邓创,徐曼,许志伟

• 1:吉林大学数量经济研究中心
• 2:吉林大学商学院
• 3:上海交通大学安泰经济与管理学院

摘要(Abstract)：

本文运用带有时变参数的因子扩展向量自回归模型,以多维金融指标体系为基础构建中国动态金融形势指数,作为金融波动的衡量依据并将其纳入货币政策调控的目标体系,构建包含内生金融冲击的新凯恩斯模型解析货币政策对经济与金融波动的最优反应机理,并在此基础上进一步实证检验引入金融稳定目标的最优货币政策规则在不同阶段的适用性差异。研究结果表明:兼顾金融和经济双重稳定的最优货币政策规则能够有效降低传统货币政策对价格和产出波动作出逆风向反应时可能出现的偏误;与金融危机爆发之前相比,危机后中国货币政策对价格波动调控的有效性得到提升,对经济波动的反应依然稳定,对金融形势变化的反应则显著提高。这些研究为新时代进一步提高货币政策的科学性和有效性、实现宏观经济与金融体系的双重稳定提供了有益的理论依据和政策启示。

关键词(KeyWords)： 金融形势指数;货币政策规则;金融稳定;通货膨胀;TVP-FAVAR模型

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金面上项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(批准号:71873056);; 教育部哲学社会科学研究重大课题攻关项目“资本市场的系统性风险测度与防范体系构建研究”(批准号:17JZD016);; 吉林省社科基金重点项目“吉林省维护金融稳定与推动经济高质量发展的平衡路径与对策研究”(批准号:2020A15);; 中央高校青年学术领袖培育计划“宏观经济不确定性下中国的金融周期波动与系统性风险防范”(批准号:2019FRLX12)的资助

作者(Author): 邓创,徐曼,许志伟

DOI: 10.16513/j.cnki.cje.2021.03.001

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• (1)详见Doz et al.(2011)提出的近似两步估计法。
• (2)为便于直观地观察三者波动态势及其相关性,图2中的宏观一致合成指数和通货膨胀率均经过标准化处理以消除量纲差异。
• (3)由于产出缺口尚未有官方统计数据,并且现有文献中也没有形成普遍认同的产出缺口测算方式,因此本文出于描述宏观经济波动的目的,将宏观一致合成指数换算成与基准值之间偏差的百分比形式作为其代理变量。一些学者的研究也曾证实宏观经济一致指数与估计所得的产出缺口高度相关,是用于分析宏观经济波动态势的有用指标(邓创等,2012)。
• (4)由于■为外生过程,因此ηt+1同样也是外生过程。此外,由于稳态自然利率不随时间变化而变化,r*t=0。
• (5)技术上说,απ由于是模型结构参数的函数,我们总是可以通过设定模型结构参数使得απ标准化为1。