内生不确定性、货币政策与中国经济波动

Endogenous Uncertainty, Monetary Policy and China’s Economic Fluctuation

不确定性已成为中国经济下行的重要原因,已有研究多将不确定性视为外生因素。本文尝试探讨不确定性的内生性以及货币政策对不确定性的影响。本文通过估计一个具有“双向反馈”机制的均值波动率SVAR模型,从实证上分析货币政策对波动率的影响。结果显示:正向货币政策冲击在推高总需求的同时降低了产出和通货膨胀的波动率;货币政策冲击对波动率的解释比重在5%以上;关闭波动率的内生反馈机制会弱化货币政策的效果。接着,本文构建了一个包含信贷约束和数量型货币政策规则的新凯恩斯DSGE模型,从理论上解释和拟合货币政策对波动率的影响。结果显示:正向货币政策冲击能够降低宏观变量的波动率,关闭不确定性的影响会弱化货币政策的刺激效应;不确定性的状态依存特征是正向货币政策冲击减少不确定性的关键机制;经济主体的风险厌恶偏好、信贷约束程度、货币政策惯性决定了货币政策冲击对不确定性的影响,其中信贷约束是最重要的影响渠道。本文认为,扩张性的货币政策与“去杠杆”并不矛盾,是应对不确定性的有效措施。本文对于理解中国经济不确定性成因、缓解不确定性的负面影响具有重要意义。

Uncertainty has become an essential reason for China’s economic downturn.Research about China often treats uncertaintyas an exogenous factor.This paper empirically analyzes the impact of monetary policy on volatility through a volatility-in-mean SVAR model with“two-way feedback”.The estimation results show that the positive monetary policy shock not only pushes up the total demand but also reduces the volatility,the monetary policy shock accounts for more than 5%of the volatility,closing the endogenous feedback of volatility will weaken the effect of monetary policy.Then this paper constructs a new Keynesian DSGE model,which includes a credit constraint and a quantitative monetary policy rule,to account for and simulate the impact of monetary policy on volatility.The results also confirm that positive monetary policy shocks can reduce the volatility of macro variables,and closing the impact of uncertainty will weaken the effect of monetary policy.The state-dependence of uncertainty is the crucial reason for monetary policy to reduce the uncertainty.The risk aversion,the credit constraint,and the persistence of monetary policy all determine the impact of monetary policy shocks on uncertainty,among which credit constraint is the most critical channel.The paper argues that there is no contradiction between expansionary monetary policy and deleveraging,and expansionary monetary policy is an effective way to deal with uncertainty.This paper helps understand the causes of China’s economic uncertainty and mitigate the uncertainty’s adverse effects.