货币政策二元传导机制有效性检验

The Dual Transmission Mechanism in Monetary Policy

本文基于汇率超调理论和金融加速器原理,从理论层面全面解析了货币政策对股票价格泡沫的动态影响机制,发现短期内货币供应量的增加会导致汇率超调和实体经济价格滞涨,汇率超调可以改善企业资产负债表,进而通过商业银行信贷渠道的金融加速器,使得信贷规模和股票价格螺旋上升。从时变角度进一步测算了货币政策对汇率和实体经济物价水平的动态影响。研究发现:短期内货币政策对汇率有超调影响,对物价水平影响较小。进一步通过自回归分布滞后误差修正模型(ARDL-ECM)和动态条件相关广义自回归条件异方差模型(DCC-GARCH)分析发现,货币政策对股票价格的汇率-信贷传导渠道有效性,弱化了货币政策中杰克逊霍尔共识预期的二元传导机制。最后对股票价格泡沫进行GSADF检验,发现中国股票价格在2006-2008年和2014-2015年存在明显的泡沫。央行以稳物价为通胀目标的“杰克逊霍尔共识”(Jackson Hole Consensus)干预政策会导致在一定时间段内资本市场价格通胀和实体物价水平通缩的二元局面。

Based on the theory of exchange rate overshoot and financial accelerator principle,from the theoretical level in parsing the monetary policy impact on stock price bubble dynamic mechanism,this article found that increasing the money supply in the short term leads to rate overshoot,so as to improve corporate balance sheets,and then through the financial accelerator channels of commercial bank credit,it makes the stock price and credit scale has risen in a spiral.We measure the dynamic influence of monetary policy on exchange rate and price level from the perspective of time variation.The results show that monetary policy has overshoot effect on exchange rate in the short term,but has little effect on price level.Through the ARDL-ECM and DCC-GARCH,it is found that monetary policy is effective to the exchange rate-credit transmission channel of stock prices.At last,GSADF test is carried out for stock price bubbles,and it is found that there are obvious bubbles in Chinese stock prices in 2006-2008 and 2014-2015.The“Jackson Hole Consensus”policy of central bank intervention aimed at stabilizing prices will lead to the dual situation of price inflation in capital market and deflation in real price level.