双支柱政策组合变动、理性预期与信贷周期波动——基于MS-DSGE模型

Two-pillar Policy Changes,Rational Expectation and Fluctuation of the Credit Cycle:An MS-DSGE Model

通过建立包含双支柱政策组合三区制变化的MS-DSGE模型,运用反事实方法考察了双支柱政策组合变动影响信贷周期波动过程中的理性预期效应。实证结果表明:双支柱政策组合对信贷周期波动形态的影响主要体现在短期;适度宽松货币政策与宏观审慎政策构建的双支柱组合调控下信贷响应,与其他两种政策组合相比,路径和波幅均出现异常变化;将经济主体理性预期纳入DSGE模型框架后与未纳入的DSGE模型结果对比,可以观察到显著的理性预期效应。

Little Current research has considered rational expectations of policy uncertainty when analyzing the influence of two-pillar policy on the credit cycle,so based on China's macroeconomic data we conduct an MS-DSGE model to include the three regime changes of two-pillar policy,and apply counterfactual method to investigate the rational expectations.The empirical results show that:impact of two-pillar policy on credit cycle is more obvious in the short-term;reactions of credit variables in regime of moderately easy monetary policy are different from the reactions in regimes of the other two;when the DSGE model considers rational expectation,reactions of credit variables are different from reactions in DSGE model with constant coefficient,there is obvious existence of rational expectation effect.