实体经济不确定性、资产价格波动与货币政策选择探析

Analysis of Real Economy Uncertainty, Asset Price Volatility and Monetary Policy Choice

借鉴广义自回归条件方差(GARCH)模型构造实体经济不确定性指数,并将其作为门限变量,以房价波动与股价波动代表资产价格波动,以货币供给量、利率作为货币政策的代理变量,建立一个包含实体经济不确定性、资产价格波动与货币政策的三维门限向量自回归(T-VAR)模型,分析在不同程度的实体经济不确定性下,两种货币政策工具对资产价格波动的调控效果。实证研究表明,在实体经济不确定性程度较大时,利率工具对房价波动的调控效果最佳,短期内能快速应对房价波动,且在长期仍具有一定的调控效应;在高实体经济不确定性时,调节货币供给量是应对股票价格波动的最优选择。因此,政府在面对不同类型的资产价格波动时,要具体问题具体分析,综合运用两种货币政策工具,抑制资产价格的波动,促进实体经济的发展。

GARCH model is used to construct the index of uncertainty of real economy, which is used as the threshold variable to represent the volatility of asset prices with fluctuation of housing price and stock price. Currency supply and interest rate are used as the proxy of monetary policy Variables to establish a three-dimensional threshold vector autoregression(T-VAR) model, Which includes the uncertainty of real economy, asset price volatility and monetary policy. And analyzes the effect of two kinds of monetary policy instruments on the asset price under different degrees of real economic uncertainty fluctuation of the regulatory effect.Empirical research shows that in the real economy, when the degree of uncertainty is relatively high, interest rate instruments have the best effect on house price fluctuation, it can quickly cope with house price fluctuations in the short term, and still have some regulatory effects in the long run. When the real economic uncertainty is high, adjusting the money supply is the best choice to deal with the stock price volatility. Therefore, when facing with different types of asset price fluctuations, the government should make concrete analysis on specific issues and comprehensively use two kinds of monetary policy tools to curb the fluctuation of asset prices and promote the development of the real economy.