资产价格与我国最优货币政策
摘要
随着资产市场的深化与发展，资产价格对宏观经济的影响日益深刻。这主要体现在两个方面：第一，资产价格改变了传统的货币政策传导机制和通货膨胀形成机制，使得宏观经济在一般商品价格稳定和资产价格剧烈波动中运行。第二，资产价格泡沫的膨胀和破灭屡次导致金融危机甚至是经济危机。20世纪80年代至今，全球很多国家宏观经济运行的一个重要特征就是，一般商品和服务价格稳定，而资产价格，包括股票市场、房地产市场、债券市场和外汇市场等，均出现了比以往更大幅度和更为频繁的波动。在资产价格膨胀与崩溃的循环之后，往往接踵而来的是金融危机、通货膨胀和经济衰退。资产价格泡沫崩溃对金融稳定和产出稳定的冲击，向传统的货币政策操作提出了挑战。各国中央银行和理论界开始反思：只关注一般商品和服务价格而忽视资产价格波动的货币政策是否就是维护物价稳定和产出稳定的最优政策？美国房地产价格泡沫2007年的破灭对美国乃至全球金融体系和实体经济的巨大冲击，更是让研究者们达成一个共识：一般商品价格稳定并不足以实现金融稳定，也不足以实现产出稳定。那么，货币政策是否应该更多地考虑资产市场因素，对资产价格的大幅波动做出反应？对于我国，股票市场的暴涨和暴跌以及房地产价格的持续上涨引发了对资产价格泡沫风险的担忧，要求政策救市的呼声此起彼伏。因此，研究资产价格与我国的最优货币政策，对我国具有一定的理论意义和现实意义。
货币政策是否需要对资产价格泡沫做出响应这一问题，不管是在理论界，还是在各国的央行货币政策操作层面，都存在着巨大的分歧和争议。分歧主要体现在三点：第一，资产价格波动对货币政策目标——产出稳定和通胀稳定是否存在着显著的影响？第二，中央银行是否能适时检测、识别到资产价格泡沫过程？第三，传统的货币政策工具对资产价格泡沫的干预是否有效？
针对这些问题，本文采用规范分析与实证分析的研究方法，做了较为系统的研究。研究结果表明：第一，从股票市场或者房地产市场这些单一种类的资产价格的货币政策传导机制检验来看，货币政策对资产市场的传导较为畅通，而资产价格对消费和投资的传导不完全畅通。第二，以股票价格、房地产价格和实际有效汇率组成的资产价格指数与产出和通胀之间存在着显著的格兰杰因果关系，可以用于预测未来通胀和产出。而且，资产价格指数对货币供应量的冲击具有显著的响应，货币政策对资产价格的干预是有效的。第三，基于资产价格指数的经济模拟显示，纳入资产价格的最优货币政策反应函数的央行损失，显著低于不包含资产价格的最优货币政策反应函数。
基于本文的研究结论，本文提出了相关的政策建议：编制资产价格指数，定期发布并予以解读，培养公众理性投资意识，抑制资产市场的过度投机；以资产价格膨胀代替资产价格泡沫作为衡量资产价格失衡的指标，订立资产价格波动幅度的绝对值基准，作为货币政策干预资产市场的标准；把资产价格指数纳入货币政策操作体系，适时和适度地控制资产价格的持续大幅上涨；加强对银行信贷监管，控制金融机构资产价格风险暴露，减少资产价格泡沫破灭对实体经济的冲击；通过差别利率、窗口指导等货币政策工具，调节流向资产市场的货币规模。
Along with the development of the capital market, the impact of asset prices onmacroeconomic is increasingly deep. This is mainly embodied in two aspects: Firstly,the asset prices have changed the traditional monetary transmission mechanism andinflation formation mechanism as to make the economy operate in the generalcommodity price stability and violent fluctuation of asset prices. Secondly, theexpansion and burst of the asset price bubbles often leads to the financial crisis eventhe economic crisis. An important feature of macroeconomic operation of manycountries all over the world is the stability of the general goods and service so farfrom1980s, and the asset prices including stock market, real estate market, bondmarket and foreign exchange market all appeared more greatly and frequentfluctuations than ever before. After the circulation of the inflation and breakdown ofthe asset prices, the financial crisis, inflation and recession are often followed by.The shock of asset price bubbles collapse on the financial stability and the outputstability has become a challenge to the traditional monetary policy. And the CentralBanks and scholars began to reflect that the monetary policies which only consideredthe general goods and services and neglected the asset price fluctuations was theoptimal policy to maintain the stability of prices and output or not? The great impactof the real estate price bubble burst on the financial system and the real economy inthe United States even all over the world in2007made the researchers to reach aconsensus that is the general commodity price stability is neither enough to achievethe financial stability nor enough to realize the stable output. So, the monetary policyshould consider more about the asset market factors and respond to the greatfluctuations of the asset prices? For China, the stock market boom and slump andreal estate prices continue rising led to worries to the asset price bubbles risk and therequirements voice of bailout policy breaks here and there. Therefore, the analysis ofasset price and the optimal monetary policy in our country has a certain theoreticalmeaning and realistic significance.
There are great differences and controversy on the problem that the monetary policy is necessary to respond to the asset price bubbles or not whether in theory orin the central bank's monetary policy operational level in most countries. The maindifferences are embodied in three points: Firstly, do the asset price bubbles have asignificant impact on the monetary policy objectives that are the output and inflationstability? Secondly, does the central bank can detect and recognize the asset pricebubbles process in good time? Thirdly, is the intervention of the traditional monetarypolicy tools to the asset price bubbles effective?
According to these problems, this paper makes a system of research adoptingnormative analysis and empirical analysis. The finding concludes three aspects: First,the test of the single species of asset prices monetary policy transmission mechanismin the stock market or the real estate market shows that monetary policy conductionto the asset markets is much more smooth and the conduction to consumption andinvestment are not so smooth. Second, the asset price index which is composed ofthe stock prices, real estate prices and real effective exchange rate has a significantcausality with the output and inflation, and this can be used to predict the futureinflation and output. And, the asset price index has a significant response to themoney supply shock. The intervention of the monetary policy on asset price iseffective. Third, the economic simulation basing on price index shows that thecentral bank losses is much lower than in the optimal monetary policy reactionfunction which does not contain asset prices.
Based on these research conclusions, this paper puts forward relevant policysuggestions: we should draw up the asset price index and publish regularly in orderto cultivate the public consciousness rational investment and restrain the excessivespeculation in asset markets. We should use asset price as a measure of unbalancedasset price instead of asset price bubbles and make the absolute value standard of theasset price fluctuation to be boundary of the monetary policy intervening assetmarkets. We should bring the price index into monetary policy system and payattention to it but do not keep a close watch on it to control the great rise of the assetprices in good times and reasonably. We should strengthen the supervision to thebank credit and control the risk exposure of asset price in financial institutions toreduce the impact of asset price bubble to the economic entity. In the end, we should adjust currency scale to the capital market through the monetary policy toolsincluding the differential interest rates and window guidance.
货币政策是否需要对资产价格泡沫做出响应这一问题，不管是在理论界，还是在各国的央行货币政策操作层面，都存在着巨大的分歧和争议。分歧主要体现在三点：第一，资产价格波动对货币政策目标——产出稳定和通胀稳定是否存在着显著的影响？第二，中央银行是否能适时检测、识别到资产价格泡沫过程？第三，传统的货币政策工具对资产价格泡沫的干预是否有效？
针对这些问题，本文采用规范分析与实证分析的研究方法，做了较为系统的研究。研究结果表明：第一，从股票市场或者房地产市场这些单一种类的资产价格的货币政策传导机制检验来看，货币政策对资产市场的传导较为畅通，而资产价格对消费和投资的传导不完全畅通。第二，以股票价格、房地产价格和实际有效汇率组成的资产价格指数与产出和通胀之间存在着显著的格兰杰因果关系，可以用于预测未来通胀和产出。而且，资产价格指数对货币供应量的冲击具有显著的响应，货币政策对资产价格的干预是有效的。第三，基于资产价格指数的经济模拟显示，纳入资产价格的最优货币政策反应函数的央行损失，显著低于不包含资产价格的最优货币政策反应函数。
基于本文的研究结论，本文提出了相关的政策建议：编制资产价格指数，定期发布并予以解读，培养公众理性投资意识，抑制资产市场的过度投机；以资产价格膨胀代替资产价格泡沫作为衡量资产价格失衡的指标，订立资产价格波动幅度的绝对值基准，作为货币政策干预资产市场的标准；把资产价格指数纳入货币政策操作体系，适时和适度地控制资产价格的持续大幅上涨；加强对银行信贷监管，控制金融机构资产价格风险暴露，减少资产价格泡沫破灭对实体经济的冲击；通过差别利率、窗口指导等货币政策工具，调节流向资产市场的货币规模。
Along with the development of the capital market, the impact of asset prices onmacroeconomic is increasingly deep. This is mainly embodied in two aspects: Firstly,the asset prices have changed the traditional monetary transmission mechanism andinflation formation mechanism as to make the economy operate in the generalcommodity price stability and violent fluctuation of asset prices. Secondly, theexpansion and burst of the asset price bubbles often leads to the financial crisis eventhe economic crisis. An important feature of macroeconomic operation of manycountries all over the world is the stability of the general goods and service so farfrom1980s, and the asset prices including stock market, real estate market, bondmarket and foreign exchange market all appeared more greatly and frequentfluctuations than ever before. After the circulation of the inflation and breakdown ofthe asset prices, the financial crisis, inflation and recession are often followed by.The shock of asset price bubbles collapse on the financial stability and the outputstability has become a challenge to the traditional monetary policy. And the CentralBanks and scholars began to reflect that the monetary policies which only consideredthe general goods and services and neglected the asset price fluctuations was theoptimal policy to maintain the stability of prices and output or not? The great impactof the real estate price bubble burst on the financial system and the real economy inthe United States even all over the world in2007made the researchers to reach aconsensus that is the general commodity price stability is neither enough to achievethe financial stability nor enough to realize the stable output. So, the monetary policyshould consider more about the asset market factors and respond to the greatfluctuations of the asset prices? For China, the stock market boom and slump andreal estate prices continue rising led to worries to the asset price bubbles risk and therequirements voice of bailout policy breaks here and there. Therefore, the analysis ofasset price and the optimal monetary policy in our country has a certain theoreticalmeaning and realistic significance.
There are great differences and controversy on the problem that the monetary policy is necessary to respond to the asset price bubbles or not whether in theory orin the central bank's monetary policy operational level in most countries. The maindifferences are embodied in three points: Firstly, do the asset price bubbles have asignificant impact on the monetary policy objectives that are the output and inflationstability? Secondly, does the central bank can detect and recognize the asset pricebubbles process in good time? Thirdly, is the intervention of the traditional monetarypolicy tools to the asset price bubbles effective?
According to these problems, this paper makes a system of research adoptingnormative analysis and empirical analysis. The finding concludes three aspects: First,the test of the single species of asset prices monetary policy transmission mechanismin the stock market or the real estate market shows that monetary policy conductionto the asset markets is much more smooth and the conduction to consumption andinvestment are not so smooth. Second, the asset price index which is composed ofthe stock prices, real estate prices and real effective exchange rate has a significantcausality with the output and inflation, and this can be used to predict the futureinflation and output. And, the asset price index has a significant response to themoney supply shock. The intervention of the monetary policy on asset price iseffective. Third, the economic simulation basing on price index shows that thecentral bank losses is much lower than in the optimal monetary policy reactionfunction which does not contain asset prices.
Based on these research conclusions, this paper puts forward relevant policysuggestions: we should draw up the asset price index and publish regularly in orderto cultivate the public consciousness rational investment and restrain the excessivespeculation in asset markets. We should use asset price as a measure of unbalancedasset price instead of asset price bubbles and make the absolute value standard of theasset price fluctuation to be boundary of the monetary policy intervening assetmarkets. We should bring the price index into monetary policy system and payattention to it but do not keep a close watch on it to control the great rise of the assetprices in good times and reasonably. We should strengthen the supervision to thebank credit and control the risk exposure of asset price in financial institutions toreduce the impact of asset price bubble to the economic entity. In the end, we should adjust currency scale to the capital market through the monetary policy toolsincluding the differential interest rates and window guidance.
引文
1IMF，International Financial Statistics Annual Report，2007
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