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收入不确定性、资产配置与货币政策选择 被引量:32

Income Uncertainty, Asset Allocation and Monetary Policy
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摘要 经济不确定性怎样影响中国宏观经济?货币政策如何应对?本文将异质性收入和流动性约束引入标准的新凯恩斯框架,定量研究了收入不确定性的宏观效应及多种货币政策规则的稳定作用。理论分析表明,收入不确定性上升时,家庭会预防性地增持流动性资产,并对生产性风险资本的供给产生挤出效应,最终导致总需求变弱、经济下滑。基于贝叶斯结构估计,本文发现:收入不确定性冲击是产出和投资波动的重要驱动力,因而是理解经济形势不确定下中国经济周期的重要维度。动态分析表明,与数量型规则相比,以利率为工具的价格型规则由于直接影响资本市场价格而具有更好的稳定效果。本文为经济不确定性下的货币政策研究提供了一个新视角。 Over the past decade, the Chinese economy has experienced an economic slowdown associated with a surge in economic uncertainty. How does the uncertainty affect individuals economic decisions as well as the real economy? What type of monetary policy can stabilize the disturbances caused by uncertainty? How can household consumption and real investment be stimulated under these circumstances? To answer these questions, this paper introduces household income uncertainty into a macroeconomic framework and quantitatively evaluates the stabilization effect of monetary policy. Empirical evidence from Chinese household survey data suggests that since the 1980s, household income uncertainty has seen a large and sustained increase, and the higher uncertainty affects not only consumption and savings behaviors but also the allocation of savings. This paper incorporates a heterogeneous household model into a standard new Keynesian dynamic stochastic general equilibrium framework. During each period, households disposable income is facing an idiosyncratic income shock, which is i.i.d. distributed across households and over time. We further assume that the volatility of income shocks is time-varying, meaning that it is an income uncertainty shock. To characterize households asset allocation decisions, we introduce risk-free bonds, liquid monetary assets, and risky assets used in production. To model the demand for liquid assets, we follow Wen (2015) in assuming that households are subject to liquidity constraints, which is modeled as a non-negative constraint on money holdings. Due to the income uncertainty, households with higher income tend to hold more monetary assets even though these assets bear little interest. Thus, the money modeling approach of our paper largely deviates from those in the standard monetary literature. Theoretical analysis proves that when income uncertainty increases, households face larger risks of liquidity shortages, leading households to hold more monetary assets to smooth the future consumption path. This precautionary demand for money further shrinks consumption expenditures. Indeed, the increased demand for money reflects a larger liquidity premium of holding money. The no-arbitrage condition between the money and bond markets indicates that nominal interest increases as well. As a result, larger demand for liquid assets (money) crowds out investment in physical capital as well as aggregate investment. The weakened aggregate demand leads to deflation in the goods market, which further dampens the firm-side demand for production capital. Eventually, due to the large reductions in both capital demand and supply, the aggregate investment in physical capital declines. Given the above, household-level portfolio decisions provide a crucial transmission mechanism for income uncertainty shocks. Based on Chinese quarterly data, we estimate the baseline model and identify income uncertainty shocks through a Bayesian approach. We then conduct quantitative analysis based on the estimated model. The results show that income uncertainty shocks cause large aggregate fluctuations in the Chinese economy, which account for approximately 45% of the fluctuations in output and investment. Through the Kalman smoothing technique, we extract the unobserved income uncertainty series. The time series closely tracks important events in the Chinese economy. The above findings suggest that economic uncertainty is an important driving force for Chinese business cycles. To quantitatively evaluate the stabilization effect of monetary policy, we compare the quantity rule that uses the growth of money injections as an instrument with the price rule that uses the interest rate as an instrument. The impulse responses indicate that the aggregate fluctuation caused by income uncertainty shocks can effectively be stabilized under the price rule, because that rule directly controls the capital price and curbs the increase in the liquidity premium through the nominal interest rate. As a consequence, the crowding-out effect from the money market can largely be mitigated. Therefore, our analysis suggests that during “new norm” episodes of high economic uncertainty, a monetary policy that makes use of the interest rate rule is more efficient in terms of stabilizing the aggregate fluctuations.
作者 许志伟 刘建丰 XU Zhiwei;LIU Jianfeng(Shanghai Jiao Tong University;Shanghai University of International Business and Economics)
出处 《经济研究》 CSSCI 北大核心 2019年第5期30-46,共17页 Economic Research Journal
基金 上海市哲学社会科学项目(2014EJL001) 上海国际金融与经济研究院(SIIFE)资助
关键词 收入不确定性 资产配置 货币政策 异质性个体新凯恩斯模型 Income Uncertainty Asset Allocation Monetary Policy Heterogeneous-agent Model New Keynesian DSGE
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