包含金融因素的最优货币政策规则 阅读全文
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Title | Optimal Monetary Policy Rule with Financial Factors
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作者 | 马勇 |
Author | Ma Yong |
作者单位 | 中国人民大学财政金融学院 |
Organization | School of Finance, China Financial Policy Research Center |
作者Email | mayongmail@ruc.edu.cn |
中文关键词 | 货币政策 利率规则 金融波动 经济波动 |
Key Words | Monetary Policy; Interest Rate Rule; Financial Stability; Economic Stability |
内容提要 | 本文通过构建包含金融因素的新凯恩斯DSGE模型,首次推导出了具有明确微观基础的、包含金融变量的最优利率规则,并对其在中国货币政策中的潜在应用价值进行了实证分析和评估。本文的研究结果表明,最优的利率规则不仅需要对产出和通胀缺口做出反应,同时还需要密切关注金融形势,通过盯住关键金融变量(如实际汇率和金融周期)的变化,维持货币和整体金融状况的稳定。此外,本文的研究结果还显示了两个有意思的结论:一是最优的利率规则具有典型的前瞻性特征,强调预期管理;二是最优的利率规则内含与政府支出在方向变动上的一致性,这意味着货币政策和财政政策需要彼此协调配合,避免出现政策冲突。 |
Abstract | Based on a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with financial factors, this paper derives a micro-founded optimal interest rate rule with financial variables and analyzes its applications in China’s monetary policy practice. Our results show that the optimal interest rate rule reacts not only to the output gap and inflation but also to the key financial variables such as real exchange rate and financial cycle to maintain the stability of the currency and the financial system. In addition, our results also deliver two other interesting results: first, the optimal interest rate rule exhibits a clear forward-looking property, suggesting a need to strengthen expectations management; second, the direction of the optimal interest rate rule coincides with the government spending, suggesting that the monetary and fiscal policies need to be coordinated to avoid policy conflicts. |
文章编号 | WP1214 |
登载时间 | 2017-08-08 |
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