货币政策、资产价格与消费者价格波动——基于庇古效应和超调理论的研究

Monetary policy,asset prices and consumer price fluctuations:Based on Pigou effect and overshooting theory

首先基于价格超调理论和庇古财富效应理论,全面解析了货币政策对消费者物价指数(CPI)的动态影响机制,结果发现,货币政策不仅会直接影响CPI,而且会通过资产价格的超调效应间接影响到CPI.其次,本文进一步引入马尔科夫区制转移模型,分析了货币政策的不同区制特征,并从参数时变角度测算了货币政策对资产价格和CPI的动态影响关系.实证研究表明:第一,货币政策具有明显的扩张和收缩二区制特征.第二,短期内货币政策对资产价格较之CPI有超调效应,长期看货币政策通过资产价格的庇古中介效应间接影响CPI.第三,货币政策对资产价格和CPI均存在非对称影响,扩张性货币政策效应小于紧缩性货币政策效应,同时资产价格对CPI同样存在非对称性影响,“损失规避”效应明显.

Based on the theory of price overshooting and Pigou wealth effect,this paper analyzes the dynamic impact mechanism of monetary policy on CPI from the theoretical level.The results show that monetary policy not only affects CPI directly,but also affects CPI indirectly through the overshooting effect of asset prices.Sec-ondly,Markov-switching vector autoregressive models is further introduced to analyze the different regime characteristics of monetary policy and to calculate the dynamic impact of monetary policy on asset prices and CPI from the perspective of parameter time-varying.Empirical research shows that,first,monetary policy has obvious expansion and contraction regime characteristics.Second,monetary policy has an overshooting effect on asset prices compared with CPI in the short term,and monetary policy indirectly affects CPI through the Pi-gou effect of asset prices in the long term.Third,monetary policies have asymmetric effects on asset prices and CPI.The effect of expansionary monetary policies is smaller than that of contraction monetary policies.Meanwhile,asset prices also have asymmetric effects on CPI,and the“loss aversion”effect is obvious.