金融冲击、货币政策与宏观审慎政策——基于动态随机一般均衡模型的分析

Financial Shocks, Monetary Policy and Macro-Prudential Policy: A Dynamic Stochastic General Equilibrium Approach

通过建立包含房地产市场金融冲击的NK-DSGE模型,考察了我国货币政策与宏观审慎政策的效果。通过比较不同政策机制下金融冲击的脉冲响应函数可以发现,宏观审慎政策的引入缓和了金融冲击的效应,并且可以同时实现稳定物价和稳定金融系统的目的。社会福利分析的结果表明:(1)金融冲击下,仅对产出缺口和通胀做出反应的政策具有最低的社会福利水平;(2)如果货币政策考虑信贷市场,并同时使用反周期性宏观审慎政策,那么社会福利将得到明显的提高。这意味着金融冲击下,政府应该积极行使对信贷市场做出反应的货币政策以及反周期性宏观审慎政策相结合的政策机制。当前,在房地产市场整体不景气的背景下,我国政府积极利用金融冲击对房地产市场进行调控。因此,采用对信贷市场做出反应的货币政策以及反周期性宏观审慎政策将具有相对较好的政策效果。

In this paper, we consider a new Keynesian dynamic stochastic general equilibrium model with financial shocks, heterogeneous household, housing and financial sector, and inves- tigate the effect of monetary policy and macro-prudential policy based on the estimation of the model. By comparing the impulse response functions of financial shocks under different policy regimes, we find that the introduction of macro-prudential policy alleviates the effect of financial shocks, and it may achieve the aims of price stability and financial stability. The result of social welfare analysis shows that, the policy reacts to output gap and inflation leads to a lowest level of social welfare, but the policy that combines a monetary policy react to the credit market and a counter-cyclical macro-prudential policy lead to a highest level of social welfare. So it means that if the policy is based on social welfare, the authority should propose the policy that react to credit market and counter-cyclical macro-prudential policy when financial shocks hit the economy. When the housing market downwards, the government use the financial shocks to regulate the housing market, the conclusion of this paper may helpful for policy choice.