利率市场化进程中货币政策流动性效应问题研究——基于DSGE模型的模拟分析

Liquidity Effect of Monetary Policy with Interest Rate Liberalization:DSGE Simulation Analysis

利率市场化完成后,央行对利率的调控将由现阶段的直接调控存贷款利率转向间接调控央行基准利率。除非遇到特殊情况(如金融危机),过去对利率直接管制的作法将不再成为一个主要的方向。在央行通过改变货币数量对基准利率进行间接调控时,需要面对的一个关键问题是,货币数量的变化是否能够有效地影响名义利率水平及其变化路径,从而使货币政策利率传导途径发挥应有的作用。该问题的本质是,货币政策是否存在流动性效应(货币数量的扩张是否会导致名义利率水平的下降)。对于我国目前仍以"数量型"调控为主的货币政策体制来说,流动性效应是否存在、其对货币政策传导机制及经济的影响以及其是否占主导地位都是必须回答的问题,而且随着我国利率市场化进程的开展和深入,这些问题也是不可回避的。本文通过构建一个动态随机一般均衡(Dynamic Stochastic General Equilibrium,DSGE)模型,基于我国的实际数据,利用Bayes估计方法对我国货币政策的流动性效应进行实证研究,在随机模拟的基础上,针对流动性效应存在的条件及其对经济的影响进行讨论,最后针对货币政策的有关问题提出建议。

In the process of interest rate liberalization,monetary policy implemented by central bank will gradually shift from direct deposit and lending rates regulation to influence central bank's benchmark rate indirectly.Unless in exceptional circumstances(such as the financial crisis),direct control of interest rates will no longer be a major direction.The key question which has to be faced by central bank when it influences the benchmark rate through varies the quantity of money is that can changes in the quantity of money is able to effectively influence the level of nominal interest rates and change the path of interest rate,so that allow the interest rate transmission of monetary policy to play its role.The essence of the problem is that will the expansion of money supply lead nominal interest rate to fall.Since money quantity still works as monetary intermediate target in current monetary policy regime,whether the liquidity effect exist,and its impacts on the transmission mechanism of monetary policy and the economy is important to the monetary policy regime switch after interest rate liberalization.And it is also unavoidable question with the process of interest rate liberalization.The paper builds a dynamic stochastic general equilibrium model(DSGE) to study the liquidity effect of monetary policy by using Bayes estimation with actual data.Based on stochastic simulation,the paper discusses the existing condition of liquidity effect and its impacts of real economic activities.