货币政策是否应关注资产价格——基于货币稳定的视角

货币稳定是一个伴随着货币交易范围扩展而不断拓展的概念,资产交易规模使资产价格波动能严重影响货币稳定和社会福利,因此,货币稳定应当包括资产价格稳定。利用中国1998-2009年月度、季度数据,以及协整检验、误差修正估计和方差分析等方法研究后得出:资产价格与传统通货膨胀指标现值及预期值存在联动性、与经济运行中的货币存量具有显著的数量解释关系,资产价格通过影响消费、投资等经济因素冲击着货币政策效果;货币政策对维护包括资产价格在内的货币稳定并非无能为力,经验表明资产价格往往对货币政策调整做出积极反应。因此,货币稳定指标应根据传统通货膨胀指标和资产价格指标综合计算,即货币政策应根据资产价格传导机制,精确分析资产价格与货币中介目标的关系,准确采取政策工具。     

应对资产价格波动的货币政策选择与均衡框架构建

资本市场的快速发展,使资产价格波动与货币政策效果之间的关联性不断加大.货币政策是否应当和应该如何对资产价格波动作出反应,多年来吸引了众多学者和货币政策制定者的高度关注.综合已有的理论实践和我国货币政策操作的现实,虽然目前资产价格还不具备作为我国货币政策独立调控目标的条件,但是有必要将其作为货币调控的辅助监测指标纳入中央银行货币政策操作的视野.央行应尽快建立与资产价格监测相关的指标体系,形成考虑资产价格波动因素的货币政策传导机制,构建均衡实体经济与虚拟经济的货币政策操作框架.     

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.     

中国资产价格与货币政策关系实证研究综述

国内学者对中国资产价格和货币政策的相关性进行了大量的实证研究,对货币政策的制定具有一定指导意义。这些研究成果在变量计量、研究方法等方面进行了大量探索,为该领域的理论研究做出了积极贡献。但是目前的成果也存在对中国资产结构、资产市场演变等研究背景考虑不足和成熟计量模型缺失等缺陷。     

中美货币政策变动与国内资产价格调控

后金融危机时代,美国持续量化宽松货币政策所带来的溢出效应已对中国资产价格调整产生实质性影响;美国货币政策变动后可通过利率和国际资本流入进行传导,能直接引起中国股票市场价格的剧烈波动并间接推动房地产价格的上涨;在中国房地产市场正处于深度调控背景下,美国货币政策的进一步放宽将对中国货币政策的适度紧缩形成强烈制约,使中国资产价格调控面临巨大的风险和隐患。     

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。     

Stock prices and money velocity: a multi-country analysis

What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that in a panel of 25 countries a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money. Taking quarterly data for the period 1961–1998, the relationship holds in Japan, the UK and Switzerland; in Italy a substitution effect (away from money) has also been operating. Overall, these empirical findings indicate the presence of systematic influences of stock price fluctuations on money velocity and suggest that the repercussions of asset inflation and deflation on the behavior of monetary aggregates should be monitored. First version received: July 1998/Final version received: November 2000     

Globalization, Financial Volatility and Monetary Policy

Recently it has often been claimed that globalization eases the job of central banks as it helps to tame inflation. This is used to argue that central banks (particularly the ECB, referring to the objectives as laid down in the EU Treaty) could or should reduce their efforts in the fight against inflation in favor of supporting the general economic policies of the governments. This paper takes a critical look at this argument, pointing to the structural changes associated with globalization and to the corresponding increase in uncertainty by which the central banks are affected. As an example of this, the increase in financial volatility is analyzed and explained as the result of optimal portfolio allocation, and its implications for monetary policy are discussed.     

资产证券化对货币政策实效性的影响

资产证券化对货币政策的影响 ,是一个具有理论和实际意义的重要问题。本文从三个方面对此进行了表述。一是资产证券化对货币政策传导路径的影响 ,指出它并未降低利率政策的实效性 ,但对货币供应量这一货币政策的中间目标的实效性会有影响。二是资产证券化对利率期限结构的影响 ,指出资产证券化加强了短期利率影响长期利率的实效性 ;三是分析了资产证券化对银行监管的影响。     

宏观共同因子、特质因子以及货币政策对中国各线城市房价的影响——基于FAVAR模型

运用FAVAR模型,将中国各线城市房价分离出宏观共同因子和特质因子部分,研究了各因子及货币政策对房价的影响。研究发现:大城市的房价更易受宏观共同因子和地区特质因子的影响,且变动的持续性更大;共同因子可在很大程度上解释房价变动的持续性和波动性;共同因子对房价的影响较为持久,而地区特质因子只在短期内影响房价;利率和货币供应量可以有效地影响房价;相比利率,货币供应量对一线和二线城市房价水平的影响更大,对各线城市房价波动的影响更为持久;一线城市的房价水平及其波动对货币政策冲击的敏感度较高,二线城市的敏感度居中,三线城市的敏感度较低;未发现货币政策的"价格之谜"现象,表明本文模型设定的合理性较强。     

我国货币政策与资产价格的相关性分析

运用我国1998年1月～2010年6月的数据,采取理论与实证分析相结合的方法研究货币政策与资产价格的动态相关性。实证分析的结果表明,央行不应直接将资产价格作为货币政策的目标,制定货币政策时应高度关注资产价格的变化,还应充分地、前瞻地考虑货币政策对资产价格的影响,并将资产价格未来变动趋势作为影响货币政策有效性的重要参考因素之一。     

Monetary control uncertainty and inflation bias

This paper offers an alternative explanation for the occurrence of an inflation bias with and without an output goal exceeding natural output. A monetary game model is developed from which an inflation bias emerges because the policymaker increases money growth in order to avoid a recession due to a possible negative control error. Whereas higher additive instrument uncertainty increases the inflation bias, higher multiplicative uncertainty decreases it. Delegating monetary policy to an independent and conservative central banker decreases the inflation bias for all types of control errors.     

A national or local phenomenon? A comparison of the US and the Chinese housing markets

This article investigates the common movements of house prices across cities as well as the macroeconomic underpinnings of the comovements in the US and China. Our empirical results indicate more differences than similarities between the US and the Chinese housing markets. The results from a Bayesian dynamic latent factor model indicate that the fluctuations of house prices across cities in the US are more a national phenomenon, while the dynamics of house prices across cities in China are mainly driven by the city-specific component. We further use VAR models to compare the roles of the underlying determinants in these two housing markets. The results show that the roles of monetary policy shocks and aggregate fluctuations in driving the common movements of house prices across cities differ substantially between the US and China at both short and long horizons.     

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。     

中国银行业资本扩张的顺资产价格周期性——兼论其货币政策意义

通过分析微观层面的中国上市银行的面板数据,发现中国银行业的资本增速存在顺资产价格周期性,且这在中、小型银行、资产价格危机期间表现得更为明显。在此基础上,进一步从宏观层面利用FASVAR模型检验了银行资本扩张的顺资产价格周期性对货币政策传导的影响。结果显示:货币政策传导的银行资本渠道在中国是存在的,即货币政策通过影响资产价格来影响银行的资本约束和资产扩张,最终传导给实体经济。此外,发现货币数量通过这一渠道的作用强于利率调控的作用。     

新房地产政策的影响分析及对策建议

首先对2010年4月17日国务院发布的房地产新政策的政策效果进行分析和评价,认为该政策有效打击了房地产市场的泡沫,但是降低了社会的福利水平,因此并非解决问题之根本的对策。为了找到问题的根源,从经济学最基本的模型——供给和需求模型入手,分析房地产市场泡沫形成的根本原因,进而提出一定政策性建议。以产业组织理论为基础分析房地产供给＂不足＂的根源,以货币政策理论为基础分析房产需求过热的根源。