货币政策对金融压力的非对称性反应——基于FA-DPT模型的分析

The Asymmetric Responsiveness of Monetary Policy to Financial Stress-Based on the FA-DPT Model Analysis

本文利用发达、发展中国家和地区的面板数据,检验了货币政策对金融压力增加的状态依赖反应,并使用附加因子的动态面板门限回归模型解决横截面相互依赖问题。研究发现,发达国家和地区的中央银行对高金融压力反应强烈,以宽松的货币政策应对金融市场波动。相反,发展中国家和地区的中央银行货币政策经常性地对金融压力做出反应,但在很高的金融压力时期,更多地采用宏观审慎政策应对金融市场波动。从选取的所有国家和地区的样本来看,中央银行为了应对金融压力采取反周期的货币政策,且只有在金融压力特别高的时期,反周期的政策才不显著。发达国家和地区只有在高金融压力时期对经济增长下降采取反周期的货币政策;而发展中国家和地区的中央银行更少采用利率政策恢复经济增长。

This study tests the state-dependent monetary policy responses to rising financial stress by using the panel data of central banks in both developed and emerging economies.The paper uses a factor-augmented dynamic panel threshold regression model with common components to deal with cross-sectional dependence.Firstly,this study finds strong evidence of the asymmetric response of monetary policy to financial stress in central banks in developed economies,as they pursue aggressive monetary policy loosening in response to financial market stress only in times of high financial market volatility.In comparison,evidence of aggressive monetary policy loosening in response to financial stress is found in central banks of emerging economies when financial market volatility is not so high.In a highly volatile financial market environment,however,they adopt macro prudential policy against financial market volatility.Secondly,central banks in developed economies react to output developments counter-cyclically only in times of higher financial stress.However,this study finds no evidence that emerging market countries turn to counter-cyclical monetary policy responses to financial stress and business cycle fluctuations in the high-stress regime.Thirdly,all sample countries adopt counter-cyclical monetary policy responses to business cycle fluctuations when the financial stress index is not too high,but the responsiveness becomes weak in higher financial stress regime.