数字经济、价格粘性与货币政策利率渠道传导效果

Digital Economy,Price Stickiness and the Transmission Effect of Interest Rate Channels of Monetary Policy

发展数字经济是党的二十大报告提出的六大强国战略之一,数字经济正在全方位地改变中国的经济形态和运行机制。本文考察了数字经济对货币政策有效性的基石——价格粘性的影响,以及由此引起的货币政策利率传导渠道的变化。本文首先在一个两部门最优化的一般均衡模型中,探讨了数字经济引起的价格粘性变化通过Fisher恒等式影响货币政策利率渠道传导的机理,据此提出了可用于验证的模型结论和机理假说,并对假说进行了实证检验。研究发现:(1)数字经济引起的价格粘性变化弱化了货币政策利率渠道调控总产出的效果;(2)数字经济弱化货币政策利率渠道传导的机理,主要在于数字经济通过作用于价格粘性降低了企业投资关于名义利率的敏感性,但对家庭消费的影响不大;(3)数字经济对货币政策利率渠道的弱化效应,会不同程度地受到货币政策实施频率和商品市场化改革等因素的影响。本研究为数字经济时代如何完善货币政策利率渠道传导机制和创新货币政策调控方式,构建新发展格局和促进经济高质量发展提供了政策参考。

The rapid development of China's digital economy is having,and continues to have,profound and far-reaching impacts on the mechanisms of China's economic operation.A significant manifestation of this is the profound alteration of the price formation mechanism of goods within the digital economy,such as reducing market segmentation for goods and significantly lowering the costs of acquiring price information and adjusting prices,which may subsequently lead to substantial changes in the price stickiness of goods.According to the Keynesian theory,the weaker the price stickiness or the more elastic the prices are,the less sensitive the real interest rate is to monetary policy changes,thus weakening the effect of monetary policies.Therefore,clarifying how the digital economy affects price stickiness,and eventually what kind of impact it has on the interest rate channels of monetary policy is of great significance for China's strategic goal of establishing a modern central banking system.To answer these questions,we first construct a general equilibrium model in an imperfectly competitive environment to explore the micro-mechanisms by which the digital economy affects price stickiness and the macro impact on the interest rate channels of monetary policy.Subsequently,using macro and micro data,we build a model of price stickiness that includes a coefficient representing the speed of price adjustments and use it to estimate the coefficient of changes in price adjustment speed caused by the digital economy.Employing the separated part of price stickiness as a proxy variable,we initially identify the effects of monetary policy on output through the interest rate channel under the influence of the digital economy by constructing baseline SVAR models and extended conditional VAR models.Following this,we construct econometric models based on both consumption and investment channels for empirical testing to explicitly delineate the path through which the digital economy affects the interest rate channels of monetary policy by influencing price stickiness.This is primarily achieved by affecting the sensitivity of corporate investment to interest rates.Finally,we also conduct further analysis of the potential impacts on the estimation results due to environmental factors such as the effects of the frequency of price adjustments triggered by differences in the implementation frequency of monetary policy,and structural changes in the goods market system.Our work makes a significant contribution to the study of the interest rate channels of monetary policy transmission in the era of the digital economy.Firstly,we innovatively propose a method to measure the impact of the digital economy on price stickiness,specifically by using semi-parametric estimation methods of varying-coefficient models based on macro and micro sample data to calculate price stickiness,and then perform regression to isolate the contribution of the digital economy within price stickiness.Secondly,we construct a theoretical model based on the state of price adjustments and incorporate the impact of the digital economy on the transaction costs of price adjustments,as well as the formation of price expectations based on the contrast between real and nominal rigidities.Additionally,unlike DSGE-type studies which mainly aim to assess the effects of policy shocks,this paper,due to its emphasis on the pricing behavior of firms,adopts a “theory + empirical” approach and focuses on the micro-mechanisms behind firms' price adjustment decisions.Thirdly,we not only empirically estimate the overall impact of the digital economy on the transmission effect of interest rate channels of monetary policy through price stickiness using conditional VAR models,but also identify the micro-mechanisms by which the digital economy affects the interest rate channels of monetary policy transmission from the perspectives of households' consumption and firms' investment sensitivities to interest rates.Finally,the paper pays special attention to the specificities of China as an economy in transition—the imperfection and dynamic evolution of the goods market,and their impact on the estimated results of the transmission mechanism.