资产价格与中国货币政策选择——基于1992—2012年季度数据实证研究

Asset Prices and Monetary Policy Choices of China:Empirical Research Based on the 1992—2012 Quarterly Data

笔者在泰勒规则和IS曲线的基础上,利用中国1992—2012年间季度数据对扩展的Phillips-IS曲线进行实证检验。通过以房价和股价作为资产价格变量,将其纳入扩展的IS曲线和货币政策反应函数进行分析,并与原始模型进行比较分析来构建我国央行货币政策反应函数。通过检验结果分析表明,在我国,资产价格因素对产出有显著影响,其包含的有用信息能更好地提高对通货膨胀预期,纳入资产价格的货币政策反应函数也能更好地模拟我国的实际情况。因此,通过逐步推动利率市场化水平,将资产价格纳入到货币政策考虑范围之中应成为未来我国的政策选择。

This paper base on Taylor rule and IS curve, for 1992--2012. By housing and stock prices as asset prices through using empirical test on Chinese quarterly data variable, incorporating it into expansive IS curve and monetary policy reaction function to analysis, and comparing with original model to construct monetary policy reaction function of China＇s central bank. Though analyzing the empirical results show that asset price have a significant effect on output, and contain some useful information which can improve the inflation expectations better, incorporating asset price into monetary reaction function can better simulate Chinese actual situation. Therefore, through promoting the level of mark interest rates gradually, taking monetary policy with asset price into account should become future China＇s policy choices.