摘要
首先建立开放经济下的资产价格和货币政策的理论模型,运用最优化方法推导出央行利率政策最优反应函数,然后运用VAR方法分析了股价、产出、通胀率和货币政策的关系,最后运用State-Space方法计算出央行应对资产价格的时变反应系数。本文发现,央行的最优利率政策应对资产价格做出非负反应,反应系数大小与产出的利率弹性和资产内在价值的利率弹性呈负相关,与资产价格的财富效应等呈正相关。实证结果表明,我国股价波动显著地影响通货膨胀,利率相对于货币供应量来说能更有效地调控股价。
The paper builds an open economy theoretic model that includes asset price and monetary policy,and then derives the optimal interest rate setting by optimization method.The authors also analyze the relationship among stock price,output,inflation rate and monetary policy by VAR model and calculate the optimum interest rate time-variant response factor against asset price through State-Space method.The authors find that,the central bank interest rate policy should response to the asset price positively,and the response factor correlates negatively with interest elasticity of output and interest elasticity of asset intrinsic value,and positively with asset wealth value.The empirical studies show the stock price can influence inflation significantly,and compared with money supply policy,interest rate policy can better impact asset price.
出处
《山西财经大学学报》
CSSCI
北大核心
2010年第11期27-34,共8页
Journal of Shanxi University of Finance and Economics
基金
教育部人文社会科学研究规划基金项目"中国金融稳定理论及政策协调机制构建--基于经济全球化背景的视角"(08JA790110)
