理解我国名义利率传导机制有效性的时变特征——基于DSGE模型的理论分析与TVP-VAR模型的实证检验

Understanding the Time-varying Characteristics of the Effectiveness of the Nominal Interest Rate Transmission Mechanism:Based on the DSGE Model's Theory Analysis and TVP-VAR Model's Empirical Test

文章采用DSGE模型与TVP-VAR模型对"利率调整→股价修复→经济复苏"这一政策传导路径的有效性进行理论模拟与计量检验,结果发现:理论上,名义利率调整可以有效平抑资产价格波动进而带动投资增加,从而稳定实体经济增长,但在实际传导过程中,各变量对利率变动和股价变动的反应却较为缓慢。此外,名义利率调整对股票价格的短期效应较为显著,而股价对实体经济的影响却是一个缓慢过程,两者对比鲜明,这从根本上揭示了虚拟经济变化较快而实体经济复苏缓慢的内生机理。因此,我国政府和中央银行应理性看待现阶段的实体经济下行风险,这并不意味着货币政策对股票市场和经济行为的良性指引作用已经失效,而是由于实体经济对政策调整的反应通常具有一定的时滞。

This paper uses the the DSGE model and the TVP-VAR path：model to do theoretical simulation and test for effectiveness of transmission measurement interest that：rate adjustment→asset prices theory,the restoration→entity economy recovery.stabilize The results showed in nominal interest rate investment,thereby can the effectively real the assets price fluctuation and increase adjustment However,in process,the addition,the stabilizing relatively economic response growth.changes the actual and conduction variables are slow in to of interest rates price a stock price.In short-term significant,but effect on of nominal real interest rate slow the adjustment to stock is the impact of the stock price process,both contrast,which economy the economy is of a in striking fundamentally reveals the real inherent mechanism fast changes of the virtual and the slow view recovery of the Therefore,our economy.the government and central bank mean should that be rational at the of present stage of real the economy downside risks.This does not has the due benign guide real effect monetary policy policy failed,but stock market and economic behavior on to the economy＇s response to changes usually has a certain delay.