资产价格、汇率波动与最优利率规则

Assets Price,Exchange Rate Volatility and Optimal Interest Rule

本文建立了开放经济条件下包含多个非有效资产市场的动态宏观经济模型,理论推演得到中央银行货币政策反应函数即最优利率规则。结果显示,利率调控不仅需要对产出与通货膨胀的动向做出反应,还要对资产价格及汇率变动有相应的调整。中国数据的实证检验表明,中央银行的货币政策调控整体上遵循了最优利率规则,该规则能够为中国货币政策实施提供一定的参照尺度,衡量货币政策的松紧变化;我国利率调控主要针对产出和通货膨胀,对资产市场价格及汇率变化的反应系数相对较小或不显著,说明中央银行没有对资产价格等因素给予过多的关注;实证结果还表明中央银行利率政策的设定结构具有较好的稳定性,其决策行为具有连贯性。整体来看,伴随着经济开放的扩大和金融改革的深化,我国货币政策还需要进一步增强调控的牵引力和改善操作的均衡性,维护宏观经济的长期平稳增长。

The paper first builds a dynamic macro economy model under the condition of none efficient asset markets in an open economy, the optimal monetary policy is obtained from the model. The result shows that the centre bank should adjust nominal interest rate not only in response to the change of output and inflation, but the change of asset price and exchange rate as well. We made an empirical study of Chinese monetary policy from 1998 to 2009, the result shows that the adjustment of interest rate followed the optimal monetary policy, the nile can be a reference framework of Chinese monetary policy and can manifest the condition of monetary policy; the result also shows that interest adjustment mainly refers to GDP growth and inflation, its reaction to asset prices change and exchange rate volatility is minus or non significant; the empirical test of the dynamic character of Chinese monetary policy design structure shows that Chinese monetary policy is stable and consistency. Totally, Chinese monetary policy should further strengthen and improve the equilibrium of policy adjustment and keep the long run stability of macro economy in the background of economic open policy and reform in financial system.