货币政策工具对资产价格动态冲击的识别检验
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财经研究 2007 年 第 33 卷第 07 期, 页码：32 - 40
摘要
参考文献
摘要
文章以不同的货币政策手段在资产价格波动的不同阶段所表现出的作用效果为出发点,通过SVAR模型,识别出不同货币政策工具的单独动态冲击,并分别分析了膨胀阶段和低迷阶段的资产价格对货币政策冲击响应的程度,以解决针对不同阶段资产价格波动的货币政策调控手段和时机的选择问题。结果表明,货币政策对资产价格的作用具有有效性,在价格膨胀阶段可在一定时期内采取利率手段对资产价格波动进行微调,当出现价格泡沫时控制货币供应量会收到即时效果;而在资产价格低迷阶段,以利率调节资产价格具有明显和相对持久的作用。
[1]李斌.中国货币政策有效性的实证研究[J].金融研究,2001,(7):10~17.
[2]桂荷发.信贷扩张、资产价格泡沫与政策挑战[J].财贸经济,2004,(7):39~42.
[3]瞿强.资产价格泡沫与信用扩张[J].金融研究,2005,(3):50~58.
[4]瞿强.资产价格与货币政策[J].经济研究,2001,(7):60~67.
[5]徐龙炳.货币供给与GDP关系实证分析[J].预测,2001,(2):12~16.
[6]易纲,王召.货币政策与金融资产价格[J].经济研究,2002,(3):13~20.
[7]Bernanke B,Gertler M.Should central banks respond to movements in asset prices?[J].American Economic Review,2001,5:253~257.
[8]Blanchard B Olivier Jean,Quah Danny.The dynamic effects of aggregate demand andsupply disturbances[J].American Economic Review,1989,79(4):655~673.
[9]Cecchetti S,H Genberg,J Lipsky,S Wadhwani.Asset prices and central bank policy[R].Center for Economic Policy Research,London,2000.
[10]Cochrane J H.What do the VARs mean?Measuring the output effects of monetarypolicy[J].Journal of Monetary Ecnomics,1998,41:277~300.
[11]Filardo AndrewJ.Monetary policy and asset prices[J].Economic Reviewof the Fed-eral Bank of Kansas City,2000,85:11~37.
[12]Gertler Mark,Marvin Goodfriend,Ot mar Issing,Luigi Spaventa.Asset prices andmonetary policy:Four views[R].Centre for Economic Policy Research and Bank forInternational Settlements,1998.
[13]Kent Christopher,Philip Lowe.Asset-price bubbles and monetary policy[R].Re-search Discussion Paper 9709,Reserve Bank of Australia,1997.
[14]Mishkin F.The transmission mechanismand the role of asset prices in monetary policy[R].NBER Working Paper No 8617,2001.
[15]Rigobon Roberto,Brian Sack.Measuring the reaction of monetary policy to the stockmarket[R].Finance and Economics Discussion Series,Board of Governors of the Fed-eral Reserve System,2001,14.
[16]Sargent Thomas J,Wallance Neil.Rational expectations,the opti mal monetaryinstru-ment,and the opti mal money supply rule[J].Journal of Political Economy,1975,83:241~254.
①参见李斌:“中国货币政策有效性的实证研究”,《金融研究》,2001年第7期。
②所谓的价格谜是指,关于紧缩的政策冲击的动态反应是价格水平的上升而不是下降。通常可以将商品价格包含在VAR中,以解决价格谜。当短期利率作为货币政策工具时,容易出现价格谜(徐龙炳,2001)。
[2]桂荷发.信贷扩张、资产价格泡沫与政策挑战[J].财贸经济,2004,(7):39~42.
[3]瞿强.资产价格泡沫与信用扩张[J].金融研究,2005,(3):50~58.
[4]瞿强.资产价格与货币政策[J].经济研究,2001,(7):60~67.
[5]徐龙炳.货币供给与GDP关系实证分析[J].预测,2001,(2):12~16.
[6]易纲,王召.货币政策与金融资产价格[J].经济研究,2002,(3):13~20.
[7]Bernanke B,Gertler M.Should central banks respond to movements in asset prices?[J].American Economic Review,2001,5:253~257.
[8]Blanchard B Olivier Jean,Quah Danny.The dynamic effects of aggregate demand andsupply disturbances[J].American Economic Review,1989,79(4):655~673.
[9]Cecchetti S,H Genberg,J Lipsky,S Wadhwani.Asset prices and central bank policy[R].Center for Economic Policy Research,London,2000.
[10]Cochrane J H.What do the VARs mean?Measuring the output effects of monetarypolicy[J].Journal of Monetary Ecnomics,1998,41:277~300.
[11]Filardo AndrewJ.Monetary policy and asset prices[J].Economic Reviewof the Fed-eral Bank of Kansas City,2000,85:11~37.
[12]Gertler Mark,Marvin Goodfriend,Ot mar Issing,Luigi Spaventa.Asset prices andmonetary policy:Four views[R].Centre for Economic Policy Research and Bank forInternational Settlements,1998.
[13]Kent Christopher,Philip Lowe.Asset-price bubbles and monetary policy[R].Re-search Discussion Paper 9709,Reserve Bank of Australia,1997.
[14]Mishkin F.The transmission mechanismand the role of asset prices in monetary policy[R].NBER Working Paper No 8617,2001.
[15]Rigobon Roberto,Brian Sack.Measuring the reaction of monetary policy to the stockmarket[R].Finance and Economics Discussion Series,Board of Governors of the Fed-eral Reserve System,2001,14.
[16]Sargent Thomas J,Wallance Neil.Rational expectations,the opti mal monetaryinstru-ment,and the opti mal money supply rule[J].Journal of Political Economy,1975,83:241~254.
①参见李斌:“中国货币政策有效性的实证研究”,《金融研究》,2001年第7期。
②所谓的价格谜是指,关于紧缩的政策冲击的动态反应是价格水平的上升而不是下降。通常可以将商品价格包含在VAR中,以解决价格谜。当短期利率作为货币政策工具时,容易出现价格谜(徐龙炳,2001)。
引用本文
崔畅. 货币政策工具对资产价格动态冲击的识别检验[J]. 财经研究, 2007, 33(7): 32–40.
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