货币政策调控、流动性管理与宏观经济稳定

Monetary Policy Adjustment, Liquidity Management and Macroeconomic Stability

本文通过建立含有理性预期、商品价格粘性和工资粘性的新凯恩斯主义垄断竞争市场框架下的动态随机一般均衡模型,以麦克勒姆规则形式的货币政策机制来模拟中央银行货币政策调控,基于贝叶斯方法利用中国数据对我国宏观经济运行的特征参数进行了估计和识别,对我国货币政策调控、流动性管理与宏观经济稳定之间的关联效应和作用机制进行了理论和实证分析。实证结果显示,M0、M1、M2三个层面的货币供给与通货膨胀、实际产出存在着显著的单向以及双向的波动溢出效应;相对于通货膨胀,实际产出和货币供给中存在着更为紧密的均值溢出关系。据此,本文提出了从金融宏观审慎管理角度出发,完善货币政策框架,与逆周期宏观审慎监管政策协调配合,引导货币政策、货币供应量进行适度的逆周期变化,发挥其跨周期的逆风向调节功能,实现宏观经济稳定运行的政策建议。

The paper constructs a New Keyensian dynamic stochastic equilibrium model with rational expectation, price rigidity and uses McCollum Rule as monetary policy tool. The paper uses Bayesian estimation method to estimate and identify the parameters of the model and studies the co-relationship and operation mechanism with Chinese data. Theoretical and empirical analyses are also conducted on China＇s monetary policy adjustment, liquidity management and macro economic stability. The empirical result shows that the monetary supply of m0, m1 and m2 have significant mono or dual volatility spillover effect on inflation and real output. Compared to inflation, real output and monetary supply have closer relationship in terms of mean spillover effect. The paper suggests that the monetary policy and monetary supply should adapt to proper counter-cyclical change from the perspective of macro prudential supervision, and efforts should be made to adjust monetary policy framework and act in coordination with counter-cyclical macro-prudential policy to realize macro economic stability.