公众异质预期、信息成本与货币政策传导

Heterogeneous Expectation,Information Acquisition Cost and Monetary Policy Transmission

本文基于中国人民银行2001-2021年间储户问卷调查数据,应用区制转移向量自回归模型,研究公众异质预期对我国货币政策传导的影响,发现公众异质预期将阻碍货币政策传导、加剧经济的波动,甚至导致货币政策效果与政策目标相悖。文章理论部分构建了一个包含信息成本的异质性预期模型,刻画减弱政策调控效果的理论机制--随着个体信息程度与信息成本的差异扩大,公众预期的异质性增加、更多个体在权衡信息成本后采用不完全信息预期;不完全信息个体将货币政策作为未来经济信息的反映,加剧货币政策的信息效应,从而阻碍了政策的有效传导。进一步的定量分析说明,中央银行可通过加强预期引导和动态调节货币政策以减轻公众异质预期的负面影响。本文的实证和理论研究结果为强化预期管理与提高货币政策传导效率提供了参考。

Heterogeneous expectation lays confounding impacts on both social demand and supply sides,as well as the monetary policy transmission.While China employs macroeconomics policies in an effective and well-coordinated way and maintains positive trajectory over the long run,it still faces the pressures of shrinking domestic demand,uncertain external environment,and weakening expectations.In this context,macroeconomic uncertainty increases the difficulty for agents to precisely perceive the fundamental information about economic development,leading to the variation in expectations.Therefore,it is of great importance to assess how heterogeneous expectations affect the transmission of monetary policy in China.This study aims to answer the following questions:How do heterogeneous expectations affect the transmission of monetary policy in China?What are the underlying mechanisms through which heterogeneous expectations influence monetary policy?Furthermore,what measures can the central bank take to address the impacts of heterogeneous expectations?The empirical part of our paper examines the impacts of heterogeneous expectation on China's monetary policy transmission.Using household survey data on inflation expectations from the People's Bank of China for the period 2001 to 2021,we calculate the variable for heterogeneous expectations,and employ a smooth-transition vector autoregression(ST-VAR)model with the heterogeneous expectations as the regime variable.The empirical findings reveal that heterogeneous expectations negatively impact monetary policy in China.During periods of high heterogeneous expectations,a 1% monetary-easing shocks lead to inverse'effects,with output gaps decreasing by roughly 3% in the short run.Conversely,during periods of low heterogeneous expectations,monetary policies are carried out effectively.These results are consistent for both quantitative-based and price-based monetary policies.Our theoretical part introduces a New Keynesian model that incorporates information acquisition costs to explain how heterogeneous expectations influence monetary policy transmission.The mechanism can be summarized as follows:agents deviate from perfect information rational expectations due to the cost of acquiring information.As the variation in information among agents increases,expectations become highly heterogeneous,with a larger proportion of agents opting for incomplete information expectations.This amplifies the information effect of monetary policy and hinders its transmission.In the model,heterogeneous expectations of agents'optimal decision-making are divided into two stages.In the first stage,agents choose their expectation type(perfect information rational expectation/incomplete information expectation)based on the trade-off in information cost.In the second stage,they solve a standard optimization problem based on the expectation formed in the first stage.Quantitative analysis shows that heterogeneous expectations reduce the transmission efficiency of monetary policy for both output and inflation.To counteract the negative effects of heterogeneous expectations,we suggest strengthening expectation management and adjusting the intensity of monetary policy as viable strategies.The research conclusions and policy implications are as follows.Heterogeneous expectation plays a crucial role in monetary policy transmission.Monetary policy becomes less effective and even have'inverse'effects under high heterogeneous expectation.The monetary authority should pay attention to public communication and authoritative information disclosure to reduce the public information acquisition cost and enhance the effectiveness of monetary policy transmission.This paper provides both empirical evidence and a theoretical explanation on heterogeneous expectation's effect on monetary policy transmission,enhancing the efficiency of China's monetary policy transmission and for the more effective utilization of monetary policy in macroeconomic management.