货币政策反应函数渠道对金融周期影响时变机制的实证研究

Empirical research on the time-varying impact mechanism of monetary policy reaction function channel on financial cycle

在关于货币政策影响经济主体风险承担水平,进而影响金融周期波动机制的研究中,基于风险承担渠道的相关研究较为成熟。区别于以往相关研究多关注货币政策实际采取的立场,文章基于货币政策反应函数渠道探讨了数量型与价格型货币政策反应函数对金融周期波动影响的时变机制。滚动回归的实证结果显示:无论数量型货币政策规则还是价格型货币政策规则,货币政策对信贷波动反应的敏感性主要影响金融周期的波动,但在价格型货币政策规则下,基于信贷视角观察金融周期波动时,货币政策信贷敏感性与货币政策资产价格敏感性对金融周期影响差异较小;较之于价格型货币政策规则,货币政策对信贷波动反应的敏感性在数量型货币政策规则下,对金融周期波动的影响更显著,并在一定程度上表现出随时间扩大的趋势。文章的创新之处在于:强调了货币政策通过政策反应函数渠道而非以往研究中较多关注的狭义风险承担渠道影响金融周期波动的事实,并构建计量模型对货币政策反应函数渠道影响金融周期波动的时变机制进行了详细刻画。

Relevant research regarding the mechanism through which monetary policy affects the risk-taking level of economic agents,will affect the financial cycle,thus the so-called risk-taking channels,is relatively mature.Distinguished from the traditional studies that focus on monetary policy stance,this paper analyzes monetary policy’s impact on financial cycle through both the quantity-based and the price-based monetary policy reaction function channel and its time-varying mechanism.The rolling regressions find that:1)both under the quantity-based rules and the price-based rules,monetary policy’s reaction sensitiveness to credit mainly affects the fluctuation of financial cycle,while under the price-based rules,the gap of different effects brought by monetary policy’s reaction sensitiveness to credit and monetary policy’s reaction sensitiveness to credit is small;2)compared with the situation under the price-based rules,monetary policy’s reaction sensitiveness to credit plays an more important role in influencing the evolution of the financial cycle,under the quantity-based rules,and amplifies gradually.The innovation of this paper lies on the stress on monetary policy reaction function channel which means that monetary policy influences the financial cycle through its reaction function instead of its stance,and the attempt to establish models of it.