基于DSGE模型的货币供给内生性检验——兼对非常规货币政策效果的解释

DSGE Model based Test of the Money Supply Endogeneity——An Explanation of the Effect of Unconventional Monetary Policy

国际金融危机已经过去近十年了,但世界主要国家采取的非常规货币政策并没有如预期那样推动经济复苏。解释好这一问题,需要从根源上重新审视货币信贷创造和货币政策传导机制是外生主导还是内生主导。本文将货币增长率引入传统的泰勒规则方程,构建了一个检验货币供给内生性的六部门DSGE模型,并通过贝叶斯技术估计货币增长率与利率之间的相关关系,对货币信贷创造和货币政策传导机制的内外生性进行了检验。估计结果表明,货币增长率与利率之间存在明显的正向关系,货币信贷创造和货币政策传导具有较强的内生性。正是由于国际金融危机爆发后,货币信贷创造和货币政策传导的内生性相对于外生性更强,美日欧等主要国家和地区的非常规货币政策从供给方增加货币供给,在短期内有助于稳定金融市场和抑制经济的下滑态势,但难以刺激总需求和推动经济增长,具有明显的"推绳子"效应。

The international financial crisis has passed for 10 years, however, the unconventional monetary policy has not promoted economic recovery as expected in the major countries. On this issue, we need to re-examine whether credit cre- ation and monetary policy transmission mechanism are exogenously or endogenously dominated. In this paper, monetary growth rate is introduced into the traditional Taylor Rule equation, and a six-sector DSGE model is designed to test the endo- geneity of money supply. The Bayesian technique is used to estimate the correlation between money growth rate and interest rate, thus testing the endogeneity and exogeneity on credit creation and monetary policy transmission mechanism. The results show that there is clear positive relationship between money growth rate and interest rate, while credit creation and monetary policy transmission demonstrate strong endogeneity.Since the outbreak of the international financial crisis, due to the stronger endogeneity rather than exogeneity on monetary credit creation and monetary policy transmission, unconventional monetary policy has been used in major countries including the U.S, Japan and Europe, which increases the money supply from the supply side. This policy helps stabilize financial market and restrain economic sliding in the short run, but it is difficult to stimulate the aggregate demand and promote economic development, showing an effect of ＂pushing on a string＂ .