前瞻性货币政策的微观传导机制有效吗*——来自中国上市企业资产负债表的证据

本文根据新古典资本需求理论和实际余额效应理论建立了一个包含投资需求和投资效率的前瞻性泰勒规则模型，并构造了一个反映企业投融资需求状况的企业综合状况指数，将其引入扩展的前瞻性泰勒规则模型，然后从宏观和行业两个层面对加入企业综合状况指数的前瞻性泰勒规则进行了检验和比较。研究发现：（1）前瞻性利率传导的企业资产负债表渠道基本有效，短期名义利率对于超过80%行业的企业综合状况指数缺口的反应系数显著，但对不同行业的反应差异较大;（2）短期利率对企业综合状况的反应系数较小，而对通胀缺口和产出缺口的反应系数相对较高，显示货币当局调整利率可能更多的是针对通胀缺口和产出缺口反应；（3）货币政策对资产价格“反应不足”，其对股价的反应系数非常小，对房价的反应系数不显著。

IS FORWARD LOOKING MONETARY POLICY EFFECTIVE——Evidence from Balance Sheets of Listed Companies in China

Based on the neo classical capital demand theory and the real balance effect theory，this paper establishes a forward looking Taylors Rule model which contains demand and efficiency of investment，and constructs an integrated conditions index reacting on corporate balance sheets which is introduced to the forward looking Taylors Rule model，then tests and compares the forward looking Taylors rule which contains integrated conditions index from the macro level and industry levelIt finds out as followsFirst，the forward looking interest rate transmission channel of corporate balance sheet is almost effective，the reaction coefficients of short term nominal interest rates responding on integrated conditions index gap of over 80% of overall industry are significant，but differences of coefficients of response on different industries are largeSecond，the reaction coefficients of monetary policy responding on integrated conditions index gap are small，but the reaction coefficients of short term nominal interest rates responding on inflation gap and output gap are relatively high，which indicates the monetary authority to adjust interest rates is likely to more respond on inflation gap and the output gapThird，the response of monetary policy on asset prices is “inadequate”，the reaction coefficients of monetary policy responding on stock price are very small，and the reaction coefficients of monetary policy responding on stock price are not significant