中国资产价格波动与货币政策调控

Asset Price Fluctuation and Monetary Policy Regulation:Evidence from China

借鉴金融形势指数的编制思想,利用我国房地产价格、股票价格、人民币实际有效汇率和大宗商品价格指数构建了我国的资产价格状况指数。运用SV-TVPVAR模型从时变和短长期两个角度分析我国数量型和价格型货币政策调控资产价格的效果,刻画不同时期我国货币政策转变特征。研究表明,我国两种类型货币政策均具有盯住资产价格的取向。价格型货币政策调控资产价格的效力整体大于数量型货币政策;而在达到调控效果极大水平所需时间以及调控效果持续时长等方面,两种类型货币政策相差不大。数量型和价格型货币政策在不同时期的调控效果皆存在差异,其中金融危机时期最为显著,而金融强监管时期有所弱化。应进一步规范金融业务创新,疏通货币政策传导渠道;改变“重量轻价”的传统货币政策调控模式,构建“价主量辅”的货币政策调控新框架;健全“货币政策+宏观审慎政策”双支柱调控框架,更有效稳定资产价格。

Based on the compilation idea of financial conditions index, this paper constructs the asset price conditions index of China by using real estate price, stock price,RMB real effective exchange rate and commodity price index. From perspectives of timevarying and short or long-term by using SV-TVP-VAR model, the effects of quantitative and price-based monetary policies on asset prices are analyzed to depict the change characteristics of China’s monetary policies in different periods. The results show that both types of monetary policies in China have the orientation of pegging to asset prices. As a whole the effectiveness of price-based monetary policy is greater than that of quantitative one. However, there is little difference between the two types of monetary policies in terms of the time required to achieve the maximum level of regulatory effect and the duration of the regulatory effect. The regulation effects of the two types of monetary policies are different in different periods, which is most significant in the financial crisis period,but weakened when the financial supervision is strong. We should further standardize the innovation of financial business, dredge the transmission channel of monetary policy,change the traditional monetary policy regulation mode of "value quantity and despise price", build a new monetary policy control framework of "price as the main factor and quantity as the supplement", and improve the dual pillar regulatory framework of "monetary policy + macro prudential policy" so as to stabilize asset prices more effectively.