央行沟通、适应性学习和货币政策有效性
阅读全文
下载全文 |
| Title | Central Bank Communication, Adaptive Learning and Monetary Policy Effectiveness
|
| 作者 | 郭豫媚 周璇 |
| Author | Zhou Yumei and Zhou Xuan |
| 作者单位 | 央财经大学金融学院；中国人民大学经济学院 |
| Organization | Central University of Finance and Economics; Renmin University of China, RUC |
| 作者Email | gym333@126.com；xuanzhou@ruc.edu.cn |
| 中文关键词 | 央行沟通 适应性学习 货币政策 公共信息 私人信息 |
| Key Words | Central Bank Communication; Adaptive Learning; Monetary Policy; Public Information; Private Information |
| 内容提要 | 沟通已成为发达国家央行引导市场预期的主要方式，那么央行究竟是否应该进行沟通，央行沟通是否能够提高货币政策的有效性？为回答上述问题，本文在适应性学习框架下，构建了一个包含央行公共信息和公众私人信息的动态随机一般均衡模型，刻画了央行沟通影响公众学习和预期的传导机制。不仅弥补了已有相关文献中对公众预期形成机制刻画不足的缺陷，而且从适应性学习角度为解释央行沟通提高货币政策有效性提供了一条新机制。研究发现，央行的公共信息会挤出公众的私人信息，公众在形成预期时倾向于加大对央行公共信息的权重，这使得央行公共信息的准确度对于沟通的效果产生重要影响。当央行的公共信息比私人信息更准确时，央行沟通能够使福利损失降低约15%，并且央行信息准确度越高，央行沟通越能降低福利损失、提高货币政策有效性。进一步的数值模拟研究表明，当央行的公共信息不如私人信息准确时，央行沟通反而会增加福利损失。因此，对于目前仍不够重视沟通的中国央行而言，应在提高信息准确度的基础上重视并加强与市场的沟通，从而提高货币政策有效性。 |
| Abstract | Communication has become the main way for the central bank to guide market expectations in developed countries. This paper introduces public information, private information and adaptive learning into a standard dynamic stochastic general model to study the impact of central bank’s communication on monetary policy effectiveness. The model shows that the public information revealed by central bank can crowd out private information. Agents tend to put excessive weight on public information, so the effectiveness of central bank’s communication depends on the precision of public information. If the central bank’s public information is more accurate than private information, central bank’s communication can reduce the welfare loss by about 15% relative to non-communication. Moreover, the more accurate the central bank’s information is, the less the welfare loss is and the more effective the monetary policy is. On the contrary, if the central bank’s public information is less accurate than private information, then central bank’s communication may be harmful. Therefore, in addition to raising central bank’s information accuracy, the People’s Bank of China should place more emphasis on communication. |
| 文章编号 | WP1165 |
| 登载时间 | 2017-03-07 |
|