居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。

Risk Preference and Macroeconomic Effects of China's Monetary Policy: Quantitative Analysis Based on A DSGE Model

China's economy has faced greater risks in recent years due to factors such as high debt levels, an aging population,and increasingly trade disputes. These developments have made the risk preferences of households an important issue when analyzing China's economy. This paper aims to investigate whether risk preference is an important transmission channel for China's monetary policies. When risk aversion increases, households tend to hold more money and induce price adjustments on financial and real assets, thereby altering aggregate demand. The interest rate alone is thus insufficient to explain the impact of monetary policy. However, in the New Keynesian dynamic stochastic general equilibrium (DSGE) framework, the roles of risk preference and of monetary aggregates are generally neglected. To address these questions, this paper introduces an explicit role for money balances by incorporating non-separability of preferences into a classical Keynesian DSGE framework, as based on the work of Ireland (2004), Andres et al. (2006), and Benchimol and Fourcans (2012). In addition, we use a Taylor rule with a real money gap, nominal money growth, and real money growth, as a tool to investigate the mixed monetary policy rule used in China. We estimate our model by applying Bayesian techniques to China's quarterly macroeconomic data, such as GDP deflator, nominal GDP, interest rate, and money supply, as collected from the People's Bank of China, the National Bureau of Statistics of China, and the Wind database. Then we investigate the macroeconomic effects of China's monetary policies under different levels of households' risk preferences. This paper presents several findings. (1) The mixed Taylor rule with nominal money growth is the best suited to China's monetary policy at this stage of economic transition. Therefore, the growth rate of the money supply is still an important policy target. (2) A model that assumes non-separability between consumption and money fits China's macroeconomic characteristics better than models with separable utility functions. (3) With a non-separable utility function, the real money balance directly affects the economy's output gap and its rate of inflation, which means that risk preference has an important impact on the macroeconomic situation. When households are less risk-averse, the impact of monetary policy becomes stronger. Therefore, it is important for central banks to create a neutral financial environment, and to fully consider households' risk preferences during their policy-making process.The paper makes four main contributions to the literature. First, it is one of the first papers to investigate the relationship between risk preference and the effects of monetary policies in China. The findings demonstrate an important new transmission channel for China's monetary policies, which has notable policy implications. Second, unlike most studies on China's monetary policies, this paper introduces a money-in-the-utility function with an assumption of non-separability between consumption and money, and it incorporates this function into a classical DSGE model framework. This approach enriches previous research on model structures in the domestic DSGE literature, and suggests a model that is more in line with China's realistic macroeconomic characteristics. Third, this paper conducts an in-depth study on the rules of monetary policy, and attempts to construct a variety of mixed policy rules. It seeks to identify the optimal rule that best aligns with the characteristics of China's current monetary policy. To some extent, this effort improves the state of theoretical research on China's monetary policy reform.