有效利率下界约束下非常规货币政策效果研究

Analysis on the Effect of Unconventional Monetary Policy under the Effective Lower Bound

在全球经济出现低利率、低通胀、低增长的“三低”现象的背景下,有效利率下界约束对货币政策的影响成为学术界关注的热点。本文在一个包含金融中介部门的动态随机一般均衡(DSGE)模型中引入有效利率下界(ELB)约束,对发达经济体在低利率环境中常用的三种非常规货币政策进行了建模,并在外生需求冲击的背景下评价了政策的宏观经济效应。结果显示,前瞻性利率指引和扭转操作能够有效绕开有效利率下界的束缚,实现对经济的刺激作用。央行资产负债表的扩张有助于改善商业银行的挤兑风险,但并不适合作为常备工具频繁使用。福利分析结果印证了上述政策特征,同时发现,对政策工具及其组合的选择主要取决于央行对稳定产出及控制金融风险两个目标的权衡,对金融风险因素的忽视虽然带来更低的产出和通胀波动,但会加剧系统性风险的累积。最后,本文提出了对我国的启示:珍惜正常货币政策操作空间;加强对公众的货币政策沟通和预期引导;积极防范和化解重大金融风险。

In a low interest rate environment,unconventional monetary policies have been widely adopted to deal with the effective lower bound(ELB)constraints on short-term interest rates.This study aims to measure the effect of unconventional monetary policy tools under the constraint of the ELB compared with regular monetary policy tools.This article built a dynamic stochastic general equilibrium(DSGE)model with financial intermediary and three types of widely used unconventional monetary policy tools.A nonlinear ELB constraint on short-term interest rate is introduced to the model to better simulate real-world situations.Based on the model,this article compared the effects of unconventional monetary policies on macroeconomic variables in both the presence and absence of the ELB constraints by impulse response analysis.Finally,welfare analysis was conducted to evaluate the extent to which the monetary policies tools achieved their policy objectives.The results of impulse response analysis showed that forward guidance and operation twist can effectively overcome demand shocks and stimulate the economy under the ELB constraint.The expansion of the central bank’s balance sheet helps reduce the run risk of commercial banks,but it is not suitable to be used as a standing tool.The results of the welfare analysis confirmed the above-mentioned policy effects.It was also found that the choice of policy tools is mainly influenced by the central bank’s balancing between the two goals of stabilizing output and controlling financial risks.The neglect of financial risk factors may bring fewer output and inflation fluctuations,but will accelerate the accumulation of systemic risks.Based on the above results,this article puts forward three suggestions for China:make the best use of the normal monetary policy operation;strengthen the communication and expectation guidance with the public about monetary policy;actively prevent and resolve major financial risks.