开放经济条件下我国资产价格与货币政策目标关系的实证分析

Empirical Analysis on the Relations Between Asset Prices and Monetary Policy Objectives in the Open Economy of China

资产价格波动对货币政策的制定与实施有重要影响。本文将股价、房价等资产价格和汇率与利率、通货膨胀、经济增长货币政策目标联系起来,运用协整、Granger因果分析、VECM模型以及脉冲响应、方差分解方法分析资产价格与货币政策目标的关系。结果发现:资产价格、汇率、利率和通胀以及产出之间存在着稳定的长期关系。所以,为了更好地实现货币政策目标,建议我国中央银行密切关注资产价格和汇率的波动并制定相关的政策。

Asset price fluctuations have an important impact on the development and implementation of monetary polices. This paper studies the relationship between the asset prices, exchange rate and the monetary policy objectives, such as interest rates, money supply, inflation and GDP growth rate using the method of Cointegration, Granger Causality Analysis, VECM model, Impulse Response and Variance Decomposition Analysis. The basic conclusion we draw is that there exists stable long-term relationship between the asset price fluctuations, exchange rate and monetary policy objectives. Moreover, the relationship will become more complex with the interactions of multiple asset prices. Therefore, in order to improve the effect of monetary policy, the central bank should pay close attention to the fluctuations of asset prices and exchange rate while making the monetary policy.