资产价格波动与货币政策的内在关联——理论与中国的实证经验

Inherent Relationship between the Asset Prices Volatility and the Monetary Policy——Theoretical and Empirical Evidence in China

本文构建了基于资产价格波动的货币政策反应函数,并运用SVAR模型考察了我国资产价格波动对产出与通货膨胀的影响。实证结果表明,我国资产价格波动对产出缺口存在较大的正向冲击,且股票价格指数、产出、CPI之间互为格兰杰因果关系并存在两阶协整关系,说明我国资本市场通过财富效应与投资效应影响产出日益显著。同时,我国资产价格波动能引起未来通货膨胀的同向变化,尤其是与CPI关系非常稳定,说明资产价格包含了未来通货膨胀的信息。因此,我国货币政策应对资产价格波动进行反应,并将其纳入货币政策规则。

This paper builds a monetary policy response function based on the asset price volatility,and analyzes the relationship between the asset prices volatility,output and inflation of China with the SVAR.The econometric result suggests that China＇s asset prices volatility has a positive impact on the output gap,and there is a mutual Granger causality and 2 co-integration relations among the stock prices index,output and CPI.It also means the wealth channel and the investment channel of China＇s capital market have a remarkable influence on the real economy.Meanwhile,the asset prices volatility can increase inflation;especially it is steadily correlated with CPI.This implies asset prices contain the information of inflation in the near future.Therefore,the monetary policy should respond to the asset prices volatility and the central bank should put it into the monetary policy rule.