世界经济 ›› 2019, Vol. 42 ›› Issue (3): 27-46.

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金融状态变化与货币政策反应

马勇1, 谭艺浓2   

  1. 1. 中国人民大学财政金融学院 中国财政金融政策研究中心 国际货币研究所 北京市海淀区中关村大街59号 100872;
    2. 清华大学经济管理学院 北京市海淀区双清路30号 100084
  • 出版日期:2019-03-10 发布日期:2019-03-25
  • 作者简介:马勇:电子信箱:mayongmail@ruc.edu.cn;谭艺浓:电子信箱:tanyinong@126.com
  • 基金资助:
    北京市社会科学基金重点项目"双支柱调控框架的理论与实证研究"(18LJA001)资助。

Regime Switch of Financial Variables and Monetary Policy Reaction

Ma Yong1, Tan Yinong2   

  • Online:2019-03-10 Published:2019-03-25

摘要: 现有DSGE(动态随机一般均衡)文献对金融变量状态变化的关注相对较少。本文通过构建包含金融资产价格和货币政策状态转变的DSGE模型,为分析金融状态变化和货币政策反应规则之间的关系提供新的思路。研究结果显示:对于正常情况下较小的金融资产价格波动,货币政策没有必要做出直接反应;但当金融资产价格大幅偏离其均衡状态时,货币政策应该对金融资产价格的波动做出直接反应。这种根据金融状态变化而灵活调整、相机选择的货币政策规则,本文称之为"基于金融状态转换的货币政策规则"。进一步的模拟分析表明,基于金融状态转换的货币政策规则比传统的线性规则能更好地稳定经济和金融体系,同时在政策操作上更加简洁,社会福利提升效果明显。

关键词: 金融状态, 货币政策, 状态转变

Abstract: In the existing literature, there are relatively few DSGE models that take into account the state change of the financial variables. This paper provides a new approach in order to analyse the relationship between financial state change and the monetary policy response rule by constructing a DSGE model that includes the regime-switching properties of financial state and monetary policy. In particular, this paper introduces a new perspective that monetary policy does not need to react directly to small fluctuations in financial asset prices during normal periods, but it should do so when large deviations from their equilibrium levels are observed in prices (which obviously indicates financial instability). This flexible and discretionary monetary policy rule, which depends on the change in financial state, is referred to in this paper as the "financial regime-switching monetary policy rule". Further simulation analysis suggests that, compared to the traditional linear rule, the financial regime-switching monetary policy rule can better stabilise the financial system and the real economy. From a functional point of view, it is more concise and applicable and it is associated with a significant improvement in social welfare.

Key words: financial state, monetary policy, regime switching

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