经济不确定性条件下中国货币政策的宏观调控效应

The Macro-Adjustment and Control Effect of Monetary Policy under the Condition of Economic Uncertainty in China

近年来,伴随着中国宏观经济不确定性的凸显,货币政策有效性势必受到宏观经济不确定性的影响。本文在提取大量宏观经济变量不确定性成分并合成宏观经济不确定性指标的基础上,充分捕捉货币政策冲击对宏观经济不确定性的反馈效应,基于Self-Exciting IVAR模型内生宏观经济不确定性建模,从内生性视角实证考察了中国宏观经济不确定性对货币政策效果的影响,并进一步探讨了宏观经济不确定性影响货币政策效果的渠道。研究结果表明:宏观经济不确定性弱化了扩张性货币政策的刺激效果;宏观经济不确定性与扩张性货币政策效果反向变动,即宏观经济不确定性越高,扩张性货币政策的刺激效果就越弱;扩张性货币政策内生地降低了宏观经济不确定性,并通过宏观经济"不确定性渠道"间接作用于投资、消费和产出,放大了扩张性货币政策对宏观经济的刺激效应,尽管这种正向影响效应不及宏观经济不确定性本身所带来的负向效应。

In recent years,with the highlight of macroeconomic uncertainty,the effectiveness of monetary policy will inevitably be affected by macroeconomic uncertainty.This paper investigates the effects of macroeconomic uncertainty on monetary policy effective from the endogenous perspective,based on the extraction of uncertainty components on macroeconomic variables and composition of macroeconomic uncertainty index.To fully capture the feedback effect of monetary policy shocks to macroeconomic uncertainty,macroeconomic uncertainty is modeled endogenously in the Self-Exciting IVAR.And then it further discusses the influence channels of macroeconomic uncertainty on monetary policy effective.Results show that expansionary monetary policy effective is weakened by macroeconomic uncertainty,and they change in reverse,namely,the higher the macroeconomic uncertainty,the weaker the expansionary monetary policy effective.The macroeconomic uncertainty decreases after expansionary monetary policy shocks and this reduction in uncertainty amplify the direct effects of expansionary monetary policy through the“uncertainty channel”,which acts on investment,consumption and output,although this positive impact is not as large as the negative impact of macroeconomic uncertainty itself.