调控取向测度、外生成分识别与货币政策“稳预期”效应——来自数量型中介指标的经验证据

Regulation Orientation Measurement,Exogenous Components Identification and“Stabilizing Expectation”effect of Monetary Policy:Empirical Evidence from Quantitative Intermediary Indicators

文章首先给出M2中存在内生成分的经验事实,进一步运用内生成分剔除思想定量测度货币政策调控取向变迁指数,重点刻画其对《货币政策执行报告》的拟合效果和指引功效。接下来,文章识别出M2中的外生成分,运用工具变量局部投影法分析货币政策的“稳预期”功效及政策空间异质性特征。结果表明:第一,M2和经济基本面变量之间呈现出强关联走势,M2中含有经济基本面变量信息。第二,货币政策调控取向变迁指数的时变动态属性明显,除个别时点外,其对《货币政策执行报告》中的调控取向拟合效果和指引功效较好,能够准确识别和定位货币政策调控取向的微观变迁进程和瞬时突变时点。第三,货币政策数量型中介指标具有较好的“稳预期”功效,不同货币政策空间下货币政策的“饥饿效应”和“宿醉效应”不同。政策空间充足时期货币政策的短期效应明显,但由于信心的短期属性和行为主体“逆向”选择心理,政策空间不足时期货币政策存在长期效应但不稳定。

Firstly,this paper gives the empirical fact that M2 may have endogenous components from the perspective of“coun-ter cycle”,and uses the endogenous component elimination idea to measure the change index of monetary policy regulation orientation,focusing on its fitting effect and guiding effect on the Monetary Policy Implementation Report.Furthermore,this paper quantitatively identifies the exogenous components of M2 of monetary policy and uses the tool variable local projection method to analyze the“stabilizing expectation”effect of monetary policy and the policy spatial heterogeneity characteristic.The results show that:first,there is a strong correlation trend between M2 and economic fundamental variables,and M2 con-tains the information of economic fundamental variables.Second,the time-varying characteristics and dynamic attributes of the change index of monetary policy regulation orientation are obvious.Except for a few time points,it has a good fitting effect and guidance effect on the monetary policy regulation orientation in the Monetary Policy Implementation Report,and can ac-curately identify the instantaneous sudden change time point and micro change process of the monetary policy regulation ori-entation.Third,monetary policy has the effect of“stabilizing expectations”.The“hunger effect”and“hangover effect”of monetary policy are different in different policy spaces.In the period of sufficient policy space,the short-term effect of mone-tary policy is obvious.Due to the short-term attribute of confidence and the adverse selection psychology of behavioral sub-jects,the monetary policy in the period of insufficient policy space may have long-term effect but unstable.