跨境资本流动、金融波动与货币政策选择

Capital Flows, Financial Fluctuation and Optimal Monetary Policy

随着中国资本项目开放步伐加快,有关国际资本流动与金融系统间的风险行为反馈,以及货币政策是否应当对金融波动做出反应等议题已成为学术界研究的热点。本文通过构建跨境资本流动与金融摩擦的DSGE模型,模拟分析本币汇率预期变动与国内金融系统风险行为的反馈机理,并据此检验金融稳定目标下不同货币政策规则的有效性。结果表明,本币升值预期将导致金融系统的风险选择趋于激进,同时伴随着实体经济借贷利差扩大,资产价格上涨,金融系统杠杆率增高等现象。利差平滑、杠杆调节在一定条件下可作为货币政策关注的对象,而资产价格稳定不应纳入货币政策调控范畴。

With the accelerated process of capital account reform, the feedback of risk behaviors between international capital flow and the financial system has attracted tremendous attention. Meanwhile, whether monetary policy should respond to the volatility in the financial markets has also aroused a heated academic debate. Regarding the two questions mentioned above, this essay simulates the feedback mechanism between changes in currency exchange rates and the domestic risk effects of financial system, which is developed by the DSGE Model with cross-border capital flow and financial frictions, and verifies the validity of monetary rules with various financial stability objectives. The results turn out that the expectation of currency appreciation will induce the radical risk selection of financial system, which comes along with the phenomena of widened credit spreads in the real economy, increased asset prices, growing financial system leverage, and etc. the test result of Interest Rate Rule with smooth spread, leverage control and asset price stability reveals that the first two features may significantly reduce the fluctuation of social welfare, promote the general welfare level under certain circumstances, while stabilizing asset prices is not suitable as an adjustment objective for monetary police.