货币政策不确定性的定义、测度及成因分析

Definition, Measurement and Cause of Monetary Policy Uncertainty

货币政策不确定性可以定义为公众未预期到的货币政策调整,并表现为货币政策目标不确定性、货币政策工具不确定性及货币政策传导的不确定性。基于TVP-SV-FAVAR模型,我们从货币政策目标、工具和传导三个方面选取指标,采用主成分分析和马尔科夫链蒙特卡洛(MCMC)方法,测度了2007-2020年期间的中国货币政策不确定性。进一步研究发现,在一定程度上中国货币政策不确定性外生于经济波动,其成因在于货币政策决策的不确定性、内外部环境不确定性和外生突发事件冲击。政策建议是:(1)精简和优化货币政策目标、工具和传导机制;(2)保持货币政策决策人员、沟通、信息发布、政策调整的稳定性,特别是在国内外货币政策分化严重时期;(3)降低宏观经济政策不确定性,对国外货币政策进行科学的解读,防止不确定性的共鸣效应;(4)避免重大突发外生事件冲击对货币政策预期造成太大压力。

Monetary policy uncertainty can be defined as an unanticipated monetary policy adjustment by the public. Based on the TVP-SV-FAVAR model, this paper selects indicators from three aspects such as monetary policy objectives, tools and transmission, adopts the principal component analysis and Markov Chain Monte Carlo(MCMC) method, and measures China’s monetary policy uncertainty from 2007 to 2020. Further research finds that, to a certain extent, the uncertainty of China’s monetary policy is exogenous to economic fluctuations. The policy recommendations are:(1) Streamline and optimize monetary policy objectives, tools and transmission mechanisms;(2) Maintain the stability of monetary policy decision-makers, communication, information release, and policy adjustments, especially during periods of severe domestic and foreign monetary policy differentiation;(3) Reduce the uncertainty of macroeconomic policies, carry out scientific and credible interpretation of foreign monetary policies, and prevent the resonance effect of uncertainty;(4) Avoid major sudden exogenous events that cause excessive pressure from monetary policy expectations.