基于金融稳定目标的规则型货币政策研究

随着货币政策与金融稳定之间联系的不断深化,中央银行理应在防范金融市场系统性风险中发挥重要的作用。文章首先构建我国金融稳定指数,并将其加入线性货币政策规则,研究结果表明,中央银行在调整名义利率时的确对金融稳定状况有所关注,相比于传统泰勒规则,纳入金融稳定指数的泰勒规则中通胀系数与产出缺口系数均有显著改善,其能够更好地拟合中央银行的实际政策操作。随后,为了进一步考察货币当局对名义利率调整的动态变化特征,文章通过TVP-SV-VAR模型对拓展的时变参数泰勒规则进行了再估计。研究发现,随着经济周期和金融形势的更迭,中央银行也会不断动态调整其政策目标。其中,货币政策对通货膨胀的调控不存在明显的惰性区域,控制通胀始终是中央银行工作的重心。其次,中央银行存在规避经济收缩的偏好,在经济下行时期其对货币政策的调整会向产出缺口倾斜。最后,为了抑制金融机构的过度风险承担,货币当局在本次金融危机之后显著增强了对于金融稳定的关注。

Research on the Monetary Policy Based on Financial Stability Target

With the deepening of the relationship between monetary policy and financial stability, the monetary authorities should play an important role in preventing systemic risks in financial markets. This paper builds the financial stability index of China, and add it to linear Taylor rule, the results show that the monetary authorities do pay attention to financial stability when adjusting nominal interest rates. Compared with traditional Taylor rule, both the inflation coefficient and the output gap coefficient have been significantly improved in Taylor rule based on financial stability target. Subsequently, this paper investigate the monetary authorities' dynamic adjustment of nominal interest rates by time-varying parameter model. Study found that as the business cycle and financial situation change, the monetary authorities will also dynamically adjust its policy goals. There is no obvious inert area for monetary policy to control inflation, which means controlling inflation has always been the focus of the monetary authorities. At the same time, the monetary authorities has a preference to avoid the economic downturn, during the economic downturn, its adjustment of monetary policy will tilt towards the output gap. Finally, in order to curb the excessive risk taking of financial institutions, monetary authorities have significantly increased their attention to financial stability after this financial crisis. The contributions of this research are as follows: Firstly, at the theoretical level, this paper introduced the evolution of Taylor rule based on financial stability target. The early studies usually use single variable such as asset price to measure financial stability, and follow-up studies use financial stability index to measure the running status of financial system. As for measurement methods, it also experienced the evolution from linear model to nonlinear model. Not only do these reviews reveal the rationality of addingfinancial stability to monetary policy, but also provide an important logical framework. Secondly, at the empirical level, this paper reestimate the monetary policy rules of Chinas by linear model and time-varying parameter model. The results show that the financial stability has a significant positive influence on nominal interest rate. On the one hand, this shows that the monetary authorities is concerned about financial stability when implementing monetary policy. On the other hand, compared with traditional Taylor rule, the regular value of interest rate in monetary policy including financial stability is often higher. In fact, the monetary policy operations of the monetary authorities not only have a significant impact on the real economy, but also change the risk taking of the entire financial system. The monetary authorities that ignore financial stability tend to set relatively low nominal interest rates, which would change the risk appetite among financial institutions. Therefore, financial variables such as asset prices actually reflect the risk preferences of financial intermediaries. The monetary authorities concerned about financial stability need to set a higher interest rate to hedge the excessive risk taking of financial institutions, so as to ensure the stability of financial markets in the medium and long term. If the monetary authorities only considers the output gap and inflation, then this would lead to a systematic underestimation of nominal interest rate, which stimulate the financial institutions to improve their risk appetite, as well as endanger financial system in the long term. Therefore, the monetary authorities should pay full attention to this when implementing monetary policy.