货币政策与金融资产价格

(100800)(1000871):(1)(),,;,,,(2),,:,,Levine&Zervos(1998),,199019917,,199253,20001088,19922015;1992,21612,2000580111,82518;1992,1048,GDP319%,2000,48091,GDP5318%,19924419,GDP1218,,,199812,,,2000,1354126,3517%,16088,3315%,,,,,,,,,,,,3120023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Mishkin,1995),,,,,()Y()D(),,(Blanchard,1981),:ÛY=(D-Y):0(1)q,q,,,q,,C()G(),:D=C+q+G:0,0,0(2):ÛY=(C+q+G-Y)(3),:ÛC=ÛY+(€q-q):0,0=(C+q+G-Y)+(€q-q)(4)€q…P…Y€rŠMqP(Gavin,1989)P():ÛP=(…P-P)0(5)q,r,,rq-Ûq(Romer,1996),:=rq-Ûq(6)rie(e=ÛP):r=i-e(7)IS2LM,iYM2P(),:i=bY-h(M-P)b0h0(8),Y,:=+Y0(9),(5)-(9),q:Ûq=[bY-h(M-P)+(P-…P)]q-(+Y)(10)Q,1PQ+ÛQPQ,QR,R-ÛRPR,,:R-ÛRPR=r(11)(5)(7)(8),(11),:41:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=R2-R[bY-h(M-P)+(P-…P)](12)(3)(4)(5)(10)(12),q:ÛYÛCÛPÛqÛR=-00-0-000-00b€q-0(h+)€q€r0-b…R0-(h+)…R02…R-RrY-…YC-…CP-…Pq-€qR-…R(13),,,,,,,,:,,;,,,,,,,,,,,,,:Pq,:ÛP=(…P-P)(5)Ûq=[bY-h(M-P)+(P-…P)]q-(+Y)(10),P=…P,1-a,:q,q=(+Y)P[bY-h(M-P)+(P-…P)],,,,,,q,,,mn,1-b,E1E2,,q,,,:,,,q,,,5120023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),1-aP(2-a),,,,E2E3,R&D,,,,,1-aP(2-b),,,,€r(1+h)€q,E2E3,2-aqP()2-bqP()61:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(E1E2),,,qE2E3E3,,(),,,,,1,,(),,:,,,,,,,,,,,,(),,,,:ÛY=(C+q+G-Y)(3)ÛR=R2-R[bY-h(M-P)+(P-…P)](12),Y=C+q+G,,R2Y,R=bY-h(M-P)+(P-…P),,,,R2Y,2…R€r,,mn,3,2…R€r,,,,,,,;,,,E1E2,:,,,,,,,,,,,E2E3,,()7120023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()3-aYR3-bY,,,ÛC=(C+q+G-Y)+(€q-q)(4)Ûq=[bY-h(M-P)+(P-…P)]q-(+Y)(10)Cq,:,C=1[(-)q+Y-G-€q]-,,,Ûq=0:-0,ÛC=0,,q,q=(+Y)/[bY-h(M-P)+(P-…P)],C2q,,E,,,(E),4-a4-b,,,;,,(q),E1E2,,,E2E3,,,,,,-,81:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=0(4),,,,,,,,,4-a4-b(2),1,,,ÛC=0,,,Ando&Modigliani(1963),017,0106,(1994),01039(2000),010506,,(2001)19995119,01044,1999,,-0,,,,,,,,,-0,,,,,,,,,,,,9120023©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(,2001),,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,2001:,4:2000:,5,2000:,,2001:,3,2001:,7,1994:,,DavidRomer,1996,AdvancedMacroeconomics,TheMcGraw2HillCompanies,Inc.FredericS.Mishkin,1996,TheChannelsofMonetaryTransmission:LessonsforMonetaryPolicy,NBERWorkingPaper5464.MichaelGavin,1989,TheStockMarketandExchangeRateDynamics,JournalofInternationalMoneyandFinance,8,181200.OlivierJ.Blanchard,1981,Output,theStockMarket,andInterestRates,theAmericanEconomicReview,March,132143.RossLevineandSaraZervos,1998:StockMarkets,Bank,andEconomicGrowth,theAmericanEconomicReview,June,537558.(:)(:)02:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(ResearchBureau,ThePeoplesBankofChina;DepartmentofPostgraduates,ThePeoplesBankofChina)ThispaperemploysthehistoricalanalysisandthereactionfunctionmethodtoconductanempiricalanalysisofChinasmonetarypolicyintheframeworkofTaylorrule.Bycomparingtherulevaluewiththeactualvalueoftheinterestrate,weshowthatTaylorrulecanprovideabenchmarkformeasuringthestanceofChinasmonetarypolicy.Theactualvaluedeviatesfromrulevaluewhenthepolicyoperationlagsbehindtherequestofthedevelopmentofeconomicsituation.Insuchanunstablemonetarypolicyregime,thegenerationanddevleopmentofinflationordeflationisofaself2fulfillingmechanism.Chinasmonetarypolicyshouldbetrans2formedfromanunstableruletoastableone.Weshouldactivelycarryinterestratereformforwardandsetupthemonetarypolicyregimewiththeinterestrateofmoneymarketastheintermediatetarget.KeyWords:TaylorRule;ChinasMonetaryPolicy;EmpiricalAnalysis.JELClassification:C520,E500,E520,P340MonetaryPolicyandFinancialAssetsPriceYiGang&WangZhao(ThePeoplesBankofChina;PekingUniversity)(1)Monetarypolicyhasinfluenceuponfinancialassetsprice,especiallyuponstockprice.Whentheexpansionofinvestmentcausesrawmaterialandlaborpriceincreasing,thelong2termoutcomeofexpansionarymonetarypolicyisthatbothcommoditypriceandstockpriceincrease.Whentheinvestmentischaracterizedbyscaleeffectsandmakeslaborproductivityincreasenotably,thelong2termoutcomeofexpansionarymonetarypolicyisthatthestockpriceincreaseswhilethecommoditypricedecreases.Thuswhetherinflationhappensisdeterminednotonlybythecommodityandserviceprice,butalsobythestockprice.(2)Nomatterhowmuchthewealtheffectofthestockmarketis,stimulatingstockmarketbyexpansionarymonetarypolicyinordertomagnifyaggregatede2mandisdangerousinthelongrun.wealsofindwhenthestockpricedeviatesfromitsequilibriumfartherandfarther,theeconomicboomisvulnerable.KeyWords:TransmissionMechanism;MonetaryPolicy;StockMarket;Price;Inflation.JELClassification:E310,E420,E440,O23029©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.