价格稳定与金融稳定相关性研究——基于中国2002-2015年数据实证研究

The Study of the Relationship Between Price and Financial Stability

基于中国2002-2015年3月的月度经济金融数据,作者利用简单相关性、VAR模型、ADCC-GARCH模型对价格稳定和金融稳定关系进行了研究。实证结果表明,价格稳定并不能保证金融稳定,二者并不存在稳定的相关性。同时,作者还研究了数量型和价格型货币政策对二者关系的影响,结果表明:货币政策对二者关系影响微弱,单独依靠货币政策很难同时实现价格稳定和金融稳定的双重目标。最后,该文选取了股票市场和房地产市场数据进行了稳健性检验,进一步论证本文观点。本文的研究结论有助于更深入理解二者关系,进一步强调了货币政策和宏观审慎政策协调的重要性,为决策部门制定合适的政策、促进宏观经济金融体系的良好运转提供了理论依据。

The conventional wisdom holds the idea that monetary policy can guarantee financial stability when it realizes the goal of price stability because price and financial stability have a stable and positive relationship. However, this paper casts a doubt about this opinion through three methods： simple correlation analysis, vector Auto Regression and Asymmetric dynamic conditional correlation. The result shows that there doesn＇t exist a stable relationship between the price and financial stability. Meanwhile, this paper investigates the impact of quantitative and price - based monetary policy on their correlation and concludes that monetary policy has little impact on the relationship so that it is difficult to achieve these double goals only through monetary policy. The conclusion of this paper is helpful to understand price and financial stability and further emphasize the importance of the coordination of monetary and macro -prudential policy, which will help the government develop appropriate policies to promote the well -functioning of macroeconomic and financial system.