未预期货币政策与金融周期——基于固浮利差的研究

Unanticipated Monetary Policy and Financial Cycle:A Study Based on Fixed Spread and Floating Spread

金融周期在货币政策调控当中起着至关重要的作用,准确识别未预期货币政策、探究未预期货币政策与金融周期之间的关系,能够为货币政策改革提供新思路,有助于货币政策的优化和金融体系的健康发展。利用固息债和浮息债之间的利差在货币政策公告前后变动的特点,通过代理变量结构向量自回归模型识别中国的未预期货币政策,并以此为基础,探讨未预期货币政策对金融周期的影响。实证研究表明,使广义货币供应量上升1个标准差的未预期货币政策冲击,会导致金融周期上行0.06%;未预期货币政策的冲击对金融周期波动的解释力度约为30%;未预期货币政策对金融周期的影响会通过融资渠道和预期渠道实现;当前货币政策调控呈现出对金融周期的逆周期调控和跨周期调控的特点。因此,中国人民银行应当进一步健全预警管理机制,密切关注金融周期的变动,完善货币政策的逆周期和跨周期调节,优化沟通协调能力,促进金融稳定和经济平稳发展的良性循环。

Financial cycle plays a crucial role in the regulation of monetary policy.Accurately identifying China’s unexpected monetary policy and exploring the relationship between unexpected monetary policy and financial cycle can provide new ideas for monetary policy reform,which is also conducive to the optimization of monetary policy and the healthy development of the financial system.By making use of the characteristics of the spread changes between fixed rate bonds and floating rate bonds before and after the monetary policy announcements,this paper identifies China’s unexpected monetary policy with the Proxy SVAR model.Then based on this,it explores the impact of the unexpected monetary policy on the financial cycle.The findings of the empirical study show that an unexpected monetary policy shock that increases the broad money supply by one standard deviation will lead to a 0.06%rise in the financial cycle,that the explanatory power of unexpected monetary policy shocks on financial cycle fluctuations is about 30%,that the impact of unexpected monetary policy on the financial cycle will be realized through financing and expected channels,and that the current monetary policy regulation presents the characteristics of counter-cyclical and cross cyclical regulation of the financial cycle.Therefore,the People’s Bank of China should further improve the early warning management mechanism,pay close attention to the changes in the financial cycle,improve the counter-cyclical and cross-cyclical adjustment of monetary policy,optimize the communication and coordination capacity,and promote the virtuous circle of financial stability and stable economic development.