| 摘要: |
| 随着我国资本市场的发展，其深度和广度都在不断增强。近期我国股票市场波动加 大，资产价格波动对经济的影响增加。经济增速放缓、美元加息预期等内外部因素会引起资产 价格波动加剧，加大了货币政策调整的难度。本文在扩展经典泰勒规则基础上，构建符合当前 实际的递归约束SVAR模型并对其进行估计。结果表明：我国资产价格对产出的贡献以及通货 膨胀的作用显著。央行货币政策的决策与执行应适度考虑对资本市场的影响及响应，继续推进 量化调控机制向量价配合的调控机制过渡，为经济的平稳运行创造适宜的价格条件。 |
| 关键词: 货币政策反应函数；资产价格；递归约束；SVAR |
| DOI： |
| 分类号:F832.5 |
| 基金项目: |
|
| Monetary policy Response to the Asset Price Fluctuations—Empirical Research Based on Recursive SVAR |
|
Yang Yang，Song Yanchun
|
|
The People's Bank of China，Dalian Central Sub-branch
|
| Abstract: |
| With the development of China’s capital market, its depth and breadth are growing. With recent stock market volatility, the asset price fluctuations’ impact economy increases. Internal and external factors，such as economic slowdown and the dollar interest rate hike expectations, can cause asset prices volatility, and increase the difficulty of the monetary policy adjustment. Based on extended classical Taylor rule, this paper builds a recursive constraint SVAR model in accordance with the current situation and carries on the estimation. The results show that in China the asset prices’ contribution to the output and inflation was significant. Central Bank monetary policy decisions and implementation should be appropriate to consider the impact on the capital market and the response, continue to push forward the regulatory mechanism transition from quantitative control mechanism to regulate by both quantity and price, so that it can create suitable price terms for stable economic operation. |
| Key words: Monetary Policy Reaction Function；Asset Price；Recursive Constraints；SVAR |
