通货膨胀预期视角下的货币政策对资产价格反应问题的研究

A study to the Reaction of Monetary Policy to Asset Price from the Inflation Expectation Perspective

通过纳入通货膨胀预期,本文研究了我国货币政策对资产价格(房价和股价)反应的方式、非对称性和急缓程度,结果表明:①货币政策在对房价和股价的反应中,通货膨胀预期起到明显不同的作用;②货币政策"关注"房价而"盯住"股价,即货币政策"间接地"根据通货膨胀预期调整对房价的反应,但通常并未考虑通货膨胀预期就"直接"调整对股价的反应;③货币政策在整个样本期内均对房价作出正向反应,且随通货膨胀预期的不断攀升反应逐渐增强,但对股价却采取所谓"调牛不调熊"的非对称反应,且随股价涨幅的增加反应逐渐增强;④这两种非对称反应均是逐渐(平滑)调整的。最后,本文还从政策层面上讨论了货币政策对资产价格反应的持续性问题。

Through the inclusion of inflation expectation,this paper empirically studied the different types,the different asymmetry and the rapid or gradual response of monetary policy to house prices and stock prices,and the results showed that：（1） The roles of inflation expectation in the different responses of monetary policy to house prices and stock prices were significantly different;（2） Monetary policy ＂concerned＂house prices and ＂pegged to＂ the stock prices.In other words,monetary policy tolerated the rising of house prices to some degree,unless accompanied by the increase of inflation expectation,it would ＂indirectly＂ adjust to the house prices,but ＂directly＂ adjust the stock prices regardless of inflation expectation;（3） In the whole sample,monetary policy strengthened the inhibition to the rising of house prices as a gradual increase of inflation expectation,while it inhibited rising of the stock prices in the bull market but not not in the bear market,and strengthened the inhibition as the rising of stock price;（4）The above two asymmetric reactions are gradual.At last,this paper study the persistence of the reaction of monetary policy to asset price.