国债流动性效应与财政货币政策配合机制

The Liquidity Effect of Treasury Bonds and the Coordination Mechanism of Fiscal and Monetary Policy

国债兼具财政和金融功能,对财政货币政策协调配合意义重大。从政策角度看,国债和货币是反映宏观政策调控行为的核心变量,从流动性角度看,两者又是经济体中最具流动性的金融资产。本文创新性地将货币和国债同时引入资产流动性摩擦的新凯恩斯DSGE模型中,以期基于更丰富的信息集来刻画中国宏观经济运行特征,用以分析流动性冲击下财政货币政策的协调配合机制。运用中国数据对模型系统进行校准和贝叶斯估计发现:在流动性冲击下,单独使用盯住资产流动性的货币政策会引发公共流动性供给总量收缩和流动性溢价攀升的问题,而盯住流动性溢价的税率政策不仅能够通过增大国债供应提高公共流动性供给总量,还通过缓解经济体对流动性的需求稳定了流动性溢价,因此能够配合货币政策更好地应对流动性冲击。本文研究有助于理解单一宏观政策在应对流动性冲击时可能存在的局限性,并为财政货币政策协调配合提供了新的参考思路。

Treasury bonds have both fiscal and financial functions,which is of great significance to the coordination of fiscal and monetary policy.From a policy point of view,treasury bonds and currency are the core variables reflecting macro policy regulation and control behavior,and from the perspective of liquidity,they are the most liquid financial assets in the economy.This paper innovatively introduces currency and treasury bonds into the New Keynesian DSGE model containing asset liquidity friction simultaneously,in order to characterize China's macroeconomic operation characteristics based on a richer information set,so as to analyze the coordination mechanism of fiscal and monetary policy under liquidity shock.Using Chinese data to calibrate and estimate the model system,it is found that under the liquidity shock,the monetary policy targeting asset liquidity alone will lead to the contraction of the total supply of public liquidity and the increase of liquidity premium.However,the tax policy targeting liquidity premium can not only increase the total supply of public liquidity by increasing the supply of treasury bonds,but also stabilize the liquidity premium by easing the demand of the economy for liquidity.So it can coordinate with monetary policy to better respond to liquidity shocks.This study helps to understand the possible limitations of a single macro policy in dealing with liquidity shocks,and provides a new reference idea for the coordination of fiscal and monetary policy.