货币政策与金融稳定——基于中东欧国家的实证分析

Relationship between Monetary Policy and Financial Stability——Based on Empirical Analysis of Central and Eastern European Countries

2008年国际金融危机的爆发提醒了各国中央银行,货币政策的实施应该超越传统的以钉住低通胀的政策目标,把注意力更多地放在金融稳定上面,因为稳定的金融系统能给货币政策的有效实施提供必要的环境条件。文章利用结构向量自回归模型,以中东欧各转轨国家为研究对象,分析它们在宏观审慎框架下货币政策中短期利率手段对其金融稳定的作用。通过股价变化、汇率变化和银行贷存比变化来衡量一国的金融稳定性,通过工业生产指数来衡量货币政策对实体经济部门的影响。实证结果表明:利率是调节资产价格的有效工具;在自由浮动或有管理的浮动汇率制度下,通货膨胀目标制有利于提高一国的金融稳定,我国的货币政策框架应逐步向通胀目标制转变。

The outbreak of international financial crisis reminded central banks in every country that the implementation of monetary policy should not only target at curbing inflation but also target at maintaining financial stability. Stable financial system could provide necessary environmental condition for the effective implementation of monetary policy. The paper uses SVAR Model to analyze transitional countries in Central and Eastern Europe and investigates the short-term interest rate＇s effectiveness in maintaining financial stability under the macroprudential monetary policy framework. The paper tries to evaluate J through changes in stock price, exchange rate, bank loan-deposit ratio. The paper also measures monetary policy＇s influence on real economy sector by studying index of industrial production. After these empirical studies, it could be demonstrated that the effectiveness of short-term interest rate mechanism on capital price is depended on monetary policy mechanism.