中国中央银行对资产价格的货币政策调控具有非对称偏好吗？——基于Linex央行损失函数的理论与实证研究

›› 2020, Vol. 32 ›› Issue (2): 53-62.

中国中央银行对资产价格的货币政策调控具有非对称偏好吗？——基于Linex央行损失函数的理论与实证研究

郑冠群¹, 徐妍²

1. 西安电子科技大学经济与管理学院, 西安 710126;
2. 长安大学经济与管理学院, 西安 710064

收稿日期:2017-09-25 出版日期:2020-02-29 发布日期:2020-03-07
作者简介:郑冠群,西安电子科技大学经济与管理学院讲师,博士;徐妍,长安大学经济与管理学院讲师,博士。
基金资助:
国家自然科学基金青年项目（71803147）；教育部人文社会科学研究青年基金项目（18YJC790233）；西安电子科技大学新教师创新基金项目（XJS17047）。

Does the Monetary Policy Intervention of China's Central Bank on Asset Prices Take on Asymmetric Preferences?——An Theoretical and Empirical Research based on a Linex Loss Function of Central Banks

Zheng Guanqun¹, Xu Yan²

1. School of Economics and Management, Xidian University, Xi'an 710126;
2. School of Economics and Management, Chang'an University, Xi'an 710064

Received:2017-09-25 Online:2020-02-29 Published:2020-03-07

摘要/Abstract

摘要：

基于Linex央行损失函数和拓展的前瞻型IS-Philips框架，论证了中央银行对资产价格波动的非对称偏好及其决定的非对称货币政策调控规则；并利用中国的房地产价格和股票价格数据，实证检验了刻画央行非对称偏好的非线性欧拉方程。研究结果表明：中国中央银行对资产价格波动存在显著的非对称偏好：更偏好于资产价格向上偏离稳态均值，而不是向下偏离稳态均值。基于参数估计值的"非对称性偏好导致的利率偏差"测算结果揭示：中国中央银行对资产价格波动的非对称偏好会导致基准利率下偏，存在潜在的金融风险。

关键词: 货币政策, 资产价格, 非对称偏好

Abstract:

Based on an asymmetric central banks' loss function of Linex functional form and an expanded forward-looking IS-Philips framework, this paper demonstrates central banks' asymmetric preference towards asset price fluctuations and the consequent asymmetric monetary policy rules. Employing China's housing price data and stock price data, the paper empirically tests the Euler equation which describes the asymmetric preferences of central banks. The research results imply that, China's central bank has significant asymmetric preference towards asset price fluctuations. To be specific, it prefers upward departures of asset prices against their equilibrium value rather than downward departures. The asymmetric preference induced interest rate bias calculated through estimated parameters reveals that central banks' asymmetric preference towards asset price fluctuations will induce a downward bias of the benchmark interest rate, thus causing potential financial risks consequently.

Key words: monetary policy, asset prices, asymmetric preferences

郑冠群, 徐妍. 中国中央银行对资产价格的货币政策调控具有非对称偏好吗？——基于Linex央行损失函数的理论与实证研究[J]. , 2020, 32(2): 53-62.

Zheng Guanqun, Xu Yan. Does the Monetary Policy Intervention of China's Central Bank on Asset Prices Take on Asymmetric Preferences?——An Theoretical and Empirical Research based on a Linex Loss Function of Central Banks[J]. , 2020, 32(2): 53-62.

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