西西安,710061
摘    要:本文在新凯恩斯主义分析框架下,基于一个动态随机模型探讨了代理人消费流动性约束下的货币政策的资产价格效应,得到下列结论:资产价格波动通过财富效应影响代理人的消费。以利率为操作目标的最优货币政策应对股价、房价等资产价格波动做出反应,而其反应强度依赖于受流动性约束的代理人所占的比重。由于资产价格波动导致了流动性约束的时变性,最优利率规则对股价、房价等资产价格波动的最优权重也具有时变性。本文的实证分析表明,我国央行对房价和股价波动的利率调整具有时变性,以及此次金融危机爆发期间显现的这种时变性特征,与本文理论分析结果相吻合。

关 键 词:流动性约束  货币政策  资产价格  状态空间模型

Liquidity Constraints and Asset Price Effects of Monetary Policy
WANG Xiao-fang,MAO Yan-jun.Liquidity Constraints and Asset Price Effects of Monetary Policy[J].Modern Economic Science,2012(2):48-55,126.
Authors:WANG Xiao-fang  MAO Yan-jun
Institution:(School of Economics and Finance,Xi’an Jiaotong University,Xi’an 710061,China)
Abstract:This paper studies the asset price effects of monetary policy under liquidity constraints by a dynamic stochastic model in a New Keynesian framework.The results show that asset prices affect the consumption of agent through wealth effect.Monetary policy should react to asset prices and the weight of reaction depends on the shares of constrained agents.Meanwhile as asset prices lead to changes in liquidity constraints,the optimal weights of optimal interest rate reacting to asset price volatility vary over time.The empirical study shows that the adjustment of central bank interest rate to house prices and stock prices shows time-varying characteristics.During the current financial crisis,these time-varying characteristics are more explicit.Empirical results are consistent with theoretical analysis.
Keywords:Liquidity Constraints  Monetary Policy  Asset Prices  State Space Model
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