资产泡沫与最优货币政策

Asset Bubbles and Optimal Monetary Policy

本文在一个包含价格与工资双重黏性的动态新凯恩斯框架中引入内生资产泡沫和劳动力市场摩擦。本文研究发现,资产泡沫能够通过金融成本渠道缓解企业信贷约束,进而对通胀形成向下的压力。因此在经济过热、资产价格上涨的条件下,通胀依旧可能是温和的。这在一定程度上可以解释为什么短期内资产价格的上涨反而可能压低通胀。在此情形下,通胀指标可能会失真,传统货币政策规则虽然能够稳定通胀,却可能无法有效稳定经济,货币政策有理由针对资产泡沫实行逆风干预。本文发现紧缩的货币政策能够有效降低资产泡沫的规模,在货币政策目标中考虑资产泡沫或资产价格将有助于稳定经济,并且能够有效提升社会福利水平。在模型中引入宏观审慎政策之后,逆风货币政策依然能够提高社会福利水平。这说明盯住资产泡沫的货币政策在理论上是有效的,对于完善央行的货币政策框架具有重要的政策意义。治理资产泡沫的根本途径仍在于消除金融市场摩擦,增加安全资产的供给以及建立健全安全、透明和高效的融资体系。这不仅能挤出资产泡沫,还能促进实体经济的发展和提高投资效率。

Asset bubbles are important factors affecting the stability of the financial system.This paper analyzes the internal factors contributing to asset bubble formation and their interaction with monetary policy using theoretical models and quantitative simulations.The study introduces rational asset bubbles and labor market frictions within a dynamic New Keynesian model,considering price and wage stickiness.Rational asset bubbles are those that exist within a rational individual framework and generally depend on financial market frictions.Labor market frictions arise from working capital constraints,whereby firms must prepay wages to laborers before production.The model accommodates two equilibrium scenarios:one without a bubble and one with a bubble.Asset bubble formation is entirely endogenous,originating from financing constraints resulting from financial market frictions.The mechanism behind bubble formation is that when a firm's valuation exceeds its fundamental value,collateral value increases and financing constraints loosen,enabling the firm to expand investment and production.Eventually,the firm's value aligns with valuation expectations,self-fulfilling the anticipated asset bubble.The liquidity premium of the asset bubble gives it a positive market price.As financial frictions decrease,the size of the asset bubble also decreases,easing financial constraints,promoting real economic development,and improving investment efficiency.This study provides an important policy perspective for addressing asset bubbles.The study finds that asset bubbles relax firms'credit constraints,reducing their financial costs during the production process.Consequently,this exerts downward pressure on inflation,forming a core transmission channel described in this paper.Under this channel,even amid economic overheating and rising asset prices,inflation may remain moderate,potentially reinforcing the short-term flattening trend of the Phillips curve.This helps explain why short-term asset price increases might suppress inflation,similar to the economic situation before the COVID-19 pandemic when asset prices rose rapidly while inflation remained relatively moderate.In such scenarios,inflation indicators may be distorted,and monetary policies targeting inflation and output fluctuations may fail to promptly capture marginal changes in the economy,resulting in delayed or inadequate policy actions.Although traditional monetary policy rules stabilize inflation,they may not effectively stabilize the economy,warranting countercyclical interventions in response to asset bubbles.This study initially examines the relationship between monetary policy and asset bubbles.Although monetary policy does not decisively determine the existence of asset bubbles,its adjustment measures can influence their magnitude.The findings align with the common view that low interest rates and accommodative monetary policies may further expand asset bubbles,whereas tightening monetary policies can curb the size of bubbles.Next,the study considers the feasibility and effectiveness of the monetary policy of“leaning against the wind”to target asset bubbles.Building upon traditional monetary policy,the“leaning against the wind”monetary policy incorporates partial weighting on asset bubbles or prices as policy objectives.The study reveals that the monetary policy targeting asset bubbles effectively achieves macroeconomic stability goals and enhances social welfare,providing robust conclusions for various shocks.Moreover,even with macroprudential policies aimed at maintaining financial stability,monetary policy targeting asset bubbles remains effective,improving overall social welfare.The quantitative results indicate that a dual-pillar regulatory framework combining monetary policy and macroprudential policies enhances social welfare more effectively than a single-policy framework.Preventing asset bubble risks and enhancing policy effectiveness require better utilization of the dual-pillar policy framework of“monetary policy+macroprudential policy.”The conclusions of this article have important policy implications for improving central banks'monetary policy frameworks.Furthermore,the application of the model framework in this study can be expanded.Although the focus is on monetary policy,other policies may interact with asset bubbles.Therefore,an important future research direction would be to explore the relationship between asset bubbles,financial stability,economic development,and policy tools within a framework of policy coordination.It should be noted that when discussing whether monetary policy should be used to intervene in the case of asset bubbles,this study primarily refers to the broad concept of aggregate asset bubbles and does not consider the policy implications of structural asset bubbles for monetary policy operations.It is important to acknowledge that the decision-making process for monetary policy is highly complex and requires considering various factors and transmission mechanisms.The conclusions of this study simply suggest that when the core mechanism described herein dominates,it might be necessary for monetary policy to intervene in asset bubbles or asset prices.The dominant influencing mechanisms may vary over different periods,and the emphasis of monetary policy operations may also differ.