中国货币政策效应非对称性与货币政策选择——基于工资和价格下调刚性视角的经验研究

Asymmetric Effect of Monetary Policy and Policy Choices in China—— Empirical Studies Based on the Perspective of Downward Rigidity of Wages and Prices

为考察货币政策非对称性效应及其成因,本文在新凯恩斯主义的分析框架内,将家庭对工资下调的刚性反应,以及企业对价格下调的刚性反应特征构建于结构模型之中。文章随后运用摄动方法对构建的非线性模型进行二阶近似求解,并利用中国宏观经济季度数据,采用模拟矩方法对上述结构模型中的参数进行估计,最后利用估计得到的参数对模型进行随机动态模拟分析。模型参数的估计结果表明,中国工资和价格的变动具有明显的下调刚性特征。基于估计得到的参数对模型的动态模拟分析说明,中国货币政策冲击对经济系统产生了两种不同类型的非对称性效应:相同大小但不同方向的货币政策在数量上产生了不同的影响效应;相同方向但不同大小的货币政策产生了非线性比例的数量效果。本文的研究对中国中央银行根据经济状况选择恰当的货币政策工具,以及确定政策工具在数量上的执行力度都有着参考意义。

In order to investigate asymmetric effects of monetary policy and the causes, in a framework of the new Keynesian analysis, the wage downward rigidity and the price downward rigidity are built in a structural model. The paper then uses perturbation method to get the second order approximation to the nonlinear model, and with the Chinese macroeconomic quarterly data, uses simulated method of moments to estimate the model structure parameters. Finally, stochastic dynamic simulation analysis is conducted based on the estimated parameters. Model parameter estimation results indicate that the wage and price changes have significant downward rigidity characteristics. Dynamic simulation analysis of the model on the estimated parameters shows that monetary policy produces two different types of asymmetric effects： monetary policy with the same size but different directions has a different impact effect, and the monetary policy with the same direction but different sizes exerts a non-linear proportion effect. This paper has reference significance for China＇s central bank about how to choose an appropriate monetary policy tool according to economic situations, and how to determine enforcement degree of policy tools.