金融衍生工具对宏观经济的影响研究

Study on Macroeconomic Impact of Financial Derivatives

本文构建了DSGE模型,利用美国的数据研究了金融衍生工具的代表性产品,原油期货和雇员股票期权波动在宏观经济中的传导机制。研究表明,期权价格变动对利率的反应极其迅速,如果不考虑期权的隐含波动率,中央银行的影响利率的政策会被金融资产价格迅速变动所抵消。原油期货的外生冲击及雇员股票期权投资冲击对经济的影响较为持久。此外,原油期货波动冲击及期权的隐含波动率冲击对产出、通货膨胀、工资、利率、投资等波动有重要的影响。故本文认为,借鉴美国经验,创新中国金融衍生工具并合理监管,会对中国宏观经济快速平稳运行起到积极作用。

We build a DSGE model, using U. S. macroeconomic impact of the fluctuation of crude oil data to study the representation of financial derivatives, the futures and employees stock options. Studies have shown that the reaction of the option price changes in interest rates extremely quickly, if you do not consider options implied volatility of financial asset prices, the impact of interest rate policy of the central bank will quickly offset by the changes. Exogenous shocks of crude oil futures and employee stock options investment have lasting impact on the economy. In addition, the impact of fluctuations in crude oil futures and options implied volatility has important implications for the impact of fluctuations in output, inflation, wages, interest rates, investment. From the American experience, Chinese financial derivative product innovation and reasonable supervision will play a positive role in China＇ s rapid and stable economic development.