基于资产组合再平衡渠道的央行资产负债表政策溢出效应研究

Study on the Spillover Effects of Central Bank Balance Sheet Policies Based on Portfolio Rebalancing Transmission Channel

国际金融危机后,中央银行资产负债表政策成为各国央行实行货币政策操作的核心工具,但对其溢出效应的研究还停留在传统的传导渠道层面。文章基于非传统传导渠道的视角,先构建以CAPM为基础的模型理论说明资产组合再平衡传导渠道的机制,再以MSVAR模型实证检验日本央行资产负债表政策通过资产组合再平衡渠道对中国的溢出效应。实证结果表明,日本央行资产负债表的扩张使中国长期国债收益率下降、通货膨胀上升、产出水平下降,并且在不同区制下溢出效应的程度有所不同。中央银行资产负债表政策、资产组合再平衡渠道和信号渠道是货币政策发挥作用的新机制。这一结论对中国人民银行改革货币政策框架及加强国际货币协调有现实意义。

After the international financial crisis,the central bank balance sheet policies have become the central tool for central banks to implement monetary policy. Based on the perspective of unconventional transmission channel,this paper firstly builds a model to explain the portfolio rebalancing transmission channel,and then does empirical analysis to indicate that BOJ' s balance sheet policies transmit its spillover effects to China through portfolio rebalancing transmission channel. MSVAR model estimation results indicate that the expansion of the BoJ 's balance sheet push China bond yields down,inflation rising and falling output levels,moreover,the extent of spillover effects are different in different regimes,as during the period of policy implementation,the effect is relatively small. Conclusion Proof: central bank balance sheet policy,portfolio rebalancing channels and signal channels are new mechanism of monetary policy to work. This is meaningful for China monetary policy framework reform and international monetary coordination.