流动性约束与货币政策的资产价格效应

Liquidity Constraints and Asset Price Effects of Monetary Policy

本文在新凯恩斯主义分析框架下,基于一个动态随机模型探讨了代理人消费流动性约束下的货币政策的资产价格效应,得到下列结论:资产价格波动通过财富效应影响代理人的消费。以利率为操作目标的最优货币政策应对股价、房价等资产价格波动做出反应,而其反应强度依赖于受流动性约束的代理人所占的比重。由于资产价格波动导致了流动性约束的时变性,最优利率规则对股价、房价等资产价格波动的最优权重也具有时变性。本文的实证分析表明,我国央行对房价和股价波动的利率调整具有时变性,以及此次金融危机爆发期间显现的这种时变性特征,与本文理论分析结果相吻合。

This paper studies the asset price effects of monetary policy under liquidity constraints by a dynamic stochastic model in a New Keynesian framework.The results show that asset prices affect the consumption of agent through wealth effect.Monetary policy should react to asset prices and the weight of reaction depends on the shares of constrained agents.Meanwhile as asset prices lead to changes in liquidity constraints,the optimal weights of optimal interest rate reacting to asset price volatility vary over time.The empirical study shows that the adjustment of central bank interest rate to house prices and stock prices shows time-varying characteristics.During the current financial crisis,these time-varying characteristics are more explicit.Empirical results are consistent with theoretical analysis.