信息摩擦,预期管理与货币政策

Information friction,expectation management and monetary policy

近年来,“稳预期”日益受到我国政府和央行的重视,而货币政策信息摩擦的存在则会对预期管理效果产生干扰.本研究运用不完全信息的SVAR模型识别了我国货币政策中的消息冲击、噪声冲击与意外冲击,并基于包含信息摩擦的新凯恩斯DSGE模型对我国的货币政策信息结构进行贝叶斯估计,研究发现:1)尽管货币政策的消息冲击、意外冲击与噪声冲击均可以影响实体经济活动,但是影响程度存在显著差异.引入货币政策信息摩擦后的DSGE模型对实际货币政策数据的拟合效果明显增强.2)货币政策噪声的存在导致公众无法准确观测信号中的消息冲击,不仅降低货币政策发挥作用的速度,而且也会削弱货币政策的执行效果.3)价格粘性会进一步加剧货币政策信息摩擦所造成的经济周期波动.研究表明中央银行应该加强货币政策的预期管理和信息沟通,提高政策透明度,降低政策信号中的噪声成份,以提高货币政策的执行效率.

Recently,“stabilizing expectations”has received more and more attention by China’s policy mak⁃ers.Within a framework of incomplete information structure,this paper introduces anticipated news shocks,unanticipated surprise shocks and noise shocks into Chinese quantitation monetary policy.After estimating an incomplete information SVAR and a NK⁃DSGE model with financial frictions,we find that 1)News shocks,surprise shocks and noise shocks of expansionary monetary policy increase output with a descending order on impact scale.Introducing information friction helps the model more fitted to real data.2)Noise shocks“pol⁃lute”news shocks’effects by slowing down and eliminating cumulative impacts of monetary policy.3)Price stickiness exaggerates fluctuations in business cycles caused by information frictions and monetary policy targe⁃ting leverage increases welfare.The results indicate that PBC should eliminate noise in policy signals and im⁃prove policy transparency by communicating with the public more frequently and effectively.