“金融加速器效应”抑或“理性资产价格泡沫效应”——基于货币政策、资产价格与经济波动的时变关系研究

贵州财经大学学报 ›› 2021 ›› Issue (06): 36-47.

“金融加速器效应”抑或“理性资产价格泡沫效应”——基于货币政策、资产价格与经济波动的时变关系研究

张蕊, 郭潇蔓, 申程程

四川大学经济学院, 四川成都 610065

收稿日期:2020-10-18 出版日期:2021-11-15 发布日期:2021-11-23
通讯作者: 郭潇蔓(1994-)(通讯作者),女,四川大学经济学院博士研究生,研究方向为宏观经济政策与金融风险研究
作者简介:张蕊(1969-),女,四川大学经济学院教授,经济学博士,研究方向为宏观经济学与金融经济学研究;申程程(1995-),男,四川大学经济学院硕士研究生,研究方向为金融风险与金融科技研究。

“Financial Accelerator Effect” or “Rational Asset Price Bubble Effect”-Research on Time-varying Relationship based on Monetary Policy, Asset Prices and Economic Fluctuation

ZHANG Rui, GUO Xiao-man, SHEN Cheng-cheng

School of Economics, Sichuan University, Chengdu, Sichuan 610065, China

Received:2020-10-18 Online:2021-11-15 Published:2021-11-23

摘要/Abstract

摘要： 现阶段中国经济面临下行压力，资产价格已到高位，探寻不同金融和经济环境下货币政策如何兼顾"稳增长"和"防风险"显得非常必要而紧迫，而"金融加速器"理论和"理性资产价格泡沫"理论对货币政策的选择提供了矛盾的理论依据。利用主成分分析法构建了包括股票、房地产、债券和基金的中国金融资产综合价格指数，以2006年第四季度至2020年第一季度为研究期，基于TVP-SV-VAR模型研究了货币政策、资产价格与经济波动三者之间的时变关系。研究发现：在正常经济环境中，中国存在"金融加速器效应"，但资产价格达到高位之后，"理性资产价格泡沫效应"显现，即资产价格随着利率的提高而上升；随着时间推移和中国资产价格泡沫程度的提高，"利率下降→宏观经济增长"这一政策传导渠道的有效性逐渐降低；资产价格上涨短期内推动经济增长，严重泡沫时可能抑制经济增长；建议目前宏观调控方向为"扩信用，稳货币，松财政"。

关键词: 货币政策, 资产价格, 经济波动, TVP-SV-VAR模型, 时变效应

Abstract: China's economy is facing downward pressure, and asset prices have reached high level at the current stage. It is very necessary and urgent toexplore how monetary policies balance "steady growth" and "risk prevention" in different financial and economic environments. However, the theory of "Financial Accelerator" and "Rational Asset Price Bubble" provide contradictory theoretical basis for the choice of monetary policies. In this paper, principal component analysis method is adopted to construct comprehensive price indexes of Chinese financial assets including stocks, real estate, bonds and funds. By taking the fourth quarter of 2006 to the first quarter of 2020 as the research period,the time-varying relationship among monetary policy, asset prices and economic fluctuation is studied based on TVP-SV-VAR model. This paper provides empirical evidence for the interaction relationship among the above three and the time-varying characteristics of structural shock volatility. The conclusions are as follows:In the general economic environment, China has a "financial accelerator effect", but after asset prices reach a high level, the "rational asset price bubble effect" appears, which means, asset prices will rise as interest rate rises;As time goes by and China's asset price bubble has increased,the effectiveness of the policy transmission channel of "decline in interest rate → growth of macro-economy" is gradually decreasing;In the short run, rise of asset price drives economic growth while severe bubble may dampen growth;The current impliedmacro-control direction is "expanding credit, stabilizing monetary policy and slack fiscal policy".

Key words: monetary policy, asset price, economic fluctuation, TVP-SV-VAR, time-varying effect

中图分类号:

F832.5

张蕊, 郭潇蔓, 申程程. “金融加速器效应”抑或“理性资产价格泡沫效应”——基于货币政策、资产价格与经济波动的时变关系研究[J]. 贵州财经大学学报, 2021(06): 36-47.

ZHANG Rui, GUO Xiao-man, SHEN Cheng-cheng. “Financial Accelerator Effect” or “Rational Asset Price Bubble Effect”-Research on Time-varying Relationship based on Monetary Policy, Asset Prices and Economic Fluctuation[J]. Journal of Guizhou University of Finance and Economics, 2021(06): 36-47.

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