货币政策调控效果与股市财富效应研究——基于中国混合型货币政策的DSGE模型

摘要/Abstract

摘要： 本文构建了包含四个主体的动态随机一般均衡模型，研究了中国混合型货币政策对经济的调控效果和对股市财富效应的影响。本文创新点是考虑了更加贴近中国货币政策实践的混合型货币政策，并在DSGE模型中纳入股票市场，从家庭需求端出发研究了混合型货币政策通过影响股价进而影响居民消费的传导机制，并采用中国宏观经济数据对模型进行参数校准和估计。研究发现，在混合型货币政策框架下，技术进步能够提高总产出和改善货币流动性，还能够提升股价和消费水平，实现帕累托改进；混合型货币政策短期内能够提高总产出、通货膨胀、股价和消费；股市财富效应与持有股票的家庭的消费水平高度相关，股价上升时家庭会增加当期消费以提升家庭存续期间的总效用，反之亦然。最后，本文提出了将股市纳入货币政策调控框架，加快货币政策向价格型转型，发挥股市作为货币政策的传导渠道和支撑实体经济作用的政策建议。

关键词: 混合型货币政策, 动态随机一般均衡, 股市财富效应

Abstract: This paper constructs a DSGE model with four subjects to study the regulatory effect that China's mixed monetary policy has on the economy and the wealth effect of stock market. This paper makes an innovative attempt to take account of the mixed monetary policy which is closer to the practice of China's monetary policy, and adds stock market into the DSGE model. Starting from the household demand side, this paper studies the transmission mechanism of how the mixed monetary policy plays its effect first on stock price and then on residents' consumption, and uses China's macroeconomic data to calibrate and estimate the parameters of the model. It is found that under the framework of mixed monetary policy, technological progress can lead to a higher level of total output, monetary liquidity, stock price and consumption, hence resulting in a Pareto improvement; Mixed monetary policy can increase total output, inflation, stock price and consumption in the short term; The wealth effect of stock market is highly related to the consumption level of stockholding households. When stock price rises, households will increase their current consumption to improve the total utility of households during their existence, and vice versa. Finally, this paper puts forward some policy suggestions on bringing the stock market into the regulatory framework of monetary policy, accelerating the transformation of monetary policy toward price-oriented type, giving play to the transmission channel of stock market monetary policy and supporting the real economy.

Key words: mixed monetary policy, dynamic stochastic general equilibrium, wealth effect of stock market

潘胜杰, 宋吟秋, 张鸿雁. 货币政策调控效果与股市财富效应研究——基于中国混合型货币政策的DSGE模型[J]. 管理评论, 2022, 34(5): 25-36.

Pan Shengjie, Song Yinqiu, Zhang Hongyan. Research on the Regulatary Effect of Monetary Policies and the Wealth Effect of Stock Market——A DSGE Model Based on China's Mixed Monetary Policy[J]. Management Review, 2022, 34(5): 25-36.

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