中国货币政策调整应该考虑股票市场吗?——基于DSGE模型的模拟分析

Does China’s Monetary Policy Adjustment Consider the Stock Market?--Simulation Analysis Based on DSGE Model

中国资本市场的发展使金融结构和货币政策的实施环境发生了很大变化,一方面,股票市场对宏观经济的平稳运行正在产生重大影响;另一方面,资本市场正在成为货币政策的重要传导渠道。央行在制定货币政策时考虑股票市场是否能够改善货币政策的实施效果,即货币政策规则中纳入股票市场变量的必要性,成为当前经济领域学者研究的重要问题。本文基于新凯恩斯主义的分析框架,通过梳理家庭、厂商、银行、中央银行几个微观主体的最优化行为理论,构建动态随机一般均衡(DSGE)模型,对中国经济总体状况进行模拟。对比考虑股票市场拓展泰勒规则前后的两个DSGE模型,从稳态参数估计和脉冲响应分析两个角度探讨引入股票市场变量前后中国货币政策实施效果的差异。结果表明:考虑股票市场的货币政策规则不仅能够更好刻画中国经济稳态的实际情况,还能够降低冲击对经济变量的影响,起到减少社会福利损失的效果。最后,为现阶段中国的货币政策制订和调整提供相关建议。

The development of China’s capital market has brought about great changes in the implementation environment of financial structure and monetary policy. On the one hand, the stock market is having a major impact on the smooth operation of the macro economy;on the other hand, the capital market is becoming an important conductive channel of monetary policy. When formulating monetary policy, whether the stock market is considered by the central bank can improve the implementation effect of monetary policy.In other words, the necessity of including stock market variables in monetary policy rules has become an important issue for scholars in the current economic field. Based on the analysis framework of New Keynesianism, this paper constructs a dynamic stochastic general equilibrium(DSGE) model by combing the optimal behavior theory of several micro-subjects of family,manufacturer, bank and central bank, and simulates the overall situation of China’s economy. Comparing the two DSGE models before and after the Taylor’s rule in the stock market, the differences between the implementation of China’s monetary policy before and after the introduction of stock market variables are discussed from the perspectives of steady-state parameter estimation and impulse response analysis. The results show that considering the monetary policy rules of the stock market can not only better describe the actual situation of China’s economic stability, but also reduce the impact of shocks on economic variables and reduce the loss of social welfare. Finally, suggestions for the formulation and adjustment of China’s monetary policy are proposed.