货币宽松、资产价格与分配效应——基于美国1984—2019年数据的实证研究

Monetary Policy Easing,Asset Prices and Distribution Effects——Empirical Study Based on the US Data in 1984—2019

本文从货币政策影响收入分配渠道的相关理论及典型事实出发,以美国1984-2019年时间序列数据为样本,基于利率与分配效应之间相互作用的非线性特征,采用政策利率低于自然利率产生的向下偏误,衡量货币政策超出经济内生合理需求的宽松程度。在此基础上,通过构建MSVAR模型和门槛回归模型,重点讨论了宽松货币政策经由资产价格渠道对收入分配产生的显著影响,并进一步揭示了低利率、高资产价格和收入分配恶化之间的负反馈循环。本文研究为货币政策的收入分配效应提供了新的实证证据,也为我国优化货币政策总量与结构、促进经济公平和共同富裕提供了启示。

Global interest rates have been falling for an extended period of time,and the asset prices of stocks and real estate in major countries have continued to rise rapidly.After the outbreak of COVID-19,zero interest rate and quantitative easing policies reappeared under the large-scale stimulus of economy,triggering a lot of discussions about the impact of monetary policy easing on income distribution under the condition of remarkable wealth inequality among different income groups.Based on the relevant theories and typical facts that monetary policy affects income and wealth distribution,this paper puts forward two key assumptions.Firstly,low interest rate pushes up asset prices,which widens the income gap.Secondly,the decline of income equity in turn weakens the effect of counter-cyclical adjustment of monetary policy.From the new perspective that a downward bias occurs when the policy interest rate is lower than the natural interest rate,using the United States 1984—2019 time series data,and considering the non-linear interaction effects between lower interest rate and wealth inequality,this paper builds the MSVAR model and the threshold regression model to have the two hypotheses tested.This paper obtains different conclusions from the foreign mainstream research,that is,monetary policy easing will worsen the income distribution through the asset price channel in the long term,and the deterioration of income distribution will in turn weaken the effect of monetary policy,and then force the further easing of monetary policy to form a negative feedback cycle.In addition,when the policy interest rate deviates downward from the natural interest rate beyond the threshold value,the widening effect of the low interest rate on the gap between the rich and the poor will be magnified.In order to improve the redistribution effect of monetary policy in China,three suggestions are put forward.Firstly,the monetary policy should refrain from flooding the economy with liquidity.Secondly,the government should strengthen the coordination between monetary policy and fiscal policy,and strive to optimize the structural adjustment.Thirdly,the principle that houses are for living in,not for speculation,should be firmly adhered to,with the efforts to optimize the real estate developmental pattern.