资产价格冲击下的货币政策非对称性验证——基于修正的NK-SVAR模型分析

Asymmetric Effects of Monetary Policy under Fluctuations of Asset Price——An Analysis based on Modified NK-SVAR Model

本文将汇率与股票价格波动纳入到基于理性预期的货币行为方程组而对新凯恩斯模型进行修正,并在此基础上通过理论约束的设计构建NK-SVAR模型,以期考察货币政策方向上的非对称效应。结果表明:我国紧缩与扩张的货币政策具有典型的非对称性,汇率与股票价格波动能够通过影响总需求、通胀率、货币数量缺口与利率水平,而对货币政策体系形成冲击。因此,我国应建立起包含资产价格波动的货币政策调控框架,并强化流动性管理中的汇率波动管理与资产泡沫管理,以保证货币政策预期目标的实现。

The paper includes the exchange rate and stock price volatility in the monetary behavior equations based on rational expectations to amend the new Keynesian model, and constructs NK-SVAR model through the design of theoreti- cal constraints to investigate the asymmetric effect in the direction of monetary policy based on the above method. The re- sult indicates that the monetary policy of China is asymmetry and the fluctuation of the exchange rate and stock price can impact the monetary policy system by the aggregate demand, inflation rate, money quantity gap and interest rate level. Hence, China should establish monetary policy regulation framework including asset price volatility, and strengthen the management of exchange rate volatility and asset bubbles management, so as to ensure the realization of the expected target of monetary policy.