资产价格波动对中国货币政策的影响--基于1994-2006年季度数据的实证分析

Impact of Asset Price Fluctuation on China's Monetary Policy:An Empirical Analysis Based on Quarterly Data,1994-2006

近年来,全球资产价格波动剧烈,给各国经济和社会发展带来了深刻影响。实证分析表明,资产价格(股指与房价)是央行货币政策利率反应函数的重要内生影响变量。在保持预期通胀不变的情况下,产出缺口每上升1个百分点,央行降低利率0.785个百分点;房地产价格每上涨1个百分点,相应的货币政策提升利率2.2个百分点;股指对货币政策取向也有影响,但较房价的影响要小。我们还证明,将资产价格作为内生变量的货币政策会使央行在实现其目标时更具可控性,因此建议央行将资产价格波动作为内生性影响因素,纳入前瞻性利率规则中,以此促进我国房地产市场、股票市场与衍生品市场、能源与大宗商品市场的健康发展,保持经济快速、平稳、持续、协调发展。

The wide fluctuation in global asset prices in recent years has had a profound impact on the economic and social development of every country. An empirical analysis indicates that asset prices (the stock price index and real estate prices) are an important endogenous variable affecting the interest rate reaction function of central bank monetary policy. With expected inflation as a given, each one percentage point rise in output gap will cause a 0.79 percentage point reduction in interest rates by the central bank and each one percentage point rise in real estate prices will result in a 2.2 percentage point rise in interest rates. The stock price index does have an influence on the trends in monetary policy, but it is less salient than the impact of housing prices. We also show that monetary policy that employs asset prices as an endogenous variable increases the central bank's control in seeking to attain its objectives. Therefore we suggest that the central bank should make asset price fluctuation an endogenous variable and incorporate it into its forward-looking interest rate rule, in order to facilitate the healthy development of China's markets for real estate, stocks and derivatives, energy and bulk commodities and maintain rapid, smooth, sustained and coordinated economic development.