|
|
|
| Does China’s Monetary Policy Concern Asset Prices:Based on the Markov Regime-Switching BEKK Multivariate |
| GARCH Model, WANG Xi, ZHU Liting, WANG Kaili
|
| Lingnan College, Sun Yet-Sen University; College of Management, Tunghai University |
|
|
|
|
Abstract A monetary policy rule which contains the characteristics of concerning multiple asset prices is derived with reference to current macroeconomic models. Then by using real estate price, stock price and financial condition index (FCI) as asset price deputies respectively, we study the reaction of monetary policy to asset price using BEKK multivariate GARCH model including Markov Regime-Switching, so as to capture the time variant feature of monetary policy. It’s shown that: (1) the monetary policy’s concern on asset price has the Markov Regime-Switching feature; (2) the integrated FCI index is superior to the single asset price (real estate and stock price indices) as asset price deputy; (3) monetary policy only concerns asset price when it exhibits strong volatility, while at other times, the traditional Taylor rule focusing only on output gaps and inflation rates, remains a better description of policy behavior. The conclusions are rubust over different periods. These conclusions show that the central bank does concerns asset prices when its volatility become larger, which implies a macro-prudent intention in maintaining financial stability.
|
|
Published: 10 January 2018
|
|
|
|
|
| [1] |
陈诗一和王祥,2016,《融资成本, 房地产价格波动与货币政策传导》,《金融研究》第3期,第1~14页。
|
| [2] |
戴国强和张建华,2009,《中国金融状况指数对货币政策传导作用研究》,《财经研究》第7期,第52~62页。
|
| [3] |
封北麟和王贵民,2006,《货币政策与金融形势指数FCI:基于VAR 的实证分析》,《数量经济技术经济研究》第1期,第35~46页。
|
| [4] |
封思贤、蒋伏心和谢启超,2012,《金融状况指数预测通胀趋势的机理与实证——基于中国1999—2011年月度数据的分析》,《中国工业经济》第 4期,第18~30页.
|
| [5] |
冯涛、杨达和张蕾,2014,《房地产价格与货币政策调控研究——基于贝叶斯估计的动态随机一般均衡模型》,《西安交通大学学报 (社会科学版)》第1期,第15~21页。
|
| [6] |
李成、王彬和马文涛,2010,《资产价格、汇率波动与最优利率规则》,《经济研究》第3期,第91~103页。
|
| [7] |
李亮,2010,《资产价格波动与货币政策应对——基于结构向量自回归模型的实证分析》,《上海经济研究》第4期,第45~56页。
|
| [8] |
刘金全,徐宁和刘达禹,2017,《资产价格错位与货币政策规则——基于修正q理论的重新审视》,《国际金融研究》第5期,第5~35页。
|
| [9] |
马勇,2013,《植入金融因素的DSGE模型与宏观审慎货币政策规则》,《世界经济》第7期,第68~92页。
|
| [10] |
王擎和韩鑫韬,2009,《货币政策能盯住资产价格吗？——来自中国房地产市场的证据》,《金融研究》第8期,第114~123页。
|
| [11] |
肖争艳和彭博,2012,《住房价格与中国货币政策规则》,《统计研究》第11期,第40~49页。
|
| [12] |
赵进文和高辉,2009,《资产价格波动对中国货币政策的影响——基于1994—2006年季度数据的实证分析》,《中国社会科学》第2期,第98~114页。
|
| [14] |
Bernanke, B. S. and M. Gertler. 2000. “Monetary Policy and Asset Price Volatility” National Bureau of Economic Research Working Paper, No.7559.
|
| [15] |
Bernanke, B. S. and M. Gertler. 2001. “Should Central Banks Respond to Movements in Asset Prices？” The American Economic Review, 91(2):253~257.
|
| [16] |
Bryan, M. F., S. G. Cecchetti and R. O’Sullivan. 2001. “Asset Prices in the Measurement of Inflation” De Economist, 149(4):405~431.
|
| [17] |
Carlstrom, C. T. and T. S. Fuerst. 2007. “Asset Prices, Nominal Rigidities, and Monetary Policy” Review of Economic Dynamics, 10(2):256~275.
|
| [18] |
De Grauwe, P. and D. Gros. 2009. “A New Two-Pillar Strategy For the ECB” CESifo Working Paper No.2818.
|
| [19] |
Engle, R. F. and K. F. Kroner. 1995. “Multivariate Simultaneous Generalized ARCH” Econometric Theory, 11(1):122~150.
|
| [20] |
Giavazzi, F. and A. Giovannini. 2010. “Central Banks and the Financial System” National Bureau of Economic Research Working Paper, No.16228.
|
| [21] |
Goodhart, C. and B. Hofmann. 2001. “Asset Prices, Financial Conditions, and the Transmission of Monetary Policy” Asset Prices, Exchange Rates and Monetary Policy Conference, Stanford University.
|
| [22] |
Kontonikas, A. and A. Montagnoli. 2006. “Optimal Monetary Policy and Asset Price Misalignments” Scottish Journal of Political Economy, 53(5): 636~654.
|
| [23] |
Lee, H. T. and J. K. Yoder. 2007. “A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios” Applied Economics, 39(10):1253~1265.
|
| [24] |
Mislin, A. 2016. “Monetary Policy and Asset Price Bubbles: A Nonlinear Policy Rule” Credit and Capital Markets, 49(4): 507~514.
|
| [25] |
Smets, F. 2014. “Financial Stability and Monetary Policy: How Closely Interlinked？” International Journal of Central Banking, 10 (2):263~300.
|
| [26] |
Woodford, M. 2012. “Inflation Targeting and Financial Stability” National Bureau of Economic Research Working Paper, No.17967.
|
|
|
|
