投资者情绪变化、货币政策调整对股市涨跌周期的影响——基于异质性预期的股市DSGE模型

Investor Sentiment,Monetary Policy Adjustment and Stock Market Boom-bust Cycles: Based on a Heterogeneous Expectation Stock Market DSGE Model

通过在动态随机一般均衡模型中加入股票投资者的异质性预期,笔者首先研究了投资者的情绪变化在股市涨跌周期中的作用。加入投资者的有限理性后,重现了股市大涨大跌的内生周期,并发现投资者的情绪变化在此过程中扮演着至关重要的角色。其次,讨论了货币政策冲击如何影响投资者的情绪变化,进而影响股价波动。结果表明,较大的或者持续的政策改变能显著改变投资者情绪,进而影响股价变动。此外,脉冲分析的结果显示,货币政策冲击对股市的影响存在不确定性,各类投资者的比例影响了货币政策的效果。因此,货币政策实施的时机至关重要。最后,还讨论了货币政策是否应当对股价变动做出反应。福利分析的结果表明,考虑了股价波动的货币政策能够抑制股价大涨大跌的周期变化,进而稳定宏观经济。因此,在货币政策的制定中应适度地考虑股价的波动。

By building a DSGE model with heterogeneous expectations of investors,this paper first studies the role of investors＇ sentiment in stock market boom-bust cycles. With the bounded rationality,this paper reproduces endogenous boom-bust cycles of the stock market,and also finds that investors＇ sentiment plays a critical role in the cycles. Second,this paper discusses how the monetary policy affects the investor＇s emotion,and then the movement of stock prices. Numerical simulation shows that a big change or persistent shocks can affect the emotion of the investors,and then the stock market. Besides,impulse response analysis shows that the impact of monetary policy shocks on stock prices is uncertain,which depends on the distribution of different investors. As a result,the timing of a monetary policy action is crucially important. Finally,this paper discusses the implications of monetary policy. Welfare analysis suggests that considering stock price fluctuations in the conduct of monetary policy depresses the stock price boom-bust cycles and further stabilizes the whole economy. Therefore,stock price movements should be considered in the monetary policy making.